/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/ |
H A D | smilesection.cpp | 60 SmileSection::SmileSection(Time exerciseTime, in SmileSection() argument 65 dc_(dc), exerciseTime_(exerciseTime), volatilityType_(type), shift_(shift) { in SmileSection() 113 exerciseTime(),discount,shift())*0.01; in vega() 132 std::sqrt(exerciseTime()); in volatility() 136 std::sqrt(exerciseTime()); in volatility() 140 exerciseTime(), premium); in volatility()
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H A D | spreadedsmilesection.hpp | 44 Time exerciseTime() const; 77 inline Time SpreadedSmileSection::exerciseTime() const { in exerciseTime() function in QuantLib::SpreadedSmileSection 78 return underlyingSection_->exerciseTime(); in exerciseTime()
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H A D | sabrsmilesection.cpp | 65 strike, forward_, exerciseTime(), alpha_, beta_, nu_, rho_, shift_); in varianceImpl() 66 return vol * vol * exerciseTime(); in varianceImpl() 71 return unsafeShiftedSabrVolatility(strike, forward_, exerciseTime(), in volatilityImpl()
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H A D | smilesection.hpp | 46 SmileSection(Time exerciseTime, 66 virtual Time exerciseTime() const { return exerciseTime_; } in exerciseTime() function in QuantLib::SmileSection 114 return v*v*exerciseTime(); in varianceImpl()
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H A D | interpolatedsmilesection.hpp | 105 exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(strikes), in InterpolatedSmileSection() 129 exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(strikes), in InterpolatedSmileSection() 157 exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(strikes), in InterpolatedSmileSection() 181 exerciseTimeSquareRoot_(std::sqrt(exerciseTime())), strikes_(strikes), in InterpolatedSmileSection() 211 return v*v*exerciseTime(); in varianceImpl()
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H A D | flatsmilesection.cpp | 37 FlatSmileSection::FlatSmileSection(Time exerciseTime, in FlatSmileSection() argument 43 : SmileSection(exerciseTime, dc, type, shift), in FlatSmileSection()
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H A D | atmsmilesection.hpp | 41 Time exerciseTime() const { return source_->exerciseTime(); } in exerciseTime() function in QuantLib::AtmSmileSection
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H A D | atmadjustedsmilesection.hpp | 43 Time exerciseTime() const { return source_->exerciseTime(); } in exerciseTime() function in QuantLib::AtmAdjustedSmileSection
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H A D | sabrinterpolatedsmilesection.cpp | 96 exerciseTime(), forwardValue_, in createInterpolation() 128 return v*v*exerciseTime(); in varianceImpl()
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H A D | flatsmilesection.hpp | 43 FlatSmileSection(Time exerciseTime,
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H A D | kahalesmilesection.hpp | 151 Time exerciseTime() const { return source_->exerciseTime(); } in exerciseTime() function in QuantLib::KahaleSmileSection
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H A D | gaussian1dsmilesection.cpp | 104 sqrt(exerciseTime()); in volatilityImpl()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/callablebonds/ |
H A D | blackcallablebondengine.cpp | 115 Time exerciseTime = dayCounter.yearFraction(referenceDate, in forwardPriceVolatility() local 119 Volatility yieldVol = volatility_->volatility(exerciseTime, in forwardPriceVolatility() 120 maturityTime-exerciseTime, in forwardPriceVolatility() 157 Time exerciseTime = volatility_->dayCounter().yearFraction( in calculate() local 164 priceVol*std::sqrt(exerciseTime)); in calculate()
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H A D | discretizedcallablefixedratebond.cpp | 57 Time& exerciseTime = callabilityTimes_[i]; in DiscretizedCallableFixedRateBond() local 59 if (withinNextWeek(exerciseTime, couponTimes_[j])) { in DiscretizedCallableFixedRateBond() 60 exerciseTime = couponTimes_[j]; in DiscretizedCallableFixedRateBond()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/swaption/ |
H A D | blackswaptionengine.hpp | 89 const Real exerciseTime, const Real annuity, in vega() 91 return std::sqrt(exerciseTime) * in vega() 113 const Real exerciseTime, const Real annuity, const Real) { in vega() 114 return std::sqrt(exerciseTime) * in vega() 305 Time exerciseTime = vol_->timeFromReference(exerciseDate); in calculate() local 307 strike, atmForward, stdDev, exerciseTime, annuity, displacement); in calculate() 310 results_.additionalResults["timeToExpiry"] = exerciseTime; in calculate() 311 results_.additionalResults["impliedVolatility"] = stdDev / std::sqrt(exerciseTime); in calculate()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/volatility/ |
H A D | noarbsabrsmilesection.cpp | 52 ext::make_shared<NoArbSabrModel>(exerciseTime(), forward_, params_[0], in init() 85 std::sqrt(exerciseTime()); in volatilityImpl() 91 unsafeSabrVolatility(strike, forward_, exerciseTime(), params_[0], in volatilityImpl()
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H A D | zabrsmilesection.hpp | 138 exerciseTime(), forward_, params_[0], params_[1], in init() 157 exerciseTime(), forward_, params_[0], params_[1], in init() 269 model_->normalVolatility(strike) * std::sqrt(exerciseTime()), discount); in optionPrice() 313 std::sqrt(exerciseTime()); in volatilityImpl()
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H A D | noarbsabrinterpolatedsmilesection.cpp | 90 exerciseTime(), forwardValue_, in createInterpolation() 122 return v*v*exerciseTime(); in varianceImpl()
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H A D | sviinterpolatedsmilesection.cpp | 77 exerciseTime(), forwardValue_, a_, b_, sigma_, rho_, m_, isAFixed_, in createInterpolation() 109 return v * v * exerciseTime(); in varianceImpl()
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H A D | svismilesection.cpp | 52 return std::sqrt(std::max(0.0, totalVariance / exerciseTime())); in volatilityImpl()
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H A D | zabrinterpolatedsmilesection.hpp | 252 exerciseTime(), forwardValue_, alpha_, beta_, nu_, rho_, gamma_, in createInterpolation() 286 return v * v * exerciseTime(); in varianceImpl()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
H A D | mchestonhullwhiteengine.cpp | 29 Time exerciseTime, in HestonHullWhitePathPricer() argument 32 : exerciseTime_(exerciseTime), in HestonHullWhitePathPricer()
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H A D | mchestonhullwhiteengine.hpp | 98 Time exerciseTime, 148 const Time exerciseTime = process_->time(exercise->lastDate()); in pathPricer() local 151 new HestonHullWhitePathPricer(exerciseTime, in pathPricer() 172 const Time exerciseTime = process_->time(exercise->lastDate()); in controlPathPricer() local 176 exerciseTime, in controlPathPricer()
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/dports/finance/quantlib/QuantLib-1.20/ql/cashflows/ |
H A D | lineartsrpricer.cpp | 310 smileSection_->exerciseTime()) - in optionletPrice() 315 smileSection_->exerciseTime()) - in optionletPrice() 319 std::sqrt(smileSection_->exerciseTime()); in optionletPrice()
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/dports/finance/quantlib/QuantLib-1.20/test-suite/ |
H A D | blackformula.cpp | 225 const Time exerciseTime = dc.yearFraction(today, exerciseDate); in testImpliedVolAdaptiveSuccessiveOverRelaxation() local 233 const Real stdDev = vol * std::sqrt(exerciseTime); in testImpliedVolAdaptiveSuccessiveOverRelaxation()
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