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/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/inflation/
H A Dcpivolatilitystructure.cpp91 checkRange(maturityDate-useLag, strike, extrapolate); in volatility()
92 Time t = timeFromReference(maturityDate-useLag); in volatility()
96 inflationPeriod(maturityDate-useLag, frequency()); in volatility()
108 Date maturityDate = optionDateFromTenor(optionTenor); in volatility() local
109 return volatility(maturityDate, strike, obsLag, extrapolate); in volatility()
114 Time CPIVolatilitySurface::timeFromBase(const Date& maturityDate, in timeFromBase() argument
123 useDate = maturityDate - useLag; in timeFromBase()
125 useDate = inflationPeriod(maturityDate - useLag, in timeFromBase()
141 Time t = timeFromBase(maturityDate, obsLag); in totalVariance()
150 Date maturityDate = optionDateFromTenor(tenor); in totalVariance() local
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H A Dyoyinflationoptionletvolatilitystructure.cpp88 YoYOptionletVolatilitySurface::volatility(const Date& maturityDate, in volatility() argument
100 Time t = timeFromReference(maturityDate-useLag); in volatility()
116 Date maturityDate = optionDateFromTenor(optionTenor); in volatility() local
117 return volatility(maturityDate, strike, obsLag, extrapolate); in volatility()
123 YoYOptionletVolatilitySurface::timeFromBase(const Date &maturityDate, in timeFromBase() argument
133 useDate = maturityDate - useLag; in timeFromBase()
135 useDate = inflationPeriod(maturityDate - useLag, in timeFromBase()
147 YoYOptionletVolatilitySurface::totalVariance(const Date& maturityDate, in totalVariance() argument
153 Time t = timeFromBase(maturityDate, obsLag); in totalVariance()
163 Date maturityDate = optionDateFromTenor(tenor); in totalVariance() local
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/bond/
H A Dbondfunctions.cpp35 Date BondFunctions::maturityDate(const Bond& bond) { in maturityDate() function in QuantLib::BondFunctions
36 return CashFlows::maturityDate(bond.cashflows()); in maturityDate()
127 " (maturity being " << bond.maturityDate() << ")"); in accrualStartDate()
140 " (maturity being " << bond.maturityDate() << ")"); in accrualEndDate()
153 " (maturity being " << bond.maturityDate() << ")"); in referencePeriodStart()
166 " (maturity being " << bond.maturityDate() << ")"); in referencePeriodEnd()
179 " (maturity being " << bond.maturityDate() << ")"); in accrualPeriod()
192 " (maturity being " << bond.maturityDate() << ")"); in accrualDays()
205 " (maturity being " << bond.maturityDate() << ")"); in accruedPeriod()
218 " (maturity being " << bond.maturityDate() << ")"); in accruedDays()
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/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dconvertiblebonds.cpp52 Date today, issueDate, maturityDate; member
125 ext::make_shared<EuropeanExercise>(vars.maturityDate); in testBond()
128 vars.maturityDate); in testBond()
143 .to(vars.maturityDate) in testBond()
165 100.0, vars.maturityDate, in testBond()
195 .to(vars.maturityDate) in testBond()
270 Schedule floatSchedule(vars.issueDate, vars.maturityDate, in testBond()
336 .to(vars.maturityDate) in testOption()
422 Date maturityDate(1, August, 2013); in testRegression() local
425 .to(maturityDate) in testRegression()
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H A Dsquarerootclvmodel.cpp116 const Date maturityDate = todaysDate + Period(3, Months); in testSquareRootCLVVanillaPricing() local
143 const std::vector<Date> maturityDates(1, maturityDate); in testSquareRootCLVVanillaPricing()
148 const Array x = model.collocationPointsX(maturityDate); in testSquareRootCLVVanillaPricing()
149 const Array y = model.collocationPointsY(maturityDate); in testSquareRootCLVVanillaPricing()
180 << "\n time: " << maturityDate in testSquareRootCLVVanillaPricing()
198 const Date maturityDate = todaysDate + Period(1, Years); in testSquareRootCLVMappingFunction() local
227 while (calibrationDates.back() < maturityDate) in testSquareRootCLVMappingFunction()
663 const Date maturityDate(calibrationDates[i+2]); in testForwardSkew() local
729 ext::make_shared<EuropeanExercise>(maturityDate)); in testForwardSkew()
733 s0*qTS->discount(maturityDate)/rTS->discount(maturityDate)), in testForwardSkew()
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H A Dfdsabr.cpp115 const Date maturityDate = today + Period(2, Years); in testFdmSabrOp() local
116 const Time maturityTime = dc.yearFraction(today, maturityDate); in testFdmSabrOp()
121 ext::make_shared<EuropeanExercise>(maturityDate); in testFdmSabrOp()
214 const Date maturityDate = today + Period(12, Months); in testFdmSabrCevPricing() local
228 ext::make_shared<EuropeanExercise>(maturityDate); in testFdmSabrCevPricing()
285 const Date maturityDate = today + Period(6, Months); in testFdmSabrVsVolApproximation() local
286 const Time maturityTime = dc.yearFraction(today, maturityDate); in testFdmSabrVsVolApproximation()
314 ext::make_shared<EuropeanExercise>(maturityDate)); in testFdmSabrVsVolApproximation()
405 const Date maturityDate = today + maturities[i]; in testOosterleeTestCaseIV() local
415 ext::make_shared<EuropeanExercise>(maturityDate); in testOosterleeTestCaseIV()
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H A Dcallablebonds.cpp58 Date maturityDate() const { in maturityDate() function
128 vars.maturityDate(), Thirty360(), in testInterplay()
153 vars.maturityDate(), Thirty360(), in testInterplay()
183 vars.maturityDate(), Thirty360(), in testInterplay()
208 vars.maturityDate(), Thirty360(), in testInterplay()
235 .to(vars.maturityDate()) in testConsistency()
316 .to(vars.maturityDate()) in testObservability()
340 vars.maturityDate(), Thirty360(), in testObservability()
375 .to(vars.maturityDate()) in testDegenerate()
384 vars.maturityDate(), in testDegenerate()
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H A Dhestonmodel.cpp1260 const Date maturityDate(5, July, 2003); in testAlanLewisReferencePrices() local
1262 ext::make_shared<EuropeanExercise>(maturityDate)); in testAlanLewisReferencePrices()
1387 const Date maturityDate(5, July, 2014); in testAnalyticPDFHestonEngine() local
1474 const Date maturityDate(5, July, 2003); in testExpansionOnAlanLewisReference() local
1476 ext::make_shared<EuropeanExercise>(maturityDate); in testExpansionOnAlanLewisReference()
1697 ext::make_shared<EuropeanExercise>(maturityDate); in testAllIntegrationMethods()
2009 ext::make_shared<EuropeanExercise>(maturityDate); in testCosHestonEngine()
2366 const Date maturityDate(5, July, 2003); in testAndersenPiterbargConvergence() local
2421 const Date maturityDate(5, July, 2018); in testPiecewiseTimeDependentChFvsHestonChF() local
2484 const Date maturityDate(5, July, 2018); in testPiecewiseTimeDependentComparison() local
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H A Dswingoption.cpp191 const Date maturityDate = today + Period(12, Months); in testExtOUJumpVanillaEngine() local
192 const Time maturity = dc.yearFraction(today, maturityDate); in testExtOUJumpVanillaEngine()
198 ext::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate)); in testExtOUJumpVanillaEngine()
249 Date maturityDate = settlementDate + Period(12, Months); in testFdBSSwingOption() local
258 while (exerciseDates.back() < maturityDate) { in testFdBSSwingOption()
330 Date maturityDate = settlementDate + Period(12, Months); in testExtOUJumpSwingOption() local
339 while (exerciseDates.back() < maturityDate) { in testExtOUJumpSwingOption()
488 Date maturityDate = settlementDate + Period(6, Months); in testKlugeChFVanillaPricing() local
489 const Time t = dayCounter.yearFraction(settlementDate, maturityDate); in testKlugeChFVanillaPricing()
513 ext::make_shared<EuropeanExercise>(maturityDate)); in testKlugeChFVanillaPricing()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/varianceoption/
H A Dvarianceoption.cpp29 const Date& maturityDate) in VarianceOption() argument
31 startDate_(startDate), maturityDate_(maturityDate) {} in VarianceOption()
41 arguments->maturityDate = maturityDate_; in setupArguments()
49 QL_REQUIRE(maturityDate != Date(), "null maturity date given"); in validate()
H A Dvarianceoption.hpp47 const Date& maturityDate);
55 Date maturityDate() const;
76 Date maturityDate; member in QuantLib::VarianceOption::arguments
95 inline Date VarianceOption::maturityDate() const { in maturityDate() function in QuantLib::VarianceOption
/dports/finance/quantlib/QuantLib-1.20/ql/instruments/
H A Dvarianceswap.hpp49 const Date& maturityDate);
60 Date maturityDate() const;
89 Date maturityDate; member in QuantLib::VarianceSwap::arguments
115 inline Date VarianceSwap::maturityDate() const { in maturityDate() function in QuantLib::VarianceSwap
H A Dvarianceswap.cpp31 const Date& maturityDate) in VarianceSwap() argument
33 startDate_(startDate), maturityDate_(maturityDate) {} in VarianceSwap()
55 arguments->maturityDate = maturityDate_; in setupArguments()
71 QL_REQUIRE(maturityDate != Date(), "null maturity date given"); in validate()
/dports/finance/quantlib/QuantLib-1.20/ql/instruments/bonds/
H A Dzerocouponbond.cpp29 const Date& maturityDate, in ZeroCouponBond() argument
35 maturityDate_ = maturityDate; in ZeroCouponBond()
36 Date redemptionDate = calendar_.adjust(maturityDate, in ZeroCouponBond()
H A Dbtp.cpp32 CCTEU::CCTEU(const Date& maturityDate, in CCTEU() argument
39 maturityDate, 6*Months, in CCTEU()
54 BTP::BTP(const Date& maturityDate, in BTP() argument
60 maturityDate, 6*Months, in BTP()
67 BTP::BTP(const Date& maturityDate, in BTP() argument
74 maturityDate, 6*Months, in BTP()
113 " bond, maturity " << btps[i]->maturityDate()); in RendistatoBasket()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/convertiblebonds/
H A Dbinomialconvertibleengine.hpp75 Date maturityDate = arguments_.exercise->lastDate(); in calculate() local
77 maturityDate, rfdc, Continuous, NoFrequency); in calculate()
79 maturityDate, divdc, Continuous, NoFrequency); in calculate()
110 maturityDate); in calculate()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/basismodels/
H A Dtenorswaptionvts.cpp47 Date maturityDate = volTS.baseIndex_->fixingCalendar().advance( in TenorSwaptionSmileSection() local
50 Schedule baseFixedSchedule(effectiveDate, maturityDate, volTS.baseFixedFreq_, in TenorSwaptionSmileSection()
53 Schedule finlFixedSchedule(effectiveDate, maturityDate, volTS.targFixedFreq_, in TenorSwaptionSmileSection()
56 Schedule baseFloatSchedule(effectiveDate, maturityDate, volTS.baseIndex_->tenor(), in TenorSwaptionSmileSection()
59 Schedule targFloatSchedule(effectiveDate, maturityDate, volTS.targIndex_->tenor(), in TenorSwaptionSmileSection()
H A Dtenoroptionletvts.cpp61 Date maturityDate = volTS.baseIndex_->fixingCalendar().advance( in TenorOptionletSmileSection() local
64 Schedule baseFloatSchedule(effectiveDate, maturityDate, volTS.baseIndex_->tenor(), in TenorOptionletSmileSection()
69 Time yfTarg = volTS.targIndex_->dayCounter().yearFraction(effectiveDate, maturityDate); in TenorOptionletSmileSection()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/barrieroption/
H A Dbinomialdoublebarrierengine.hpp81 Date maturityDate = arguments_.exercise->lastDate(); in calculate() local
82 Rate r = process_->riskFreeRate()->zeroRate(maturityDate, in calculate()
84 Rate q = process_->dividendYield()->zeroRate(maturityDate, in calculate()
103 Time maturity = rfdc.yearFraction(referenceDate, maturityDate); in calculate()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/
H A Dbinomialengine.hpp86 Date maturityDate = arguments_.exercise->lastDate(); in calculate() local
87 Rate r = process_->riskFreeRate()->zeroRate(maturityDate, in calculate()
89 Rate q = process_->dividendYield()->zeroRate(maturityDate, in calculate()
108 Time maturity = rfdc.yearFraction(referenceDate, maturityDate); in calculate()
H A Dexponentialfittinghestonengine.cpp209 const Date maturityDate = arguments_.exercise->lastDate(); in calculate() local
219 const Time t = process->time(maturityDate); in calculate()
222 = process->riskFreeRate()->discount(maturityDate); in calculate()
224 = process->dividendYield()->discount(maturityDate); in calculate()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/callablebonds/
H A Dcallablebond.cpp156 double zz=yts->zeroRate(b.maturityDate(), in continuousToConv()
172 b.maturityDate()).rate(); in continuousToConv()
177 b.maturityDate()).rate(); in continuousToConv()
192 double zz=yts->zeroRate(b.maturityDate(), in convToContinuous()
209 b.maturityDate()).rate(); in convToContinuous()
214 b.maturityDate()).rate(); in convToContinuous()
500 const Date& maturityDate, in CallableZeroCouponBond() argument
507 Schedule(issueDate, maturityDate, in CallableZeroCouponBond()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/barrier/
H A Dbinomialbarrierengine.hpp97 Date maturityDate = arguments_.exercise->lastDate(); in calculate() local
98 Rate r = process_->riskFreeRate()->zeroRate(maturityDate, in calculate()
100 Rate q = process_->dividendYield()->zeroRate(maturityDate, in calculate()
119 Time maturity = rfdc.yearFraction(referenceDate, maturityDate); in calculate()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/futures/
H A Dovernightindexfutureratehelper.cpp44 const Date& maturityDate, in OvernightIndexFutureRateHelper() argument
51 overnightIndex, payoff, valueDate, maturityDate, termStructureHandle_, in OvernightIndexFutureRateHelper()
54 latestDate_ = maturityDate; in OvernightIndexFutureRateHelper()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/models/
H A Dsquarerootclvmodel.cpp148 const Date maturityDate = maturityDates[i]; in MappingFunction() local
150 const Array x = model.collocationPointsX(maturityDate); in MappingFunction()
151 const Array y = model.collocationPointsY(maturityDate); in MappingFunction()
156 const Time maturity = bsProcess->time(maturityDate); in MappingFunction()

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