/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/inflation/ |
H A D | cpivolatilitystructure.cpp | 91 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 [all …]
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H A D | yoyinflationoptionletvolatilitystructure.cpp | 88 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 [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/bond/ |
H A D | bondfunctions.cpp | 35 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() [all …]
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/dports/finance/quantlib/QuantLib-1.20/test-suite/ |
H A D | convertiblebonds.cpp | 52 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() [all …]
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H A D | squarerootclvmodel.cpp | 116 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() [all …]
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H A D | fdsabr.cpp | 115 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() [all …]
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H A D | callablebonds.cpp | 58 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() [all …]
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H A D | hestonmodel.cpp | 1260 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 [all …]
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H A D | swingoption.cpp | 191 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/varianceoption/ |
H A D | varianceoption.cpp | 29 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()
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H A D | varianceoption.hpp | 47 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
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/dports/finance/quantlib/QuantLib-1.20/ql/instruments/ |
H A D | varianceswap.hpp | 49 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
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H A D | varianceswap.cpp | 31 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/instruments/bonds/ |
H A D | zerocouponbond.cpp | 29 const Date& maturityDate, in ZeroCouponBond() argument 35 maturityDate_ = maturityDate; in ZeroCouponBond() 36 Date redemptionDate = calendar_.adjust(maturityDate, in ZeroCouponBond()
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H A D | btp.cpp | 32 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/convertiblebonds/ |
H A D | binomialconvertibleengine.hpp | 75 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/basismodels/ |
H A D | tenorswaptionvts.cpp | 47 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()
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H A D | tenoroptionletvts.cpp | 61 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/barrieroption/ |
H A D | binomialdoublebarrierengine.hpp | 81 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
H A D | binomialengine.hpp | 86 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()
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H A D | exponentialfittinghestonengine.cpp | 209 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/callablebonds/ |
H A D | callablebond.cpp | 156 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/barrier/ |
H A D | binomialbarrierengine.hpp | 97 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/futures/ |
H A D | overnightindexfutureratehelper.cpp | 44 const Date& maturityDate, in OvernightIndexFutureRateHelper() argument 51 overnightIndex, payoff, valueDate, maturityDate, termStructureHandle_, in OvernightIndexFutureRateHelper() 54 latestDate_ = maturityDate; in OvernightIndexFutureRateHelper()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/models/ |
H A D | squarerootclvmodel.cpp | 148 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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