| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/yield/ |
| H A D | ratehelpers.cpp | 118 maturityDate_ = IMM::nextDate(maturityDate_, false); in FuturesRateHelper()
119 maturityDate_ = IMM::nextDate(maturityDate_, false); in FuturesRateHelper()
126 maturityDate_ = iborEndDate; in FuturesRateHelper()
135 maturityDate_ = ASX::nextDate(maturityDate_, false); in FuturesRateHelper()
136 maturityDate_ = ASX::nextDate(maturityDate_, false); in FuturesRateHelper()
172 maturityDate_ = IMM::nextDate(maturityDate_, false); in FuturesRateHelper()
173 maturityDate_ = IMM::nextDate(maturityDate_, false); in FuturesRateHelper()
189 maturityDate_ = ASX::nextDate(maturityDate_, false); in FuturesRateHelper()
190 maturityDate_ = ASX::nextDate(maturityDate_, false); in FuturesRateHelper()
648 pillarDate_ = maturityDate_; in initializeDates()
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| H A D | oisratehelper.cpp | 81 maturityDate_ = swap_->maturityDate(); in initializeDates()
85 latestRelevantDate_ = std::max(maturityDate_, lastPaymentDate); in initializeDates()
89 pillarDate_ = maturityDate_; in initializeDates()
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| /dports/finance/quantlib/QuantLib-1.20/ql/instruments/ |
| H A D | forward.cpp | 37 maturityDate_(maturityDate), discountCurve_(discountCurve) { in Forward()
39 maturityDate_ = calendar_.adjust(maturityDate_, in Forward()
55 return detail::simple_event(maturityDate_) in isExpired()
63 discountCurve_->discount(maturityDate_); in forwardValue()
73 Time t = dayCounter.yearFraction(settlementDate,maturityDate_) ; in impliedYield()
90 NPV_ = (*ftpayoff)(fwdValue) * discountCurve_->discount(maturityDate_); in performCalculations()
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| H A D | forwardrateagreement.cpp | 49 maturityDate_); in ForwardRateAgreement()
87 forwardRate().compoundFactor(valueDate_, maturityDate_) * in spotValue()
88 discountCurve_->discount(maturityDate_); in spotValue()
116 index_->forwardingTermStructure()->discount(maturityDate_) - in calculateForwardRate()
118 index_->dayCounter().yearFraction(valueDate_, maturityDate_), in calculateForwardRate()
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| H A D | varianceswap.cpp | 33 startDate_(startDate), maturityDate_(maturityDate) {} in VarianceSwap()
55 arguments->maturityDate = maturityDate_; in setupArguments()
75 return detail::simple_event(maturityDate_).hasOccurred(); in isExpired()
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| H A D | bond.cpp | 53 maturityDate_ = coupons.back()->date(); in Bond()
71 cashflows_(cashflows), maturityDate_(maturityDate), in Bond()
79 if (maturityDate_ == Date()) in Bond()
80 maturityDate_ = CashFlows::maturityDate(cashflows); in Bond()
95 notionalSchedule_[1] = maturityDate_; in Bond()
157 if (maturityDate_!=Null<Date>()) in maturityDate()
158 return maturityDate_; in maturityDate()
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| H A D | varianceswap.hpp | 74 Date startDate_, maturityDate_; member in QuantLib::VarianceSwap
116 return maturityDate_; in maturityDate()
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| H A D | fixedratebondforward.cpp | 51 fixedCouponBond_->accruedAmount(maturityDate_); in cleanForwardPrice()
76 if (cf[i]->hasOccurred(maturityDate_, false)) { in spotIncome()
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| H A D | zerocouponinflationswap.hpp | 91 Date maturityDate() const { return maturityDate_; } in maturityDate()
130 Date startDate_, maturityDate_; member in QuantLib::ZeroCouponInflationSwap
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/varianceoption/ |
| H A D | varianceoption.cpp | 31 startDate_(startDate), maturityDate_(maturityDate) {} in VarianceOption()
41 arguments->maturityDate = maturityDate_; in setupArguments()
53 return detail::simple_event(maturityDate_).hasOccurred(); in isExpired()
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| H A D | varianceoption.hpp | 64 Date startDate_, maturityDate_; member in QuantLib::VarianceOption
96 return maturityDate_; in maturityDate()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/futures/ |
| H A D | overnightindexfuture.cpp | 52 while (d1 < maturityDate_) { in averagedSpotValue()
68 dayCounter_.yearFraction(valueDate_, maturityDate_); in averagedSpotValue()
94 DiscountFactor forwardDiscount = discountCurve_->discount(maturityDate_); in compoundedSpotValue()
103 dayCounter_.yearFraction(valueDate_, maturityDate_); in compoundedSpotValue()
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/swaption/ |
| H A D | gaussian1djamshidianswaptionengine.cpp | 33 : strike_(nominal), maturityDate_(maturityDate), in rStarFinder()
41 Real dbValue = model_->zerobond(times_[i], maturityDate_, y) / in operator ()()
42 model_->zerobond(valueDate_, maturityDate_, y); in operator ()()
50 Date maturityDate_, valueDate_; member in QuantLib::Gaussian1dJamshidianSwaptionEngine::rStarFinder
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| /dports/finance/quantlib/QuantLib-1.20/ql/instruments/bonds/ |
| H A D | fixedratebond.cpp | 52 maturityDate_ = schedule.endDate(); in FixedRateBond()
98 maturityDate_ = maturityDate; in FixedRateBond()
120 Schedule schedule(startDate, maturityDate_, tenor, in FixedRateBond()
160 maturityDate_ = schedule.endDate(); in FixedRateBond()
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| H A D | floatingratebond.cpp | 51 maturityDate_ = schedule.endDate(); in FloatingRateBond()
101 maturityDate_ = maturityDate; in FloatingRateBond()
123 Schedule schedule(startDate, maturityDate_, Period(couponFrequency), in FloatingRateBond()
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| H A D | zerocouponbond.cpp | 35 maturityDate_ = maturityDate; in ZeroCouponBond()
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| H A D | cmsratebond.cpp | 47 maturityDate_ = schedule.endDate(); in CmsRateBond()
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| H A D | cpibond.cpp | 65 maturityDate_ = schedule.endDate(); in CPIBond()
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| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/ |
| H A D | bootstraphelper.hpp | 120 Date maturityDate_, latestRelevantDate_, pillarDate_; member in QuantLib::BootstrapHelper
173 if (maturityDate_ == Date()) in maturityDate()
175 return maturityDate_; in maturityDate()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/catbonds/ |
| H A D | catbond.cpp | 80 maturityDate_ = schedule.endDate(); in FloatingCatBond()
125 maturityDate_ = maturityDate; in FloatingCatBond()
147 Schedule schedule(startDate, maturityDate_, Period(couponFrequency), in FloatingCatBond()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/convertiblebonds/ |
| H A D | convertiblebond.cpp | 47 maturityDate_ = schedule.endDate(); in ConvertibleBond()
50 QL_REQUIRE(callability.back()->date() <= maturityDate_, in ConvertibleBond()
54 << maturityDate_ << ")"); in ConvertibleBond()
85 setSingleRedemption(100.0, redemption, maturityDate_); in ConvertibleZeroCouponBond()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/amortizingbonds/ |
| H A D | amortizingfixedratebond.cpp | 43 maturityDate_ = schedule.endDate(); in AmortizingFixedRateBond()
170 maturityDate_ = startDate + bondTenor; in AmortizingFixedRateBond()
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| H A D | amortizingcmsratebond.cpp | 44 maturityDate_ = schedule.endDate(); in AmortizingCmsRateBond()
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| H A D | amortizingfloatingratebond.cpp | 48 maturityDate_ = schedule.endDate(); in AmortizingFloatingRateBond()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/callablebonds/ |
| H A D | callablebond.cpp | 37 maturityDate_ = schedule.dates().back(); in CallableBond()
45 QL_REQUIRE(finalOptionDate <= maturityDate_ , in CallableBond()
398 Date redemptionDate = calendar_.adjust(maturityDate_, in CallableFixedRateBond()
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