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Searched refs:maturityDate_ (Results 1 – 25 of 28) sorted by relevance

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/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/yield/
H A Dratehelpers.cpp118 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 Doisratehelper.cpp81 maturityDate_ = swap_->maturityDate(); in initializeDates()
85 latestRelevantDate_ = std::max(maturityDate_, lastPaymentDate); in initializeDates()
89 pillarDate_ = maturityDate_; in initializeDates()
/dports/finance/quantlib/QuantLib-1.20/ql/instruments/
H A Dforward.cpp37 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()
H A Dforwardrateagreement.cpp49 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()
H A Dvarianceswap.cpp33 startDate_(startDate), maturityDate_(maturityDate) {} in VarianceSwap()
55 arguments->maturityDate = maturityDate_; in setupArguments()
75 return detail::simple_event(maturityDate_).hasOccurred(); in isExpired()
H A Dbond.cpp53 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()
H A Dvarianceswap.hpp74 Date startDate_, maturityDate_; member in QuantLib::VarianceSwap
116 return maturityDate_; in maturityDate()
H A Dfixedratebondforward.cpp51 fixedCouponBond_->accruedAmount(maturityDate_); in cleanForwardPrice()
76 if (cf[i]->hasOccurred(maturityDate_, false)) { in spotIncome()
H A Dzerocouponinflationswap.hpp91 Date maturityDate() const { return maturityDate_; } in maturityDate()
130 Date startDate_, maturityDate_; member in QuantLib::ZeroCouponInflationSwap
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/varianceoption/
H A Dvarianceoption.cpp31 startDate_(startDate), maturityDate_(maturityDate) {} in VarianceOption()
41 arguments->maturityDate = maturityDate_; in setupArguments()
53 return detail::simple_event(maturityDate_).hasOccurred(); in isExpired()
H A Dvarianceoption.hpp64 Date startDate_, maturityDate_; member in QuantLib::VarianceOption
96 return maturityDate_; in maturityDate()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/futures/
H A Dovernightindexfuture.cpp52 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()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/swaption/
H A Dgaussian1djamshidianswaptionengine.cpp33 : 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
/dports/finance/quantlib/QuantLib-1.20/ql/instruments/bonds/
H A Dfixedratebond.cpp52 maturityDate_ = schedule.endDate(); in FixedRateBond()
98 maturityDate_ = maturityDate; in FixedRateBond()
120 Schedule schedule(startDate, maturityDate_, tenor, in FixedRateBond()
160 maturityDate_ = schedule.endDate(); in FixedRateBond()
H A Dfloatingratebond.cpp51 maturityDate_ = schedule.endDate(); in FloatingRateBond()
101 maturityDate_ = maturityDate; in FloatingRateBond()
123 Schedule schedule(startDate, maturityDate_, Period(couponFrequency), in FloatingRateBond()
H A Dzerocouponbond.cpp35 maturityDate_ = maturityDate; in ZeroCouponBond()
H A Dcmsratebond.cpp47 maturityDate_ = schedule.endDate(); in CmsRateBond()
H A Dcpibond.cpp65 maturityDate_ = schedule.endDate(); in CPIBond()
/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/
H A Dbootstraphelper.hpp120 Date maturityDate_, latestRelevantDate_, pillarDate_; member in QuantLib::BootstrapHelper
173 if (maturityDate_ == Date()) in maturityDate()
175 return maturityDate_; in maturityDate()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/catbonds/
H A Dcatbond.cpp80 maturityDate_ = schedule.endDate(); in FloatingCatBond()
125 maturityDate_ = maturityDate; in FloatingCatBond()
147 Schedule schedule(startDate, maturityDate_, Period(couponFrequency), in FloatingCatBond()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/convertiblebonds/
H A Dconvertiblebond.cpp47 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()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/amortizingbonds/
H A Damortizingfixedratebond.cpp43 maturityDate_ = schedule.endDate(); in AmortizingFixedRateBond()
170 maturityDate_ = startDate + bondTenor; in AmortizingFixedRateBond()
H A Damortizingcmsratebond.cpp44 maturityDate_ = schedule.endDate(); in AmortizingCmsRateBond()
H A Damortizingfloatingratebond.cpp48 maturityDate_ = schedule.endDate(); in AmortizingFloatingRateBond()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/callablebonds/
H A Dcallablebond.cpp37 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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