| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/cliquet/ |
| H A D | analyticperformanceengine.cpp | 46 ext::shared_ptr<PercentageStrikePayoff> moneyness = in calculate() local
49 QL_REQUIRE(moneyness, "wrong payoff given"); in calculate()
58 new PlainVanillaPayoff(moneyness->optionType(), 1.0)); in calculate()
76 Real forward = (1.0/moneyness->strike())*qDiscount/rDiscount; in calculate()
80 underlying * moneyness->strike()); in calculate()
88 results_.value += discount * moneyness->strike() * black.value(); in calculate()
93 discount * moneyness->strike() * black.value(); in calculate()
99 results_.rho += discount * moneyness->strike() * in calculate()
103 results_.dividendRho += discount * moneyness->strike() * in calculate()
107 results_.vega += discount * moneyness->strike() * black.vega(dt); in calculate()
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| H A D | analyticcliquetengine.cpp | 46 ext::shared_ptr<PercentageStrikePayoff> moneyness = in calculate() local
49 QL_REQUIRE(moneyness, "wrong payoff given"); in calculate()
56 Real strike = underlying * moneyness->strike(); in calculate()
58 new PlainVanillaPayoff(moneyness->optionType(),strike)); in calculate()
89 moneyness->strike() * discount * in calculate()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/volatility/ |
| H A D | zabrsmilesection.hpp | 75 void init(const std::vector<Real> &moneyness) { in init() argument
76 init(moneyness, Evaluation()); in init()
82 void init(const std::vector<Real> &moneyness, ZabrLocalVolatility);
83 void init(const std::vector<Real> &moneyness, ZabrFullFd);
117 const std::vector<Real> &moneyness, const Size fdRefinement) in ZabrSmileSection() argument
120 init(moneyness); in ZabrSmileSection()
126 const DayCounter &dc, const std::vector<Real> &moneyness, in ZabrSmileSection() argument
130 init(moneyness); in ZabrSmileSection()
166 if (moneyness.empty()) in init()
169 tmp = std::vector<Real>(moneyness); in init()
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| /dports/finance/quantlib/QuantLib-1.20/ql/instruments/ |
| H A D | forwardvanillaoption.hpp | 39 ForwardOptionArguments() : moneyness(Null<Real>()), in ForwardOptionArguments()
42 Real moneyness; member in QuantLib::ForwardOptionArguments
52 ForwardVanillaOption(Real moneyness,
71 QL_REQUIRE(moneyness != Null<Real>(), "null moneyness given"); in validate()
72 QL_REQUIRE(moneyness > 0.0, "negative or zero moneyness given"); in validate()
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| H A D | forwardvanillaoption.cpp | 26 Real moneyness, in ForwardVanillaOption() argument
31 moneyness_(moneyness), resetDate_(resetDate) {} in ForwardVanillaOption()
40 arguments->moneyness = moneyness_; in setupArguments()
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| H A D | cliquetoption.cpp | 45 ext::shared_ptr<PercentageStrikePayoff> moneyness = in validate() local
47 QL_REQUIRE(moneyness, in validate()
49 QL_REQUIRE(moneyness->strike() > 0.0, in validate()
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| H A D | quantoforwardvanillaoption.cpp | 26 Real moneyness, in QuantoForwardVanillaOption() argument
30 : ForwardVanillaOption(moneyness, resetDate, payoff, exercise) {} in QuantoForwardVanillaOption()
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| H A D | payoffs.hpp | 122 Real moneyness) in PercentageStrikePayoff() argument
123 : StrikedTypePayoff(type, moneyness) {} in PercentageStrikePayoff()
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| H A D | quantoforwardvanillaoption.hpp | 39 QuantoForwardVanillaOption(Real moneyness,
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| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | forwardoption.cpp | 38 v, moneyness, reset, expected, calculated, \ argument
45 << " moneyness: " << moneyness << "\n" \
61 Real moneyness; member
123 ForwardVanillaOption option(values[i].moneyness, reset, in testValues()
133 values[i].v, values[i].moneyness, reset, in testValues()
190 ForwardVanillaOption option(values[i].moneyness, reset, in testPerformanceValues()
200 values[i].v, values[i].moneyness, reset, in testPerformanceValues()
223 Real moneyness[] = { 0.9, 1.0, 1.1 }; in testForwardGreeks() local
250 for (Size j=0; j<LENGTH(moneyness); j++) { in testForwardGreeks()
263 ForwardVanillaOption option(moneyness[j], reset, in testForwardGreeks()
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| H A D | cliquetoption.cpp | 81 Real moneyness = 1.1; in testValues() local
84 new PercentageStrikePayoff(type, moneyness)); in testValues()
120 Real moneyness[] = { 0.9, 1.0, 1.1 }; in testOptionGreeks() local
145 for (Size j=0; j<LENGTH(moneyness); j++) { in testOptionGreeks()
153 new PercentageStrikePayoff(types[i], moneyness[j])); in testOptionGreeks()
284 Real moneyness[] = { 0.9, 1.1 }; in testMcPerformance() local
309 for (Size j=0; j<LENGTH(moneyness); j++) { in testMcPerformance()
318 new PercentageStrikePayoff(types[i], moneyness[j])); in testMcPerformance()
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| H A D | blackformula.cpp | 98 Real moneyness = (strikes[i4] + displacements[i2]) / in testChambersImpliedVol() local
100 if(moneyness > 1.0) moneyness = 1.0 / moneyness; in testChambersImpliedVol()
101 Real error = (iStdDev - stdDevs[i5]) / stdDevs[i5] * moneyness; in testChambersImpliedVol()
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| H A D | quantooption.cpp | 72 #define QUANTO_FORWARD_REPORT_FAILURE(greekName, payoff, moneyness, \ argument
81 << " moneyness: " << io::percent(moneyness) << "\n" \
170 Real moneyness; member
567 QuantoForwardVanillaOption option(values[i].moneyness, reset, in testForwardValues()
575 QUANTO_FORWARD_REPORT_FAILURE("value", payoff, values[i].moneyness, in testForwardValues()
605 Real moneyness[] = { 0.9, 1.0, 1.1 }; in testForwardGreeks() local
641 for (Size j=0; j<LENGTH(moneyness); j++) { in testForwardGreeks()
653 QuantoForwardVanillaOption option(moneyness[j], reset, in testForwardGreeks()
778 moneyness[j], in testForwardGreeks()
862 QuantoForwardVanillaOption option(values[i].moneyness, reset, in testForwardPerformanceValues()
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| H A D | hestonmodel.cpp | 176 for (Real moneyness = -1.0; moneyness < 2.0; moneyness += 1.0) { in testBlackCalibration() local
184 const Real strikePrice = fwdPrice * std::exp(-moneyness * volatility in testBlackCalibration()
2853 const Real moneyness = 0.1; in testSmallSigmaExpansion4ExpFitting() local
2854 const Real strike = std::exp(-moneyness*std::sqrt(theta*maturity))*fwd; in testSmallSigmaExpansion4ExpFitting()
2971 const Real moneyness[] = { -20, -10, -5, 2.5, 1, 0, 1, 2.5, 5, 10, 20 }; in testExponentialFitting4StrikesAndMaturities() local
3055 for (Size j=0; j < LENGTH(moneyness); ++j, ++idx) { in testExponentialFitting4StrikesAndMaturities()
3057 std::exp(-moneyness[j]*std::sqrt(theta*t))*fwd; in testExponentialFitting4StrikesAndMaturities()
3226 const Real moneyness = moneynesses[i]; in testAsymptoticControlVariate() local
3228 const Real strike = std::exp(-moneyness*std::sqrt(theta*t)); in testAsymptoticControlVariate()
3246 << "\n moneyness : " << moneyness in testAsymptoticControlVariate()
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| H A D | andreasenhugevolatilityinterpl.cpp | 1032 const Real moneyness[] = { in testFlatVolCalibration() local
1051 for (Size j=0; j < LENGTH(moneyness); ++j) { in testFlatVolCalibration()
1052 const Real strike = fwd * moneyness[j]; in testFlatVolCalibration()
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/forward/ |
| H A D | forwardengine.hpp | 85 this->arguments_.moneyness * in setup()
157 this->arguments_.moneyness * in getOriginalResults()
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| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/swaption/ |
| H A D | swaptionvolcube1.hpp | 748 const Real moneyness = (atmForward+shift)/(strike+shift); in spreadVolInterpolation() local
754 strikes[i][j] = (atmForwards[i][j]+atmShifts[i][j])/moneyness - atmShifts[i][j]; in spreadVolInterpolation()
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| /dports/textproc/p5-Unicode-Tussle/Unicode-Tussle-1.111/data/ |
| H A D | words.utf8 | 259673 moneyness moneyness [n.]
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