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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/
H A Dbaroneadesiwhaleyengine.cpp50 switch (payoff->optionType()) { in criticalPrice()
55 (Su - payoff->strike()); in criticalPrice()
56 Si = payoff->strike() + (Su - payoff->strike()) * in criticalPrice()
63 (payoff->strike() - Su); in criticalPrice()
81 Real temp = blackFormula(payoff->optionType(), payoff->strike(), in criticalPrice()
83 switch (payoff->optionType()) { in criticalPrice()
86 LHS = Si - payoff->strike(); in criticalPrice()
96 LHS = Si - payoff->strike(); in criticalPrice()
97 Real temp2 = blackFormula(payoff->optionType(), payoff->strike(), in criticalPrice()
108 LHS = payoff->strike() - Si; in criticalPrice()
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H A Djuquadraticengine.cpp54 ext::shared_ptr<StrikedTypePayoff> payoff = in calculate() local
56 QL_REQUIRE(payoff, "non-striked payoff given"); in calculate()
59 ex->lastDate(), payoff->strike()); in calculate()
67 BlackCalculator black(payoff, forwardPrice, in calculate()
70 if (dividendDiscount>=1.0 && payoff->optionType()==Option::Call) { in calculate()
105 payoff, riskFreeDiscount, dividendDiscount, variance, in calculate()
115 switch (payoff->optionType()) { in calculate()
131 Real black_Sk = blackFormula(payoff->optionType(), payoff->strike(), in calculate()
133 Real hA = phi * (Sk - payoff->strike()) - black_Sk; in calculate()
172 * (phi * (Sk - payoff->strike()) - black_Sk) in calculate()
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H A Dfdhestonhullwhitevanillaengine.cpp66 arguments_.payoff); in calculate()
93 const ext::shared_ptr<StrikedTypePayoff> payoff = in calculate() local
94 ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff); in calculate()
95 QL_REQUIRE(payoff, "wrong payoff type given"); in calculate()
106 maturity, payoff->strike(), in calculate()
108 std::pair<Real, Real>(payoff->strike(), 0.1), in calculate()
171 cachedArgs2results_[i].first.payoff = in calculate()
173 payoff->optionType(), strikes_[i]); in calculate()
174 const Real d = payoff->strike()/strikes_[i]; in calculate()
190 VanillaOption option(payoff, exercise); in calculate()
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H A Dintegralengine.cpp31 Integrand(const ext::shared_ptr<Payoff>& payoff, in Integrand() argument
35 : payoff_(payoff), s0_(s0), drift_(drift), variance_(variance) {} in Integrand()
61 ext::shared_ptr<StrikedTypePayoff> payoff = in calculate() local
62 ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff); in calculate()
63 QL_REQUIRE(payoff, "non-striked payoff given"); in calculate()
67 arguments_.exercise->lastDate(), payoff->strike()); in calculate()
76 Integrand f(arguments_.payoff, in calculate()
H A Dfdcevvanillaengine.cpp46 const ext::shared_ptr<StrikedTypePayoff>& payoff, in PriceAtBoundary() argument
50 payoff_(payoff), in PriceAtBoundary()
93 const ext::shared_ptr<StrikedTypePayoff> payoff = in calculate() local
94 ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff); in calculate()
95 QL_REQUIRE(payoff, "non-striked payoff given"); in calculate()
111 std::make_pair(payoff->strike(), 0.1)); in calculate()
121 ext::make_shared<FdmCellAveragingInnerValue>(payoff, mesher, 0); in calculate()
134 maturityTime, payoff, rTS, in calculate()
143 const Real terminalCashFlow = (*payoff)(lowerBound); in calculate()
H A Dfdhestonvanillaengine.cpp88 const ext::shared_ptr<StrikedTypePayoff> payoff = in getSolverDesc() local
89 ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff); in getSolverDesc()
99 maturity, payoff->strike(), in getSolverDesc()
101 std::pair<Real, Real>(payoff->strike(), 0.1), in getSolverDesc()
123 new FdmLogInnerValue(arguments_.payoff, mesher, 0)); in getSolverDesc()
154 arguments_.payoff); in calculate()
187 const ext::shared_ptr<StrikedTypePayoff> payoff = in calculate() local
188 ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff); in calculate()
191 cachedArgs2results_[i].first.payoff = in calculate()
193 payoff->optionType(), strikes_[i]); in calculate()
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H A Danalyticdigitalamericanengine.cpp44 ext::shared_ptr<StrikedTypePayoff> payoff = in calculate() local
45 ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff); in calculate()
46 QL_REQUIRE(payoff, "non-striked payoff given"); in calculate()
53 payoff->strike()); in calculate()
62 payoff, knock_in()); in calculate()
66 dividendDiscount, variance, payoff); in calculate()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/variancegamma/
H A Dfftengine.cpp39 ext::shared_ptr<StrikedTypePayoff> payoff = in calculate() local
41 QL_REQUIRE(payoff, "non-striked payoff given"); in calculate()
55 calculateUncached(payoff, arguments_.exercise); in calculate()
96 ext::shared_ptr<StrikedTypePayoff> payoff = in precalculate() local
98 QL_REQUIRE(payoff, "non-striked payoff given"); in precalculate()
115 ext::shared_ptr<StrikedTypePayoff> payoff = *it; in precalculate() local
117 if (payoff->strike() > maxStrike) in precalculate()
118 maxStrike = payoff->strike(); in precalculate()
174 switch (payoff->optionType()) in precalculate()
177 resultMap_[expiryDate][payoff] = callPrice; in precalculate()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/lookback/
H A Dmclookbackengine.cpp78 ext::shared_ptr<PlainVanillaPayoff> payoff = in mc_lookback_path_pricer() local
80 QL_REQUIRE(payoff, "non-plain payoff given"); in mc_lookback_path_pricer()
83 new LookbackFixedPathPricer(payoff->optionType(), in mc_lookback_path_pricer()
84 payoff->strike(), in mc_lookback_path_pricer()
93 ext::shared_ptr<PlainVanillaPayoff> payoff = in mc_lookback_path_pricer() local
95 QL_REQUIRE(payoff, "non-plain payoff given"); in mc_lookback_path_pricer()
102 payoff->strike(), in mc_lookback_path_pricer()
111 ext::shared_ptr<FloatingTypePayoff> payoff = in mc_lookback_path_pricer() local
113 QL_REQUIRE(payoff, "non-floating payoff given"); in mc_lookback_path_pricer()
125 ext::shared_ptr<FloatingTypePayoff> payoff = in mc_lookback_path_pricer() local
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H A Danalyticcontinuousfixedlookback.cpp35 ext::shared_ptr<PlainVanillaPayoff> payoff = in calculate() local
36 ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); in calculate()
37 QL_REQUIRE(payoff, "Non-plain payoff given"); in calculate()
41 Real strike = payoff->strike(); in calculate()
43 switch (payoff->optionType()) { in calculate()
45 QL_REQUIRE(payoff->strike()>=0.0, in calculate()
53 QL_REQUIRE(payoff->strike()>0.0, in calculate()
71 ext::shared_ptr<PlainVanillaPayoff> payoff = in strike() local
72 ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); in strike()
73 QL_REQUIRE(payoff, "Non-plain payoff given"); in strike()
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H A Danalyticcontinuouspartialfixedlookback.cpp35 ext::shared_ptr<PlainVanillaPayoff> payoff = in calculate() local
36 ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); in calculate()
37 QL_REQUIRE(payoff, "Non-plain payoff given"); in calculate()
41 switch (payoff->optionType()) { in calculate()
43 QL_REQUIRE(payoff->strike()>=0.0, in calculate()
48 QL_REQUIRE(payoff->strike()>0.0, in calculate()
63 ext::shared_ptr<PlainVanillaPayoff> payoff = in strike() local
64 ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); in strike()
65 QL_REQUIRE(payoff, "Non-plain payoff given"); in strike()
66 return payoff->strike(); in strike()
/dports/math/gambit/gambit-16.0.1/src/python/gambit/tests/
H A Dtest_behav.py19 assert self.profile_double.payoff(self.game.players[0]) == 3.0
20 assert self.profile_double.payoff(self.game.players[1]) == 3.0
29 assert self.profile_double.payoff("Player 1") == 3.0
30 assert self.profile_double.payoff("Player 2") == 3.0
31 assert self.profile_double.payoff("Player 3") == 3.25
313 assert self.profile_double.payoff("U1") == 3.0
314 assert self.profile_double.payoff("D1") == 3.0
315 assert self.profile_double.payoff("U2") == 3.0
316 assert self.profile_double.payoff("D2") == 3.0
317 assert self.profile_double.payoff("U3") == 3.5
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/dports/math/lrslib/lrslib-071a/
H A Dnashdemo.c44 g->payoff[s][t][ROW].num=s+t; in main()
45 g->payoff[s][t][COL].num=s*t; in main()
46 g->payoff[s][t][ROW].den=1; in main()
47 g->payoff[s][t][COL].den=1; in main()
55 g->payoff[s][t][ROW].num=s+t; in main()
56 g->payoff[s][t][COL].num=1; in main()
57 g->payoff[s][t][ROW].den=2; in main()
58 g->payoff[s][t][COL].den=3; in main()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/
H A Dblackformula.hpp57 Real blackFormula(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
78 Real blackFormulaForwardDerivative(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
135 Real blackFormulaImpliedStdDevChambers(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
185 Real blackFormulaImpliedStdDev(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
219 Real blackFormulaImpliedStdDevLiRS(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
244 Real blackFormulaCashItmProbability(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
260 Real blackFormulaAssetItmProbability(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
293 Real blackFormulaStdDevDerivative(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
312 Real blackFormulaStdDevSecondDerivative(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
335 Real bachelierBlackFormula(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
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H A Dblackformula.cpp109 return blackFormula(payoff->optionType(), in blackFormula()
253 const ext::shared_ptr<PlainVanillaPayoff> &payoff, in blackFormulaImpliedStdDevChambers() argument
260 payoff->optionType(), payoff->strike(), forward, blackPrice, in blackFormulaImpliedStdDevChambers()
323 const ext::shared_ptr<PlainVanillaPayoff> &payoff, in blackFormulaImpliedStdDevApproximationRS() argument
328 payoff->optionType(), payoff->strike(), in blackFormulaImpliedStdDevApproximationRS()
451 return blackFormulaImpliedStdDev(payoff->optionType(), payoff->strike(), in blackFormulaImpliedStdDev()
546 const ext::shared_ptr<PlainVanillaPayoff>& payoff, in blackFormulaImpliedStdDevLiRS() argument
557 payoff->optionType(), payoff->strike(), in blackFormulaImpliedStdDevLiRS()
729 payoff->strike(), forward, stdDev, discount); in bachelierBlackFormula()
753 payoff->strike(), forward, stdDev, discount); in bachelierBlackFormulaForwardDerivative()
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/dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/utilities/
H A Dfdminnervaluecalculator.cpp40 const Payoff& payoff, in mapped_payoff()
42 : payoff(payoff), gridMapping_(gridMapping) {} in mapped_payoff()
44 Real operator()(Real x) const { return payoff(gridMapping_(x)); } in operator ()()
46 const Payoff& payoff; member
52 const ext::shared_ptr<Payoff>& payoff, in FdmCellAveragingInnerValue() argument
56 : payoff_(payoff), in FdmCellAveragingInnerValue()
121 const ext::shared_ptr<Payoff>& payoff, in FdmLogInnerValue() argument
125 payoff, mesher, direction, in FdmLogInnerValue()
131 const ext::shared_ptr<BasketPayoff>& payoff, in FdmLogBasketInnerValue() argument
133 : payoff_(payoff), in FdmLogBasketInnerValue()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/basket/
H A Dstulzengine.cpp86 ext::shared_ptr<StrikedTypePayoff> payoff(new in euroTwoAssetMaxBasketCall() local
89 Real black1 = blackFormula(payoff->optionType(), payoff->strike(), in euroTwoAssetMaxBasketCall()
92 Real black2 = blackFormula(payoff->optionType(), payoff->strike(), in euroTwoAssetMaxBasketCall()
121 ext::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff); in calculate()
124 ext::dynamic_pointer_cast<MinBasketPayoff>(arguments_.payoff); in calculate()
127 ext::dynamic_pointer_cast<MaxBasketPayoff>(arguments_.payoff); in calculate()
130 ext::shared_ptr<PlainVanillaPayoff> payoff = in calculate() local
132 QL_REQUIRE(payoff, "non-plain payoff given"); in calculate()
134 Real strike = payoff->strike(); in calculate()
156 switch (payoff->optionType()) { in calculate()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/capfloor/
H A Dgaussian1dcapfloorengine.cpp97 CubicInterpolation payoff( in calculate() local
105 0.0, payoff.cCoefficients()[j], in calculate()
106 payoff.bCoefficients()[j], in calculate()
107 payoff.aCoefficients()[j], p[j], z[j], z[j], in calculate()
125 payoff.cCoefficients()[z.size() - 2], in calculate()
169 CubicInterpolation payoff( in calculate() local
177 0.0, payoff.cCoefficients()[j], in calculate()
178 payoff.bCoefficients()[j], in calculate()
179 payoff.aCoefficients()[j], p[j], z[j], z[j], in calculate()
196 0.0, payoff.cCoefficients()[0], in calculate()
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/dports/finance/quantlib/QuantLib-1.20/ql/instruments/
H A Dlookbackoption.cpp27 const ext::shared_ptr<TypePayoff>& payoff, in ContinuousFloatingLookbackOption() argument
29 : OneAssetOption(payoff, exercise), in ContinuousFloatingLookbackOption()
55 const ext::shared_ptr<StrikedTypePayoff>& payoff, in ContinuousFixedLookbackOption() argument
57 : OneAssetOption(payoff, exercise), in ContinuousFixedLookbackOption()
84 const ext::shared_ptr<TypePayoff>& payoff, in ContinuousPartialFloatingLookbackOption() argument
86 : ContinuousFloatingLookbackOption(minmax, payoff, exercise), in ContinuousPartialFloatingLookbackOption()
112 ext::dynamic_pointer_cast<FloatingTypePayoff>(payoff); in validate()
126 const ext::shared_ptr<StrikedTypePayoff>& payoff, in ContinuousPartialFixedLookbackOption() argument
128 : ContinuousFixedLookbackOption(0, payoff, exercise), in ContinuousPartialFixedLookbackOption()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/exoticoptions/
H A Danalytictwoassetcorrelationengine.cpp41 const ext::shared_ptr<PlainVanillaPayoff> payoff = in calculate() local
42 ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); in calculate()
43 QL_REQUIRE(payoff, "non-plain payoff given"); in calculate()
44 QL_REQUIRE(payoff->strike()>0.0, "strike must be positive"); in calculate()
46 Real strike = payoff->strike();//X1 in calculate()
52 payoff->strike()); in calculate()
55 payoff->strike()); in calculate()
71 switch (payoff->optionType()) { in calculate()
/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dvariancegamma.cpp37 #define REPORT_FAILURE(greekName, payoff, exercise, s, q, r, today, sigma, \ argument
41 << payoff->optionType() << " option with " \
42 << payoffTypeToString(payoff) << " payoff:\n" \
44 << " strike: " << payoff->strike() <<"\n" \
165 ext::shared_ptr<StrikedTypePayoff> payoff(new in testVarianceGamma() local
167 payoffs.push_back(payoff); in testVarianceGamma()
178 REPORT_FAILURE("analytic value", payoff, exercise, in testVarianceGamma()
199 ext::shared_ptr<StrikedTypePayoff> payoff = in testVarianceGamma() local
201 REPORT_FAILURE("fft value", payoff, option->exercise(), in testVarianceGamma()
232 ext::shared_ptr<StrikedTypePayoff> payoff = in testSingularityAtZero() local
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H A Deuropeanoption.cpp184 new EuropeanOption(payoff, exercise)); in makeOption()
289 EuropeanOption option(payoff, exercise); in testValues()
374 ext::shared_ptr<StrikedTypePayoff> payoff; in testGreekValues() local
648 ext::shared_ptr<StrikedTypePayoff> payoff; in testGreeks() local
931 ext::shared_ptr<StrikedTypePayoff> payoff( in testImpliedVolContainment() local
1491 ext::shared_ptr<StrikedTypePayoff> payoff(new in testAnalyticEngineDiscountCurve() local
1495 EuropeanOption option(payoff, exercise); in testAnalyticEngineDiscountCurve()
1593 VanillaOption option(payoff, exercise); in testPDESchemes()
1616 payoff, exercise, in testPDESchemes()
1700 ext::shared_ptr<StrikedTypePayoff> payoff = in testFdEngineWithNonConstantParameters() local
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/dports/finance/quantlib/QuantLib-1.20/ql/
H A Doption.hpp41 Option(const ext::shared_ptr<Payoff>& payoff, in Option() argument
43 : payoff_(payoff), exercise_(exercise) {} in Option()
45 ext::shared_ptr<Payoff> payoff() { return payoff_; } in payoff() function in QuantLib::Option
61 QL_REQUIRE(payoff, "no payoff given"); in validate()
64 ext::shared_ptr<Payoff> payoff; member in QuantLib::Option::arguments
100 arguments->payoff = payoff_; in setupArguments()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/barrieroption/
H A Danalyticdoublebarrierengine.cpp38 ext::shared_ptr<PlainVanillaPayoff> payoff = in calculate() local
39 ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); in calculate()
40 QL_REQUIRE(payoff, "non-plain payoff given"); in calculate()
42 Real strike = payoff->strike(); in calculate()
58 switch (payoff->optionType()) { in calculate()
105 ext::shared_ptr<PlainVanillaPayoff> payoff = in strike() local
106 ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); in strike()
107 QL_REQUIRE(payoff, "non-plain payoff given"); in strike()
108 return payoff->strike(); in strike()
159 ext::shared_ptr<StrikedTypePayoff> payoff = in vanillaEquivalent() local
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/asian/
H A Dmc_discr_arith_av_price.hpp123 ext::shared_ptr<PlainVanillaPayoff> payoff = in pathPricer() local
125 this->arguments_.payoff); in pathPricer()
126 QL_REQUIRE(payoff, "non-plain payoff given"); in pathPricer()
136 payoff->optionType(), in pathPricer()
137 payoff->strike(), in pathPricer()
150 ext::shared_ptr<PlainVanillaPayoff> payoff = in controlPathPricer() local
152 this->arguments_.payoff); in controlPathPricer()
153 QL_REQUIRE(payoff, "non-plain payoff given"); in controlPathPricer()
166 payoff->optionType(), in controlPathPricer()
167 payoff->strike(), in controlPathPricer()

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