/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
H A D | baroneadesiwhaleyengine.cpp | 50 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() [all …]
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H A D | juquadraticengine.cpp | 54 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() [all …]
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H A D | fdhestonhullwhitevanillaengine.cpp | 66 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() [all …]
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H A D | integralengine.cpp | 31 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()
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H A D | fdcevvanillaengine.cpp | 46 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()
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H A D | fdhestonvanillaengine.cpp | 88 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() [all …]
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H A D | analyticdigitalamericanengine.cpp | 44 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/variancegamma/ |
H A D | fftengine.cpp | 39 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() [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/lookback/ |
H A D | mclookbackengine.cpp | 78 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 [all …]
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H A D | analyticcontinuousfixedlookback.cpp | 35 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() [all …]
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H A D | analyticcontinuouspartialfixedlookback.cpp | 35 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()
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/dports/math/gambit/gambit-16.0.1/src/python/gambit/tests/ |
H A D | test_behav.py | 19 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 [all …]
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/dports/math/lrslib/lrslib-071a/ |
H A D | nashdemo.c | 44 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/ |
H A D | blackformula.hpp | 57 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, [all …]
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H A D | blackformula.cpp | 109 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() [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/utilities/ |
H A D | fdminnervaluecalculator.cpp | 40 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/basket/ |
H A D | stulzengine.cpp | 86 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() [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/capfloor/ |
H A D | gaussian1dcapfloorengine.cpp | 97 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() [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/instruments/ |
H A D | lookbackoption.cpp | 27 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/exoticoptions/ |
H A D | analytictwoassetcorrelationengine.cpp | 41 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()
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/dports/finance/quantlib/QuantLib-1.20/test-suite/ |
H A D | variancegamma.cpp | 37 #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 [all …]
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H A D | europeanoption.cpp | 184 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 [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/ |
H A D | option.hpp | 41 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/barrieroption/ |
H A D | analyticdoublebarrierengine.cpp | 38 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 [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/asian/ |
H A D | mc_discr_arith_av_price.hpp | 123 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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