/dports/finance/quantlib/QuantLib-1.20/ql/instruments/ |
H A D | payoffs.cpp | 96 return std::max<Real>(price-strike_,0.0); in operator ()() 98 return std::max<Real>(strike_-price,0.0); in operator ()() 116 return price*std::max<Real>(Real(1.0)-strike_,0.0); in operator ()() 118 return price*std::max<Real>(strike_-Real(1.0),0.0); in operator ()() 136 return (price-strike_ > 0.0 ? price : 0.0); in operator ()() 138 return (strike_-price > 0.0 ? price : 0.0); in operator ()() 162 return (price-strike_ > 0.0 ? cashPayoff_ : 0.0); in operator ()() 164 return (strike_-price > 0.0 ? cashPayoff_ : 0.0); in operator ()() 187 return (price-strike_ >= 0.0 ? price-secondStrike_ : 0.0); in operator ()() 189 return (strike_-price >= 0.0 ? secondStrike_-price : 0.0); in operator ()() [all …]
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H A D | forward.hpp | 149 : type_(type),strike_(strike) { in ForwardTypePayoff() 153 Real strike() const { return strike_; }; in strike() 162 Real strike_; member in QuantLib::ForwardTypePayoff 199 return (price-strike_); in operator ()() 201 return (strike_-price); in operator ()()
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H A D | makeyoyinflationcapfloor.cpp | 35 strike_(Null<Rate>()), firstCapletExcluded_(false), in MakeYoYInflationCapFloor() 78 std::vector<Rate> strikeVector(1, strike_); in operator ext::shared_ptr<YoYInflationCapFloor>() 79 if (strike_ == Null<Rate>()) { in operator ext::shared_ptr<YoYInflationCapFloor>() 143 strike_ = strike; in withStrike() 150 QL_REQUIRE(strike_ == Null<Rate>(), "explicit strike already given"); in withAtmStrike()
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H A D | makeswaption.cpp | 40 strike_(strike), in MakeSwaption() 52 strike_(strike), in MakeSwaption() 81 Rate usedStrike = strike_; in operator ext::shared_ptr<Swaption>() 82 if (strike_ == Null<Rate>()) { in operator ext::shared_ptr<Swaption>()
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H A D | makecapfloor.cpp | 32 : capFloorType_(capFloorType), strike_(strike), in MakeCapFloor() 59 std::vector<Rate> strikeVector(1, strike_); in operator ext::shared_ptr<CapFloor>() 60 if (strike_ == Null<Rate>()) { in operator ext::shared_ptr<CapFloor>()
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H A D | payoffs.hpp | 96 Real strike() const { return strike_; }; in strike() 100 : TypePayoff(type), strike_(strike) {} in StrikedTypePayoff() 101 Real strike_; member in QuantLib::StrikedTypePayoff
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H A D | varianceswap.hpp | 72 Real strike_; member in QuantLib::VarianceSwap 120 return strike_; in strike()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/ |
H A D | americanpayoffatexpiry.cpp | 47 strike_ = payoff->strike(); in AmericanPayoffAtExpiry() 68 log_H_S_ = std::log(strike_/spot_); in AmericanPayoffAtExpiry() 69 Real log_S_H_ = std::log(spot_/strike_); in AmericanPayoffAtExpiry() 128 if (strike_<=spot_) { in AmericanPayoffAtExpiry() 145 if (strike_>=spot_) { in AmericanPayoffAtExpiry() 166 inTheMoney_ = (type==Option::Call && strike_<spot_) || in AmericanPayoffAtExpiry() 167 (type==Option::Put && strike_>spot_); in AmericanPayoffAtExpiry() 176 Y_ = std::pow(Real(strike_/spot_), Real(2.0*mu_)); in AmericanPayoffAtExpiry()
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H A D | blackcalculator.cpp | 49 : strike_(p->strike()), forward_(forward), stdDev_(stdDev), in BlackCalculator() 59 : strike_(strike), forward_(forward), stdDev_(stdDev), in BlackCalculator() 66 QL_REQUIRE(strike_>=0.0, in initialize() 67 "strike (" << strike_ << ") must be non-negative"); in initialize() 78 if (close(strike_, 0.0)) { in initialize() 86 d1_ = std::log(forward_/strike_)/stdDev_ + 0.5*stdDev_; in initialize() 95 if (close(forward_, strike_)) { in initialize() 102 } else if (forward_>strike_) { in initialize() 119 x_ = strike_; in initialize() 305 Real temp = std::log(strike_/forward_)/variance_; in vega() [all …]
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H A D | americanpayoffathit.cpp | 46 strike_ = payoff->strike(); in AmericanPayoffAtHit() 49 log_H_S_ = std::log(strike_/spot_); in AmericanPayoffAtHit() 89 if (strike_>spot_) { in AmericanPayoffAtHit() 104 if (strike_<spot_) { in AmericanPayoffAtHit() 123 inTheMoney_ = (type==Option::Call && strike_<spot_) || in AmericanPayoffAtHit() 124 (type==Option::Put && strike_>spot_); in AmericanPayoffAtHit() 131 forward_ = std::pow(strike_/spot_, muPlusLambda_); in AmericanPayoffAtHit() 132 X_ = std::pow(strike_/spot_, muMinusLambda_); in AmericanPayoffAtHit()
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/dports/finance/quantlib/QuantLib-1.20/ql/quotes/ |
H A D | eurodollarfuturesquote.cpp | 34 : impliedStdev_(guess), strike_(100.0-strike), in EurodollarFuturesImpliedStdDevQuote() 51 if (strike_>forwardValue) in isValid() 61 if (strike_>forwardValue) { in performCalculations() 63 blackFormulaImpliedStdDev(Option::Call, strike_, in performCalculations() 69 blackFormulaImpliedStdDev(Option::Put, strike_, in performCalculations()
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H A D | impliedstddevquote.cpp | 33 : impliedStdev_(guess), optionType_(optionType), strike_(strike), in ImpliedStdDevQuote() 55 impliedStdev_ = blackFormulaImpliedStdDev(optionType_, strike_, in performCalculations()
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/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/parasites/elements/dsp/ |
H A D | voice.cc | 44 strike_.Init(); in Init() 108 strike_.set_meta( in Process() 112 strike_.set_timbre(patch.exciter_strike_timbre); in Process() 113 strike_.set_signature(patch.exciter_signature); in Process() 135 strike_.Process(flags, strike_buffer_, size); in Process() 181 damping -= strike_.damping() * strike_level * 0.125f; in Process()
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/dports/finance/quantlib/QuantLib-1.20/ql/models/shortrate/calibrationhelpers/ |
H A D | swaptionhelper.cpp | 50 strike_(strike), nominal_(nominal) in SwaptionHelper() 73 strike_(strike), nominal_(nominal) in SwaptionHelper() 96 strike_(strike), nominal_(nominal) in SwaptionHelper() 183 if(strike_ == Null<Real>()) { in performCalculations() 187 exerciseRate_ = strike_; in performCalculations() 188 type = strike_ <= forward ? VanillaSwap::Receiver : VanillaSwap::Payer; in performCalculations()
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/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/eurorack/elements/dsp/ |
H A D | voice.cc | 45 strike_.Init(); in Init() 130 strike_.set_meta( in Process() 134 strike_.set_timbre(patch.exciter_strike_timbre); in Process() 135 strike_.set_signature(patch.exciter_signature); in Process() 157 strike_.Process(flags, strike_buffer_, size); in Process() 203 damping -= strike_.damping() * strike_level * 0.125f; in Process()
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/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/yield/ |
H A D | quantotermstructure.hpp | 68 Real underlyingExchRateCorrelation_, strike_, exchRateATMlevel_; member in QuantLib::QuantoTermStructure 89 strike_(strike), exchRateATMlevel_(exchRateATMlevel) { in QuantoTermStructure() 129 * underlyingBlackVolTS_->blackVol(t, strike_, true) in zeroYieldImpl()
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/dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/operators/ |
H A D | fdmcirop.cpp | 38 strike_(strike), in FdmCIREquityPart() 45 const Real v = sigma1_->blackForwardVariance(t1, t2, strike_)/(t2-t1); in setTime() 85 strike_(strike){ in FdmCIRMixedPart() 89 const Real v = std::sqrt(sigma1_->blackForwardVariance(t1, t2, strike_)/(t2-t1)); in setTime()
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/cliquet/ |
H A D | mcperformanceengine.cpp | 27 : strike_(strike), type_(type), discounts_(discounts) {} in PerformanceOptionPathPricer() 33 PlainVanillaPayoff payoff(type_,strike_); in operator ()()
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/dports/finance/quantlib/QuantLib-1.20/Examples/DiscreteHedging/ |
H A D | DiscreteHedging.cpp | 147 : type_(type), strike_(strike), in ReplicationPathPricer() 149 QL_REQUIRE(strike_ > 0.0, "strike must be positive"); in ReplicationPathPricer() 162 Real strike_; member in ReplicationPathPricer 239 new PlainVanillaPayoff(type_,strike_)); in operator ()() 288 Real optionPayoff = PlainVanillaPayoff(type_, strike_)(stock); in operator ()()
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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() 38 Real value = strike_; in operator ()() 49 Real strike_; member in QuantLib::Gaussian1dJamshidianSwaptionEngine::rStarFinder
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H A D | jamshidianswaptionengine.cpp | 34 …: strike_(nominal), maturity_(maturity), valueTime_(valueTime), times_(fixedPayTimes), amounts_(am… in rStarFinder() 37 Real value = strike_; in operator ()() 48 Real strike_; member in QuantLib::JamshidianSwaptionEngine::rStarFinder
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/dports/finance/quantlib/QuantLib-1.20/ql/experimental/lattices/ |
H A D | extendedbinomialtree.cpp | 166 end_(end), oddSteps_((steps % 2) != 0U ? steps : steps + 1), strike_(strike) { in ExtendedLeisenReimer() 187 Real d2 = (std::log(x0_/strike_) + this->driftStep(stepTime)*oddSteps_ ) / in underlying() 203 Real d2 = (std::log(x0_/strike_) + this->driftStep(stepTime)*oddSteps_ ) / in probability() 240 end_(end), oddSteps_((steps % 2) != 0U ? steps : steps + 1), strike_(strike) { in ExtendedJoshi4() 260 Real d2 = (std::log(x0_/strike_) + this->driftStep(stepTime)*oddSteps_ ) / in underlying() 275 Real d2 = (std::log(x0_/strike_) + this->driftStep(stepTime)*oddSteps_ ) / in probability()
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/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/eurorack/braids/ |
H A D | digital_oscillator.cc | 180 if (strike_) { in RenderSawSwarm() 476 if (strike_) { in RenderVowel() 872 if (strike_) { in RenderStruckBell() 995 if (strike_) { in RenderStruckDrum() 1093 if (strike_) { in RenderPlucked() 1204 if (strike_) { in RenderBowed() 1312 if (strike_) { in RenderBlown() 1382 if (strike_) { in RenderFluted() 1760 if (strike_) { in RenderWaveParaphonic() 1963 if (strike_) { in RenderClockedNoise() [all …]
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/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/parasites/braids/ |
H A D | digital_oscillator.cc | 180 if (strike_) { in RenderSawSwarm() 476 if (strike_) { in RenderVowel() 872 if (strike_) { in RenderStruckBell() 995 if (strike_) { in RenderStruckDrum() 1093 if (strike_) { in RenderPlucked() 1204 if (strike_) { in RenderBowed() 1312 if (strike_) { in RenderBlown() 1382 if (strike_) { in RenderFluted() 1760 if (strike_) { in RenderWaveParaphonic() 1963 if (strike_) { in RenderClockedNoise() [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/solvers/ |
H A D | fdmsimple2dbssolver.cpp | 36 strike_(strike), in FdmSimple2dBSSolver() 45 solverDesc_.mesher, process_.currentLink(), strike_)); in performCalculations()
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