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Searched refs:strike_ (Results 1 – 25 of 67) sorted by relevance

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/dports/finance/quantlib/QuantLib-1.20/ql/instruments/
H A Dpayoffs.cpp96 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 ()()
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H A Dforward.hpp149 : 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 ()()
H A Dmakeyoyinflationcapfloor.cpp35 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()
H A Dmakeswaption.cpp40 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>()
H A Dmakecapfloor.cpp32 : 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>()
H A Dpayoffs.hpp96 Real strike() const { return strike_; }; in strike()
100 : TypePayoff(type), strike_(strike) {} in StrikedTypePayoff()
101 Real strike_; member in QuantLib::StrikedTypePayoff
H A Dvarianceswap.hpp72 Real strike_; member in QuantLib::VarianceSwap
120 return strike_; in strike()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/
H A Damericanpayoffatexpiry.cpp47 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()
H A Dblackcalculator.cpp49 : 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()
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H A Damericanpayoffathit.cpp46 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()
/dports/finance/quantlib/QuantLib-1.20/ql/quotes/
H A Deurodollarfuturesquote.cpp34 : 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()
H A Dimpliedstddevquote.cpp33 : impliedStdev_(guess), optionType_(optionType), strike_(strike), in ImpliedStdDevQuote()
55 impliedStdev_ = blackFormulaImpliedStdDev(optionType_, strike_, in performCalculations()
/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/parasites/elements/dsp/
H A Dvoice.cc44 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()
/dports/finance/quantlib/QuantLib-1.20/ql/models/shortrate/calibrationhelpers/
H A Dswaptionhelper.cpp50 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()
/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/eurorack/elements/dsp/
H A Dvoice.cc45 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()
/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/yield/
H A Dquantotermstructure.hpp68 Real underlyingExchRateCorrelation_, strike_, exchRateATMlevel_; member in QuantLib::QuantoTermStructure
89 strike_(strike), exchRateATMlevel_(exchRateATMlevel) { in QuantoTermStructure()
129 * underlyingBlackVolTS_->blackVol(t, strike_, true) in zeroYieldImpl()
/dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/operators/
H A Dfdmcirop.cpp38 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()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/cliquet/
H A Dmcperformanceengine.cpp27 : strike_(strike), type_(type), discounts_(discounts) {} in PerformanceOptionPathPricer()
33 PlainVanillaPayoff payoff(type_,strike_); in operator ()()
/dports/finance/quantlib/QuantLib-1.20/Examples/DiscreteHedging/
H A DDiscreteHedging.cpp147 : 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 ()()
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/swaption/
H A Dgaussian1djamshidianswaptionengine.cpp33 : strike_(nominal), maturityDate_(maturityDate), in rStarFinder()
38 Real value = strike_; in operator ()()
49 Real strike_; member in QuantLib::Gaussian1dJamshidianSwaptionEngine::rStarFinder
H A Djamshidianswaptionengine.cpp34 …: 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
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/lattices/
H A Dextendedbinomialtree.cpp166 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()
/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/eurorack/braids/
H A Ddigital_oscillator.cc180 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()
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/dports/audio/lenticular-lv2/lenticular_lv2-0.5.0-14-g14d8075/parasites/braids/
H A Ddigital_oscillator.cc180 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 …]
/dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/solvers/
H A Dfdmsimple2dbssolver.cpp36 strike_(strike), in FdmSimple2dBSSolver()
45 solverDesc_.mesher, process_.currentLink(), strike_)); in performCalculations()

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