Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.DayCounter

127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
        greeks.delta = black.delta(spot);
        moreGreeks.deltaForward = black.deltaForward();
        moreGreeks.elasticity = black.elasticity(spot);
        greeks.gamma = black.gamma(spot);

        final DayCounter rfdc = process.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();
        final Date refDate = process.riskFreeRate().currentLink().referenceDate();
        /* @Time */double t = rfdc.yearFraction(refDate, a.exercise.lastDate());
        greeks.rho = black.rho(t);

        t = divdc.yearFraction(process.dividendYield().currentLink().referenceDate(), a.exercise.lastDate());
        greeks.dividendRho = black.dividendRho(t);

        t = voldc.yearFraction(process.blackVolatility().currentLink().referenceDate(), a.exercise.lastDate());
        greeks.vega = black.vega(t);
        try {
            greeks.theta = black.theta(spot, t);
            moreGreeks.thetaPerDay = black.thetaPerDay(spot, t);
        } catch (final Exception e) {
View Full Code Here
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff)arguments.payoff;

        /*@Volatility*/ final double volatility = process.blackVolatility().currentLink().blackVol(exercise, payoff.strike());
        /*@Real*/ final double variance = process.blackVolatility().currentLink().blackVariance(exercise, payoff.strike());
        /*@DiscountFactor*/ final double  riskFreeDiscount = process.riskFreeRate().currentLink().discount(exercise);
        final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

        /*@Spread*/ final double dividendYield = 0.5 * (
                process.riskFreeRate().currentLink().zeroRate(
                        exercise,
                        rfdc,
                        Compounding.Continuous,
                        Frequency.NoFrequency).rate() + process.dividendYield().currentLink().zeroRate(
                                exercise,
                                divdc,
                                Compounding.Continuous,
                                Frequency.NoFrequency).rate() + volatility*volatility/6.0);

        /*@Time*/ final double t_q = divdc.yearFraction(
                process.dividendYield().currentLink().referenceDate(), exercise);
        /*@DiscountFactor*/ final double dividendDiscount = Math.exp(-dividendYield*t_q);
        /*@Real*/ final double spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        /*@Real*/ final double forward = spot * dividendDiscount / riskFreeDiscount;

        final BlackCalculator black = new BlackCalculator(payoff, forward, Math.sqrt(variance/3.0),riskFreeDiscount);
        r.value = black.value();
        greeks.delta = black.delta(spot);
        greeks.gamma = black.gamma(spot);
        greeks.dividendRho = black.dividendRho(t_q)/2.0;

        /*@Time*/ final double t_r = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(),
                a.exercise.lastDate());
        greeks.rho = black.rho(t_r) + 0.5 * black.dividendRho(t_q);

        /*@Time*/ final double t_v = voldc.yearFraction(
                process.blackVolatility().currentLink().referenceDate(),
                a.exercise.lastDate());
        greeks.vega = black.vega(t_v)/Math.sqrt(3.0) +
        black.dividendRho(t_q)*volatility/6.0;

 
View Full Code Here
213
214
215
216
217
218
219
220
221
222
223
        /* @Real */final double underlyings[] = { 100.0 };
        /* @Rate */final double qRates[] = { 0.00, 0.05 };
        /* @Rate */final double rRates[] = { 0.01, 0.05, 0.15 };
        /* @Volatility */final double vols[] = { 0.11, 0.50, 1.20 };

        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote vol = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
View Full Code Here
71
72
73
74
75
76
77
     * @warning term structures initialized by means of this
     *          constructor must manage their own reference date
     *          by overriding the referenceDate() method.
     */
    public BlackVolatilityTermStructure() {
        super(new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
View Full Code Here
82
83
84
85
86
87
88
     * @warning term structures initialized by means of this
     *          constructor must manage their own reference date
     *          by overriding the referenceDate() method.
     */
    public BlackVolatilityTermStructure(final Calendar cal) {
        super(cal, BusinessDayConvention.Following, new DayCounter());
    }
View Full Code Here
93
94
95
96
97
98
99
     * @warning term structures initialized by means of this
     *          constructor must manage their own reference date
     *          by overriding the referenceDate() method.
     */
    public BlackVolatilityTermStructure(final Calendar cal, final BusinessDayConvention bdc) {
        super(cal, bdc, new DayCounter());
    }
View Full Code Here
113
114
115
116
117
118
119
    /**
     * Initialize with a fixed reference date
     */
    public BlackVolatilityTermStructure(final Date referenceDate) {
        super(referenceDate, new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
View Full Code Here
122
123
124
125
126
127
128
     * Initialize with a fixed reference date
     */
    public BlackVolatilityTermStructure(
            final Date referenceDate,
            final Calendar cal) {
        super(referenceDate, cal, BusinessDayConvention.Following, new DayCounter());
    }
View Full Code Here
132
133
134
135
136
137
138
     */
    public BlackVolatilityTermStructure(
            final Date referenceDate,
            final Calendar cal,
            final BusinessDayConvention bdc) {
        super(referenceDate, cal, bdc, new DayCounter());
    }
View Full Code Here
154
155
156
157
158
159
160
     * Calculate the reference date based on the global evaluation date
     */
    public BlackVolatilityTermStructure(
            /*@Natural*/ final int settlementDays,
            final Calendar cal) {
        super(settlementDays, cal, BusinessDayConvention.Following, new DayCounter());
    }
View Full Code Here
TOP

Related Classes of org.jquantlib.daycounters.DayCounter

  • org.jquantlib.cashflow.CappedFlooredCmsCoupon
  • org.jquantlib.cashflow.CappedFlooredIborCoupon
  • org.jquantlib.cashflow.CashFlows
  • org.jquantlib.cashflow.CmsCoupon
  • org.jquantlib.cashflow.FixedRateLeg
  • org.jquantlib.cashflow.IborCoupon
  • org.jquantlib.instruments.Bond
  • org.jquantlib.ooimpl.OptionHelper
  • org.jquantlib.pricingengines.AnalyticEuropeanEngine
  • org.jquantlib.pricingengines.asian.AnalyticContinuousGeometricAveragePriceAsianEngine
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.