Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.DayCounter

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        this.accrualEndTimes_ = new ArrayList<Double>(size_);
        this.accrualPeriod_ = new ArrayList<Double>(size_);
        this.m1 = new Array(size_);
        this.m2 = new Array(size_);

        final DayCounter dayCounter = index_.dayCounter();
        final List<CashFlow> flows = null /* cashFlows() */; // FIXME: translate cashFlows();

        QL.require(this.size_ == flows.size() , wrong_number_of_cashflows); // QA:[RG]::verified // TODO: message

        final Date settlement = index_.termStructure().currentLink().referenceDate();
        final Date startDate = ((IborCoupon) flows.get(0)).fixingDate();
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // QA:[RG]::verified // TODO: message

            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());

            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }
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    //

    @Override
    public void calculate() /* @ReadOnly */ {

        final DayCounter rfdc  = process_.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process_.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process_.blackVolatility().currentLink().dayCounter();
        final Calendar volcal = process_.blackVolatility().currentLink().calendar();

        /*@Real*/ double s0 = process_.x0();
        QL.require(s0 > 0.0, "negative or null underlying");
        final /*@Volatility*/ double v = process_.blackVolatility().currentLink().blackVol(a.exercise.lastDate(), s0);
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            runningLog = 1.0;
            pastFixings = 0;
        }

        final Date referenceDate = process.riskFreeRate().currentLink().referenceDate();
        final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

        // TODO: consider double[] instead
        final List<Double> fixingTimes = new ArrayList<Double>();
        /*@Size*/ int i;
        for (i=0; i<a.fixingDates.size(); i++) {
            if (a.fixingDates.get(i).ge(referenceDate)) {
                /*@Time*/ final double t = voldc.yearFraction(referenceDate,
                        a.fixingDates.get(i));
                fixingTimes.add(Double.valueOf(t));
            }
        }

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            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();

            double /*@Time*/ t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), 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);
            greeks.theta       = black.theta(spot, t);

            moreGreeks.thetaPerDay        = black.thetaPerDay(spot, t);
            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
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    public void calculate() /*@ReadOnly*/ {
        //FIXME: code review: what about BermudanExercise?
        //QL.require(a.exercise.type() == Exercise.Type.European || a.exercise.type() == Exercise.Type.American,
        //           "neither European nor American option"); // TODO: message

        final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();
        final Calendar volcal  = process.blackVolatility().currentLink().calendar();

        final double s0 = process.stateVariable().currentLink().value();
        QL.require(s0 > 0.0 , "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        final double v = process.blackVolatility().currentLink().blackVol(a.exercise.lastDate(), s0);
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            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();
            double /*@Time*/ t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), 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);
            greeks.theta           = black.theta(spot, t);
            moreGreeks.thetaPerDay = black.thetaPerDay(spot, t);

            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
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            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();

            double /* @Time */t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), 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);
            greeks.theta           = black.theta(spot, t);
            moreGreeks.thetaPerDay = black.thetaPerDay(spot, t);

            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
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        final double /* @Real */lambda = (k + 1.0) * process.jumpIntensity().currentLink().value();

        // dummy strike
        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(A.exercise.lastDate(), 1.0);

        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();
        final Calendar volcal = process.blackVolatility().currentLink().calendar();
        final Date volRefDate = process.blackVolatility().currentLink().referenceDate();
        final double /* @Time */t = voldc.yearFraction(volRefDate, A.exercise.lastDate());
        final double /* @Rate */riskFreeRate = -Math.log(process.riskFreeRate().currentLink().discount(A.exercise.lastDate())) / t;
        final Date rateRefDate = process.riskFreeRate().currentLink().referenceDate();

        final PoissonDistribution p = new PoissonDistribution(lambda * t);

 
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        r.value = black.value();
        greeks.delta = black.delta(spot);
        greeks.gamma = black.gamma(spot);

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

        double delta_theta = 0.0, delta_rho = 0.0;
        for (int i = 0; i < a.cashFlow.size(); i++) {
            final CashFlow cashflow = a.cashFlow.get(i);
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            leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, end));
        } else {
            Date ref = end.sub(schedule_.tenor());
            ref = calendar.adjust(ref, schedule_.businessDayConvention());
            // FIXME: empty() method on dayCounter missing --> substituted by == null (probably incorrect)
            final DayCounter dc = (firstPeriodDayCounter_ == null) ? paymentDayCounter_ : firstPeriodDayCounter_;
            leg.add(new FixedRateCoupon(nominal, paymentDate, rate, dc, start, end, ref, end));
        }
        // regular periods
        for (int i = 2; i < schedule_.size() - 1; ++i) {
            start = end;
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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
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