Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.DayCounter


        /* @Rate */ final double qRates[] = { 0.00, 0.10, 0.30 };
        /* @Rate */ final double rRates[] = { 0.01, 0.05, 0.15 };
        /* @Integer */ final int lengths[] = { 1, 2 };
        /* @Volatility */ final double vols[] = { 0.05, 0.20, 0.70 };

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

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
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        /* @Rate */ final double qRates[] = { 0.00, 0.10, 0.30 };
        /* @Rate */ final double rRates[] = { 0.01, 0.05, 0.15 };
        /* @Integer */ final int lengths[] = { 1, 2 };
        /* @Volatility */ final double vols[] = { 0.05, 0.20, 0.70 };

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

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
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        /* @Rate */ final double qRates[] = { 0.00, 0.10, 0.30 };
        /* @Rate */ final double rRates[] = { 0.01, 0.05, 0.15 };
        /* @Integer */ final int lengths[] = { 1, 2 };
        /* @Volatility */ final double vols[] = { 0.05, 0.20, 0.40 };

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

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(qRate, dc));
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(rRate, dc));
        final SimpleQuote vol = new SimpleQuote(0.0);
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(vol, dc));

        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Years));
                  final Exercise exercise = new EuropeanExercise(exDate);

                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  for (final Date d = today.add(new Period(3, TimeUnit.Months));
                             d.lt(exercise.lastDate());
                             d.addAssign(new Period(6, TimeUnit.Months))) {
                      dividendDates.add(d.clone());
                      dividends.add(5.0);
                  }

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);

                  for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);

                                /* @Real */ final double value = option.NPV();
                                calculated.put("delta", option.delta());
                                calculated.put("gamma", option.gamma());
                                calculated.put("theta", option.theta());
                                calculated.put("rho",   option.rho());
                                calculated.put("vega",  option.vega());

                                if (value > spot.value()*1.0e-5) {
                                    // perturb spot and get delta and gamma
                                    /* @Real */ final double du = u*1.0e-4;
                                    spot.setValue(u+du);
                                    /* @Real */ double value_p = option.NPV();
                                    final double delta_p = option.delta();
                                    spot.setValue(u-du);
                                    /* @Real */ double value_m = option.NPV();
                                    final double delta_m = option.delta();
                                    spot.setValue(u);
                                    expected.put("delta", (value_p - value_m)/(2*du) );
                                    expected.put("gamma", (delta_p - delta_m)/(2*du) );

                                    // perturb risk-free /* @Rate */ double and get rho
                                    final /* @Spread */ double dr = r*1.0e-4;
                                    rRate.setValue(r+dr);
                                    value_p = option.NPV();
                                    rRate.setValue(r-dr);
                                    value_m = option.NPV();
                                    rRate.setValue(r);
                                    expected.put("rho", (value_p - value_m)/(2*dr) );

                                    // perturb /* @Volatility */ double and get vega
                                    final /* @Spread */ double dv = v*1.0e-4;
                                    vol.setValue(v+dv);
                                    value_p = option.NPV();
                                    vol.setValue(v-dv);
                                    value_m = option.NPV();
                                    vol.setValue(v);
                                    expected.put("vega", (value_p - value_m)/(2*dv) );

                                    // perturb date and get theta
                                    final /*@Time*/ double dT = dc.yearFraction(today.sub(1), today.add(1));
                                    new Settings().setEvaluationDate(today.sub(1));
                                    value_m = option.NPV();
                                    new Settings().setEvaluationDate(today.add(1));
                                    value_p = option.NPV();
                                    new Settings().setEvaluationDate(today);
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        /* @Rate */ final double qRates[] = { 0.00 };
        /* @Rate */ final double rRates[] = { 0.01, 0.05, 0.15 };
        /* @Integer */ final int lengths[] = { 1, 2 };
        /* @Volatility */ final double vols[] = { 0.05, 0.20, 0.40 };

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

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
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        /* @Real */ final double underlyings[] = { 100.0 };
        /* @Rate */ final double qRates[] = { 0.00, 0.10, 0.20 };
        /* @Rate */ final double rRates[] = { 0.01, 0.05, 0.15 };
        /* @Volatility */ final double vols[] = { 0.05, 0.20, 0.50 };

        final DayCounter dc = new Actual360();

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(qRate, dc));
        final SimpleQuote rRate = new SimpleQuote(0.0);
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            }
    }


    private <T extends FDEngineAdapter> void testFdDegenerate(final Class<T> engineClass, final Date today, final Exercise exercise) {
        final DayCounter dc = new Actual360();
        final SimpleQuote spot = new SimpleQuote(54.625);
        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(0.052706, dc));
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(0.0, dc));
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(0.282922, dc));
        final BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
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     *          by overriding the referenceDate() method.
     */
    public VolatilityTermStructure(
            final Calendar cal,
            final BusinessDayConvention bdc) {
        this(cal, bdc, new DayCounter());
    }
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     */
    public VolatilityTermStructure(
            final Date referenceDate,
            final Calendar cal,
            final BusinessDayConvention bdc) {
        this(referenceDate, cal, bdc, new DayCounter());
    }
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     */
    public VolatilityTermStructure(
            /*@Natural*/ final int settlementDays,
            final Calendar cal,
            final BusinessDayConvention bdc) {
        this(settlementDays, cal, bdc, new DayCounter());
    }
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        Date date = settlementDate;
        if (date.isNull()) {
            date = new Settings().evaluationDate();
        }

        final DayCounter dayCounter = rate.dayCounter();

        double P = 0.0;
        double d2Pdy2 = 0.0;
        final double y = rate.rate();
        final int N = rate.frequency().toInteger();

        for (int i = 0; i < cashFlows.size(); ++i) {
            if (!cashFlows.get(i).hasOccurred(date)) {
                final double t = dayCounter.yearFraction(date, cashFlows.get(i).date());
                final double c = cashFlows.get(i).amount();
                final double B = rate.discountFactor(t);

                P += c * B;
                switch (rate.compounding()) {
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