Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.DayCounter

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                                            this.arguments.dividends.get(i).date());
               dividendValues.set(i, value);
           }
       }

       final DayCounter dayCounter = this.process.riskFreeRate().currentLink().dayCounter();
       final Date bondSettlement = this.arguments.settlementDate;

       stoppingTimes = new ArrayList<Double>(this.arguments.exercise.dates().size());
       for (int i=0; i<this.arguments.exercise.dates().size(); ++i)
           stoppingTimes.add(dayCounter.yearFraction(bondSettlement,
                                       this.arguments.exercise.date(i)));

       callabilityTimes = new ArrayList<Double>(this.arguments.callabilityDates.size());
       for (int i=0; i<this.arguments.callabilityDates.size(); ++i)
           callabilityTimes.add(dayCounter.yearFraction(bondSettlement,
                                       this.arguments.callabilityDates.get(i)));

       couponTimes = new ArrayList<Double>(this.arguments.couponDates.size());
       for (int i=0; i<this.arguments.couponDates.size(); ++i)
           couponTimes.add(dayCounter.yearFraction(bondSettlement,
                                       this.arguments.couponDates.get(i)));

       dividendTimes = new ArrayList<Double>(this.arguments.dividendDates.size());
       for (int i=0; i<this.arguments.dividendDates.size(); ++i)
           dividendTimes.add(dayCounter.yearFraction(bondSettlement,
                                       this.arguments.dividendDates.get(i)));

       if (!grid.empty()) {
           // adjust times to grid
           for (int i=0; i<stoppingTimes.size(); i++)
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            // values_ = Array(size, this.arguments.cashFlows.back()->amount());

            conversionProbability = new Array(size).fill(0.0);
            spreadAdjustedRate = new Array(size).fill(0.0);

            final DayCounter rfdc  = this.process.riskFreeRate().currentLink().dayCounter();

            // this takes care of convertibility and conversion probabilities
            adjustValues();

            final double creditSpread = this.arguments.creditSpread.currentLink().value();
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        final DividendSchedule dividends = new DividendSchedule();
        final CallabilitySchedule callability = new CallabilitySchedule();

        final double[] coupons = new double[] { 1.0, 0.05 };

        final DayCounter bondDayCount = new Thirty360();

        // Call dates, years 2, 4
        final int[] callLength = { 2, 4 };
        // Put dates year 3
        final int[] putLength = { 3 };

        final double[] callPrices = {101.5, 100.85};
        final double[] putPrices = { 105.0 };

        for(int i=0; i<callLength.length; i++){
            callability.add(
                    new SoftCallability(
                        new Callability.Price(callPrices[i], Callability.Price.Type.Clean),
                        schedule.date(callLength[i]),
                        1.20));
        }

        for (int j=0; j<putLength.length; j++) {
            callability.add(
                    new Callability(
                            new Callability.Price(putPrices[j],Callability.Price.Type.Clean),
                            Callability.Type.Put,
                            schedule.date(putLength[j])));
        }

        // Assume dividends are paid every 6 months.
        for (final Date d = today.add(new Period(6, TimeUnit.Months)); d.lt(exerciseDate); d.addAssign(new Period(6, TimeUnit.Months))) {
            dividends.add(new FixedDividend(1.0, d));
        }

        final DayCounter dayCounter = new Actual365Fixed();
        /*@Time*/ final double maturity = dayCounter.yearFraction(settlementDate,exerciseDate);

        System.out.println("option type = "+type);
        System.out.println("Time to maturity = "+maturity);
        System.out.println("Underlying price = "+underlying);
        System.out.println("Risk-free interest rate = "+riskFreeRate);
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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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        if (System.getProperty("EXPERIMENTAL") == null)
            throw new UnsupportedOperationException("Work in progress");

        final Calendar calendar = new Target();
        final Date today = Date.todaysDate();
        final DayCounter dayCount = new Actual365Fixed();
        final Handle<Quote> stateVariable = new Handle(new SimpleQuote(s0_.doubleValue()));
        final Handle<YieldTermStructure> riskFreeRate = new Handle(new FlatForward(today, r_.doubleValue(), dayCount));

        final Handle<YieldTermStructure> dividendYield = new Handle(new FlatForward(today, 0.0, dayCount));
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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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        final Date paymentDate = cf.date();
        boolean firstCouponFound = false;
        /*@Real*/double nominal = Constants.NULL_REAL;
        /*@Time*/double accrualPeriod = Constants.NULL_REAL;
        DayCounter dc = null;

        /*@Rate*/double result = 0.0;

        // QL starts at the next cashflow and only continues to the one after to
        // check that it isn't the same date. Also stop at the penultimate flow. The last flow
        // is not a Coupon
        final int startIndex = cashflows_.indexOf(cf);
        for (final CashFlow flow : Iterables.unmodifiableIterable(cashflows_.listIterator(startIndex))) {
            if (flow.date().ne(paymentDate)) {
                //TODO: Check with Richard, with break, code does not handle multiple CFs on paymentDate.
                continue; //break;
            }
            final Coupon cp = Coupon.class.isAssignableFrom(flow.getClass()) ? (Coupon)flow : null;
            if (cp != null) {
                if (firstCouponFound) {
                    QL.require(nominal == cp.nominal() &&
                            accrualPeriod == cp.accrualPeriod() &&
                            dc.equals(cp.dayCounter()),
                                "cannot aggregate accrued amount of two " +
                                "different coupons on " + paymentDate.toString());
                } else {
                    firstCouponFound = true;
                    nominal = cp.nominal();
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        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"); // 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;

 
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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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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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