Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.DayCounter.yearFraction()

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                                        expected.put("vega", (value_p - value_m) / (2 * dv));

                                        // perturb date and get theta
                                        final Date yesterday = today.sub(1);
                                        final Date tomorrow = today.add(1);
                                        /* @Time */final double dT = dc.yearFraction(yesterday, tomorrow);
                                        new Settings().setEvaluationDate(yesterday);
                                        value_m = option.NPV();
                                        new Settings().setEvaluationDate(tomorrow);
                                        value_p = option.NPV();
                                        expected.put("theta", (value_p - value_m) / dT);
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        Date exercise = today.clone();
        exercise = exercise.add(new Period(2,TimeUnit.Years));


        final double residualTime = dc.yearFraction(today, exercise);

        final SimpleQuote spot = new SimpleQuote(0.0);
        final YieldTermStructure qTS = Utilities.flatRate(today, q, dc);
        final YieldTermStructure rTS = Utilities.flatRate(today, r, dc);
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