Package org.jquantlib.termstructures.yieldcurves

Examples of org.jquantlib.termstructures.yieldcurves.FlatForward

149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
    @Test
    public void testReferenceChange() {
        QL.info("Testing term structure against evaluation date change...");

        final YieldTermStructure localTermStructure = new FlatForward(settlementDays, new NullCalendar(), 0.03, new Actual360());

        final int days[] = { 10, 30, 60, 120, 360, 720 };
        /*@DiscountFactor*/ final double[] expected = new /*@DiscountFactor*/ double[days.length];

        final Date today = new Settings().evaluationDate();

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = today.add(days[i]);
            expected[i] = localTermStructure.discount(anotherDay);
        }

        final Date nextMonth = today.add(30);
        new Settings().setEvaluationDate(nextMonth);
        /*@DiscountFactor*/ final double[] calculated = new /*@DiscountFactor*/ double[days.length];

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = nextMonth.add(days[i]);
            calculated[i] = localTermStructure.discount(anotherDay);
        }

        for (int i=0; i<days.length; i++) {
            if (!Closeness.isClose(expected[i],calculated[i])) {
                fail("\n  Discount at " + days[i] + " days:\n"
View Full Code Here
251
252
253
254
255
256
257
258
259
260
261
        // FIXME: This code was added instead. Please remove when PiecewiseYieldCurve becomes ready
        //
        final Quote quote = new SimpleQuote(100.0);
        final Flag anotherFlag = new Flag();
        quote.addObserver(anotherFlag);
        h.linkTo(new FlatForward(today, new Handle<Quote>(quote), new Actual360()));
        if (!anotherFlag.isUp()) {
            fail("Observer was not notified of term structure change");
        }

        if (!flag.isUp()) {
View Full Code Here
121
122
123
124
125
126
127
128
129
130
131
132
133
        QL.require(s0 > 0.0, "negative value after subtracting dividends");

        // binomial trees with constant coefficient
        final Handle<Quote> underlying = new Handle<Quote>(new SimpleQuote(s0));
        final Handle<YieldTermStructure> flatRiskFree = new Handle<YieldTermStructure>(
                new FlatForward(referenceDate, riskFreeRate, rfdc));
        final Handle<YieldTermStructure> flatDividends = new Handle <YieldTermStructure>(
                new FlatForward(referenceDate, q, divdc));
        final Handle<BlackVolTermStructure> flatVol = new Handle<BlackVolTermStructure>(
                new BlackConstantVol(referenceDate, volcal, v, voldc));

        QL.require(a.payoff != null, "non-plain payoff given");
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff) a.payoff;
View Full Code Here
172
173
174
175
176
177
178
179
180
181
182
183
        final double rRate = process.riskFreeRate().currentLink().zeroRate(maturityDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).rate();
        final double qRate = process.dividendYield().currentLink().zeroRate(maturityDate, divdc, Compounding.Continuous, Frequency.NoFrequency).rate();
        final Date referenceDate = process.riskFreeRate().currentLink().referenceDate();

        // binomial trees with constant coefficient
        final Handle<YieldTermStructure> flatRiskFree = new Handle<YieldTermStructure>(new FlatForward(referenceDate, rRate, rfdc));
        final Handle<YieldTermStructure> flatDividends = new Handle<YieldTermStructure>(new FlatForward(referenceDate, qRate, divdc));
        final Handle<BlackVolTermStructure> flatVol = new Handle<BlackVolTermStructure>(new BlackConstantVol(referenceDate, volcal, v, voldc));
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff) a.payoff;
        QL.require(payoff!=null , "non-plain payoff given"); // QA:[RG]::verified // TODO: message

        final double maturity = rfdc.yearFraction(referenceDate, maturityDate);
View Full Code Here
188
189
190
191
192
193
194
195
196
197
198
        for (i = 0; lastContribution > relativeAccuracy && i < maxIterations || i < (int)(lambda*t); i++) {

            // constant vol/rate assumption. It should be relaxed
            v = Math.sqrt((variance + i * jumpSquareVol) / t);
            r = riskFreeRate - process.jumpIntensity().currentLink().value() * k + i * muPlusHalfSquareVol / t;
            riskFreeTS.linkTo(new FlatForward(rateRefDate, r, voldc));
            volTS.linkTo(new BlackConstantVol(rateRefDate, volcal, v, voldc));

            baseArguments.validate();
            baseEngine.calculate();

View Full Code Here
194
195
196
197
198
199
200
201
        Date date = settlementDate;
        if (date.isNull()) {
            date = new Settings().evaluationDate();
        }

        final YieldTermStructure flatRate = new FlatForward(date, irr.rate(), irr.dayCounter(), irr.compounding(), irr.frequency());
        return npv(cashflows, new Handle<YieldTermStructure>(flatRate), date, date, 0);
    }
View Full Code Here
270
271
272
273
274
275
276
277
278
    public double bps(final Leg cashflows, final InterestRate irr, Date settlementDate){
        if (settlementDate.isNull())
        {
            settlementDate = new Settings().evaluationDate();
        }
        final YieldTermStructure flatRate = new FlatForward(settlementDate, irr.rate(),
                    irr.dayCounter(), irr.compounding(), irr.frequency());
        return bps(cashflows, new Handle<YieldTermStructure>(flatRate), settlementDate, settlementDate);
     }
View Full Code Here
194
195
196
197
198
199
200
201
        Date date = settlementDate;
        if (date.isNull()) {
            date = new Settings().evaluationDate();
        }

        final YieldTermStructure flatRate = new FlatForward(date, irr.rate(), irr.dayCounter(), irr.compounding(), irr.frequency());
        return npv(cashflows, new Handle<YieldTermStructure>(flatRate), date, date, 0);
    }
View Full Code Here
270
271
272
273
274
275
276
277
278
    public double bps(final Leg cashflows, final InterestRate irr, Date settlementDate){
        if (settlementDate.isNull())
        {
            settlementDate = new Settings().evaluationDate();
        }
        final YieldTermStructure flatRate = new FlatForward(settlementDate, irr.rate(),
                    irr.dayCounter(), irr.compounding(), irr.frequency());
        return bps(cashflows, new Handle<YieldTermStructure>(flatRate), settlementDate, settlementDate);
     }
View Full Code Here
168
169
170
171
172
173
174
175
176
177
178
179
        // Define exercise for American Options
        final Exercise americanExercise = new AmericanExercise(settlementDate, maturity);

        // bootstrap the yield/dividend/volatility curves
        final Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        final Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
        final Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
        final Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
        final Payoff payoff = new PlainVanillaPayoff(type, strike);

        // European Options
        final VanillaOption europeanOption = new EuropeanOption(payoff, europeanExercise);
View Full Code Here
TOP

Related Classes of org.jquantlib.termstructures.yieldcurves.FlatForward

  • org.jquantlib.cashflow.CashFlows
  • org.jquantlib.helpers.CRRDividendOptionHelper
  • org.jquantlib.helpers.FDDividendOptionHelper
  • org.jquantlib.ooimpl.OptionHelper
  • org.jquantlib.pricingengines.BinomialConvertibleEngine
  • org.jquantlib.pricingengines.vanilla.BinomialDividendVanillaEngine
  • org.jquantlib.pricingengines.vanilla.BinomialVanillaEngine
  • org.jquantlib.pricingengines.vanilla.JumpDiffusionEngine
  • org.jquantlib.quotes.SimpleQuote
  • org.jquantlib.samples.ConvertibleBonds
    • 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.