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

Class org.jquantlib.daycounters.DayCounter

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

org.jquantlib.daycounters.DayCounter.yearFraction()
Returns the period between two dates as a fraction of year @param dateStart @param dateEnd @return the period between two dates as a fraction of year

            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);
        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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        /*@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.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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                                            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);
                                            final double dT = dc.yearFraction(yesterday, tomorrow);
                                            new Settings().setEvaluationDate(yesterday);
                                            value_m = option.NPV();
                                            new Settings().setEvaluationDate(tomorrow);
                                            value_p = option.NPV();
                                            new Settings().setEvaluationDate(Date.todaysDate());

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


                                                        final Date yesterday = today.sub(1);
                                                        final Date tomorrow = today.add(1);
                                                        final double dT = dc.yearFraction(yesterday, tomorrow);
                                                        new Settings().setEvaluationDate(yesterday);
                                                        value_m = option.NPV();
                                                        new Settings().setEvaluationDate(tomorrow);
                                                        value_p = option.NPV();
                                                        new Settings().setEvaluationDate(today);

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        final DayCounter dayCounter = new SimpleDayCounter();


        for (final Date start = first; start.le(last); start.inc()) {
            for (int i=0; i<expected.length-1; i++) {
                final Date end = start.add(p[i]);
                /*@Time*/ final double  calculated = dayCounter.yearFraction(start, end);


                if (abs(calculated-expected[i]) > 1.0e-12) {
                    fail("from " + start + " to " + end + ":\n"
                            + "    calculated: " + calculated + "\n"
                            + "    expected:   " + expected[i]);

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        final DayCounter dayCounter = new SimpleDayCounter();


        for (final Date start = first; start.le(last); start.inc()) {
            for (int i=0; i<expected.length-1; i++) {
                final Date end = start.add(p[i]);
                /*@Time*/ final double  calculated = dayCounter.yearFraction(start, end);


                if (abs(calculated-expected[i]) <= 1.0e-12) {
                    fail("from " + start + " to " + end + ":\n"
                            + "    calculated: " + calculated + "\n"
                            + "    expected:   " + expected[i]);

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        final DayCounter dayCounter = new Business252(new Brazil(Brazil.Market.SETTLEMENT));


        for (int i=1; i<testDates.length-1; i++) {
            final Date start = testDates[i-1];
            final Date end = testDates[i];
            /*@Time*/ final double  calculated = dayCounter.yearFraction(start, end);
            // System.out.println(calculated);
            assertFalse(dayCounter.getClass().getName()
                    +"\n from "+start
                    +"\n to "+end
                    +"\n calculated: "+calculated

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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);
                                        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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