List of yearFraction() Examples

Examples of yearFraction()

org.jquantlib.daycounters.Actual360.yearFraction()
org.jquantlib.daycounters.Actual365Fixed.yearFraction()
org.jquantlib.daycounters.ActualActual.yearFraction()
org.jquantlib.daycounters.Business252.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
org.jquantlib.daycounters.SimpleDayCounter.yearFraction()

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


        /*@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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Examples of org.jquantlib.daycounters.DayCounter.yearFraction()

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

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

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


            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }

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

            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }

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

            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }




    //

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

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

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

            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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