Examples of yearFraction()

Examples of org.jquantlib.daycounters.Actual360.yearFraction()

824
825
826
827
828
829
830
831
832
833
834
                                            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());
View Full Code Here

Examples of org.jquantlib.daycounters.Actual360.yearFraction()

467
468
469
470
471
472
473
474
475
476
477
                                    value_m = option.NPV();
                                    vol.setValue(v);
                                    expected.put("vega", (value_p - value_m)/(2*dv) );

                                    // perturb date and get theta
                                    final /*@Time*/ double dT = dc.yearFraction(today.sub(1), today.add(1));
                                    new Settings().setEvaluationDate(today.sub(1));
                                    value_m = option.NPV();
                                    new Settings().setEvaluationDate(today.add(1));
                                    value_p = option.NPV();
                                    new Settings().setEvaluationDate(today);
View Full Code Here

Examples of org.jquantlib.daycounters.Actual360.yearFraction()

431
432
433
434
435
436
437
438
439
440
441
                                                        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);
View Full Code Here

Examples of org.jquantlib.daycounters.Actual365Fixed.yearFraction()

164
165
166
167
168
169
170
171
172
173
174
        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);
View Full Code Here

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

216
217
218
219
220
221
222
223
224
225
226
            final Date rd1 = testCases[i].refStart;
            final Date rd2 = testCases[i].refEnd;

            QL.info(testCases[i].toString());

            /*@Time*/ final double  calculated = dayCounter.yearFraction(d1, d2, rd1, rd2);

            if (abs(calculated-testCases[i].result) > 1.0e-10) {
                final String period = "period: " + d1 + " to " + d2;
                String refPeriod = "";
                if (testCases[i].convention == ActualActual.Convention.ISMA) {
View Full Code Here

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

224
225
226
227
228
229
230
231
232
233
234
            final Date rd1 = testCases[i].refStart;
            final Date rd2 = testCases[i].refEnd;

            QL.info(testCases[i].toString());

            /*@Time*/ final double  calculated = dayCounter.yearFraction(d1, d2, rd1, rd2);

            if (abs(calculated-testCases[i].result) > 1.0e-10) {
                final String period = "period: " + d1 + " to " + d2;
                String refPeriod = "";
                if (testCases[i].convention == ActualActual.Convention.ISMA) {
View Full Code Here

Examples of org.jquantlib.daycounters.Business252.yearFraction()

328
329
330
331
332
333
334
335
336
337
338
        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
View Full Code Here

Examples of org.jquantlib.daycounters.Business252.yearFraction()

336
337
338
339
340
341
342
343
344
345
346
        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
View Full Code Here

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

824
825
826
827
828
829
830
831
832
833
834
                                            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());
View Full Code Here

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

137
138
139
140
141
142
143
144
145
146
147
        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);
        try {
            greeks.theta = black.theta(spot, t);
            moreGreeks.thetaPerDay = black.thetaPerDay(spot, t);
        } catch (final Exception e) {
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.