Examples of YieldTermStructure

Examples of org.jquantlib.termstructures.YieldTermStructure

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        final DayCounter dc = new Actual360();

        final SimpleQuote           spot  = new SimpleQuote(0.0);
        final SimpleQuote           qRate = new SimpleQuote(0.0);
        final YieldTermStructure    qTS   = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.0);
        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        for (int i=0; i<values.length-1; i++) {
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Examples of org.jquantlib.termstructures.YieldTermStructure

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

        final DayCounter         dc    = new Actual360();
        final SimpleQuote        spot  = new SimpleQuote(0.0);
        final SimpleQuote        qRate = new SimpleQuote(0.0);
        final YieldTermStructure qTS   = Utilities.flatRate(today, qRate, dc);

        final SimpleQuote           rRate = new SimpleQuote(0.0);
        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);


        StrikedTypePayoff payoff;
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Examples of org.jquantlib.termstructures.YieldTermStructure

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

        final SimpleQuote           spot  = new SimpleQuote(0.0);
        final SimpleQuote           qRate = new SimpleQuote(0.0);
        final YieldTermStructure    qTS   = Utilities.flatRate(qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.0);
        final YieldTermStructure    rTS   = Utilities.flatRate(rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(vol, dc);

        for (final Type type : types) {
            for (final double strike : strikes) {
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Examples of org.jquantlib.termstructures.YieldTermStructure

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        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();

        final SimpleQuote           spot  = new SimpleQuote(0.0);
        final SimpleQuote           qRate = new SimpleQuote(0.0);
        final YieldTermStructure    qTS   = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.0);
        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        for (final Type type : types) {
            for (final double strike2 : strikes) {
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Examples of org.jquantlib.termstructures.YieldTermStructure

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        final DayCounter dc = new Actual360();
        final SimpleQuote           spot  = new SimpleQuote(100.0);
        final Quote                 u     = spot;
        final SimpleQuote           qRate = new SimpleQuote(0.05);
        final YieldTermStructure    qTS   = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.003);
        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.20);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        final Date exerciseDate = today.add(Period.ONE_YEAR_FORWARD);
        final Exercise exercise = new EuropeanExercise(exerciseDate);
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Examples of org.jquantlib.termstructures.YieldTermStructure

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        final DayCounter dc = new Actual360();

        final SimpleQuote           spot  = new SimpleQuote(0.0);
        final SimpleQuote           qRate = new SimpleQuote(0.0);
        final YieldTermStructure    qTS   = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.0);
        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        for (final Type type : types) {
            for (final double strike3 : strikes) {
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Examples of org.jquantlib.termstructures.YieldTermStructure

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        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote vol = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);

        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                    final Date exDate = today.add(length * 360);
 
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Examples of org.jquantlib.termstructures.YieldTermStructure

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    @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"
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Examples of org.jquantlib.termstructures.YieldTermStructure

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                    public Date maxDate() {
                        throw new UnsupportedOperationException();
                    }
                } );

        final YieldTermStructure implied = new ImpliedTermStructure<YieldTermStructure>(h, newSettlement);

        final Flag flag = new Flag();
        implied.addObserver(flag);

        // TODO: initialization needed (dependent of PiecewiseYieldCurve)
        // h.setLink(termStructure);

        // -------------------------------------------------------------------------------------------------------------
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Examples of org.jquantlib.termstructures.YieldTermStructure

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            final /*@Time*/ double time,
            final /*@Real*/ double underlyingLevel) {

        // obtain local copies of objects
        final Quote u = underlying_.currentLink();
        final YieldTermStructure dTS = dividendTS_.currentLink();
        final YieldTermStructure rTS = riskFreeTS_.currentLink();
        final BlackVolTermStructure bTS = blackTS_.currentLink();

        final double forwardValue = u.value() * ( dTS.discount(time, true) / rTS.discount(time, true) );

        // strike derivatives
        /*@Real*/ double strike;
        /*@Real*/ double strikem;
        /*@Real*/ double strikep;
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