C++ (Cpp) tenor Examples

Example #1

File: swapindex.cpp Project: Meobius/quantlib

    shared_ptr<SwapIndex>
    SwapIndex::clone(const Handle<YieldTermStructure>& forwarding) const {

        if (exogenousDiscount_)
            return shared_ptr<SwapIndex>(new
                SwapIndex(familyName(),
                          tenor(),
                          fixingDays(),
                          currency(),
                          fixingCalendar(),
                          fixedLegTenor(),
                          fixedLegConvention(),
                          dayCounter(),
                          iborIndex_->clone(forwarding),
                          discount_));
        else
            return shared_ptr<SwapIndex>(new
                SwapIndex(familyName(),
                          tenor(),
                          fixingDays(),
                          currency(),
                          fixingCalendar(),
                          fixedLegTenor(),
                          fixedLegConvention(),
                          dayCounter(),
                          iborIndex_->clone(forwarding)));
    }

Example #2

File: libor.cpp Project: SePTimO7/QuantLib

 ext::shared_ptr<IborIndex> Libor::clone(
                               const Handle<YieldTermStructure>& h) const {
     return ext::shared_ptr<IborIndex>(new Libor(familyName(),
                                                   tenor(),
                                                   fixingDays(),
                                                   currency(),
                                                   financialCenterCalendar_,
                                                   dayCounter(),
                                                   h));
 }

Example #3

File: iborindex.cpp Project: FlyCatZout/QuantLib

boost::shared_ptr<IborIndex> IborIndex::clone(
    const Handle<YieldTermStructure>& h) const {
    return boost::shared_ptr<IborIndex>(
               new IborIndex(familyName(),
                             tenor(),
                             fixingDays(),
                             currency(),
                             fixingCalendar(),
                             businessDayConvention(),
                             endOfMonth(),
                             dayCounter(),
                             h));
}

Example #4

File: gaussian1dswaptionvolatility.cpp Project: grantathon/nquantlib64

boost::shared_ptr<SmileSection>
Gaussian1dSwaptionVolatility::smileSectionImpl(Time optionTime,
                                               Time swapLength) const {
    DateHelper hlp(*this, optionTime);
    NewtonSafe newton;
    Date d(static_cast<BigInteger>(newton.solve(
        hlp, 0.1,
        365.25 * optionTime + static_cast<Real>(referenceDate().serialNumber()),
        1.0)));
    Period tenor(
        static_cast<Integer>(Rounding(0).operator()(swapLength * 12.0)),
        Months);
    d = indexBase_->fixingCalendar().adjust(d);
    return smileSectionImpl(d, tenor);
}

Example #5

File: swaptionsinglesabrvol.cpp Project: pcaspers/quantlib-old

 boost::shared_ptr<SmileSection>
 SingleSabrSwaptionVolatility::smileSectionImpl(Time optionTime,
                                              Time swapLength) const {
     std::vector<Real> params(4);
     params[0] = alpha_;
     params[1] = beta_;
     params[2] = nu_;
     params[3] = rho_;
     DateHelper hlp(*this,optionTime);
     NewtonSafe newton;
     Date d(static_cast<BigInteger>(newton.solve(
         hlp, 0.1, 365.25 * optionTime +
                       static_cast<Real>(referenceDate().serialNumber()),
         1.0)));
     Period tenor(static_cast<Integer>(Rounding(0).operator()(swapLength*12.0)), Months);
     d = indexBase_->fixingCalendar().adjust(d);
     Real forward = indexBase_->clone(tenor)->fixing(d);
     boost::shared_ptr<SmileSection> raw(new SabrSmileSection(optionTime,forward,params,shift_));
     // make it arbitrage free
     //boost::shared_ptr<SmileSection> af(new KahaleSmileSection(raw));
     //return af;
     return raw;
 }

Example #6

File: shibor.cpp Project: BGC-nglass/quantlib

 boost::shared_ptr<IborIndex> Shibor::clone(
                               const Handle<YieldTermStructure>& h) const {
     return boost::shared_ptr<IborIndex>(new Shibor(tenor(), h));
 }