input stringlengths 10 828 | output stringlengths 5 107 |
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public string get long format return get long format string | returns the name of time unit in long format e |
public string get short format return get short format string | returns the name of time unit in short format e |
private string get long format string string builder sb new string builder sb append to string to lower case sb set length sb length 1 return sb to string | output time units in long format e |
public date next date final string imm code return next date imm code true date null date | returns next main cycle imm date from the given imm code |
private string get short format string string builder sb new string builder sb append to string to lower case sb set length 1 return sb to string | output time units in short format e |
public string get long format return get internal long format | returns the name of period in long format |
protected boolean is added holiday date date return added holidays contains date true | check whether holiday is artificially added |
public date next date final string imm code boolean main cycle return next date imm code main cycle date null date | returns next imm date from the given imm code |
public string get short format return get internal short format | returns the name of period in short format 3 letters |
public boolean is business day final date date if is added holiday date return false return true | this base class only checks in list added by add holiday date call |
private string get internal long format string suffix if this length 1 suffix else suffix s string builder sb new string builder formatter formatter new formatter sb locale us formatter format d s s this length this units get long format suffix return sb to string | returns periods in long format e |
public string next code return next code date null date | returns next main cycle imm code from the reference date |
private string get internal short format string builder sb new string builder formatter formatter new formatter sb locale us formatter format d s this length this units get short format return sb to string | output periods in short format e |
public string next code final date d return next code d true | returns next cycle imm code from the specified date |
public string next code final string imm code return next code imm code true | returns next main cycle imm code from the given imm code |
public string next code final string imm code boolean main cycle return next code imm code main cycle date null date | returns next imm code from the given imm code |
public type get generic type return get generic type 0 | gets the referenced type of the first generic parameter |
public type get generic type final int n return this types n | gets the referenced type of the n th generic parameter |
protected void wrapped notify observer observer observable observable object arg observer update observable arg | this method is intended to encapsulate the notification semantics in |
static public month value of int month switch month case 1 return month january case 2 return month february case 3 return month march case 4 return month april case 5 return month may case 6 return month june case 7 return month july case 8 return month august case 9 return month september case 10 return month october case 11 return month november case 12 return month december default throw new illegal argument exception | returns a new month given its ordinal number |
public char get imm char switch enum value case 1 return f case 2 return g case 3 return h case 4 return j case 5 return k case 6 return m case 7 return n case 8 return q case 9 return u case 10 return v case 11 return x case 12 return z default throw new illegal argument exception | returns the imm char for this month |
static public month value of char imm code switch imm code case f return month january case g return month february case h return month march case j return month april case k return month may case m return month june case n return month july case q return month august case u return month september case v return month october case x return month november case z return month december default throw new illegal argument exception | returns a new month given its imm code |
public date get max date return date factory get max date | returns a instance that is the maximum date that can be represented by |
public date get min date return date factory get min date | returns a instance that is the minimum date that can be represented by |
public date get todays date return date factory get todays date | returns todays date represented by the system |
public date get date int day month month int year return date factory get date day month year | returns a date represented by parameters specified |
public preferences get preferences return this preferences | returns preferences set on the configuration |
public void enable multiple settings this multiple settings true | enables creation of multiple settings per configuration |
public boolean is leap int year return date factory is leap year | check whether given year is leap year or not |
public settings get global settings return global settings | returns the global settings of the configuration |
public settings new settings if multiple settings return new settings preferences return null | to create a new settings instance |
public boolean is extra safety checks return extra safety checks | whether to enforce extra checks on the calculations or not |
public void set todays payments final boolean todays payments this todays payments todays payments | changes the value of field todays payments |
public boolean is enforces todays historic fixings return enforces todays historic fixings | enforce todays historic fixings |
public void set evaluation date final date evaluation date this evaluation date get updatable update evaluation date | changes the value of field evaluation date |
public void set evaluation date final date evaluation date this set evaluation date evaluation date | changes the value of field evaluation date |
public calendar fixing calendar return new null calendar | inflation indices do not have fixing calendars |
public period availability lag return availability lag | the availability lag describes when the index is |
public void add fixing final date date final double value add fixing date value false | stores the historical fixing at the given date |
public boolean has occurred final date d read only return has occurred d new settings is todays payments | returns true if an event has already occurred before a date |
protected void setup arguments final pricing engine arguments a read only throw new library exception setup arguments not implemented | passes arguments to be used by a |
protected void setup expired read only npv 0 0 error estimate 0 0 | this method must leave the instrument in a consistent |
public double npv final leg cashflows final interest rate irr final date settlement date date date settlement date if date is null date new settings evaluation date final yield term structure flat rate new flat forward date irr rate irr day counter irr compounding irr frequency return npv cashflows new handle yield term structure flat rate date date 0 | npv of the cash flows |
public object result final string key read only return this additional results get key | returns any additional result returned by the pricing engine |
public double bps final leg cashflows final interest rate irr date settlement date if settlement date is null settlement date new settings evaluation date final yield term structure flat rate new flat forward settlement date irr rate irr day counter irr compounding irr frequency return bps cashflows new handle yield term structure flat rate settlement date settlement date | basis point sensitivity of the cash flows |
public double clean price return dirty price accrued amount settlement date | theoretical clean price |
public double duration final leg leg final interest rate y final duration duration final date settlement date date date settlement date if date is null date new settings evaluation date switch duration case simple return simple duration leg y date case modified return modified duration leg y date case macaulay return macaulay duration leg y date default throw new library exception unknown duration type qa rg verified | cash flow duration |
public double dirty price return settlement value notional settlement date 100 0 | theoretical dirty price |
public int to integer return value | this method returns the i mathematical signal i associated to an option type |
public void pre adjust values if closeness is close enough time latest pre adjustment pre adjust values impl latest pre adjustment time | this method will be invoked after rollback and before any other asset |
public void post adjust values if closeness is close enough time latest post adjustment post adjust values impl latest post adjustment time | this method will be invoked after rollback and after any other asset |
public void adjust values pre adjust values post adjust values | this method performs both pre and post adjustment |
protected void pre adjust values impl nothing | this method performs the actual pre adjustment |
protected void post adjust values impl nothing | this method performs the actual post adjustment |
public forward type payoff final position position type final price double strike super ql require strike 0 0 negative strike given todo message this strike strike this type position type | constructs a typed |
public boolean empty read only return impl null | returns whether or not the day counter is initialized |
public long day count final date date start final date date end read only ql require impl null no implementation provided return impl day count date start date end | returns the number of days between two dates |
protected long day count final date date start final date date end read only return date end sub date start | to be overloaded by more complex day counters |
final public cash flow next cash flow final leg cash flows date settlement if settlement is null settlement new settings evaluation date for int i 0 i cash flows size i the first coupon paying after d is the one we re after if cash flows get i has occurred settlement return cash flows get i return null cash flows get cash flows size | note should return null when no cashflow could be found |
final public int next cash flow index final leg cash flows date settlement if settlement is null settlement new settings evaluation date for int i 0 i cash flows size i the first coupon paying after d is the one we re after if cash flows get i has occurred settlement return i return cash flows size | note returns the index for cashflow |
final private double basis point value final leg leg final interest rate y final date settlement date real final double shift 0 0001 real final double dirty price npv leg y settlement date real final double modified duration duration leg y duration modified settlement date real final double convexity convexity leg y settlement date real double delta modified duration dirty price real double gamma convexity 100 0 dirty price delta shift gamma shift shift return delta 0 5 gamma | basis point value obtained by setting dy 0 |
public array params read only int size 0 for int i 0 i arguments size i size arguments get i size final array params new array size int k 0 for int i 0 i arguments size i for int j 0 j arguments get i size j k final double value arguments get i params get j params set k value return params | p returns array of arguments on which calibration is done |
public int day of year read only return int serial number year offset year | one based jan 1st 1 |
public string name read only return impl name | returns the name of the calendar |
public period sub assign final period another return this add assign another clone negative | returns code this code period subtracted code another code period |
public period div assign final int scalar if scalar 0 throw new arithmetic exception division by zero error if this length scalar 0 keep the original units if the user created a 24 months period he ll probably want a 12 months one when he halves it this length scalar else switch this units case years this units time unit months this length 12 break case weeks this units time unit days this length 7 break if this length scalar 0 this length this length scalar else throw new library exception cannot be divided by scalar return this | returns code this code period divided by a scalar |
public period mul final int scalar return new period scalar this length this units | returns code this code period multiplied by a scalar |
public date end of month final date d read only return adjust date end of month d business day convention preceding | returns last business day of the month to which the given date belongs |
static public weekday value of final int value switch value case 1 return weekday sunday case 2 return weekday monday case 3 return weekday tuesday case 4 return weekday wednesday case 5 return weekday thursday case 6 return weekday friday case 7 return weekday saturday default throw new library exception value must be 1 7 todo message | returns a new weekday object given its cardinality |
public void add holiday final date d if d was a genuine holiday previously removed revert the change impl removed holidays remove d if it s already a holiday leave the calendar alone otherwise add it if impl is business day d impl added holidays add d | adds a date to the set of holidays for the given calendar |
public period add final period another return this clone add assign another | returns code this code period added code another code period |
public int value return enum value | returns the week day as a number where sunday 1 till saturday 7 |
public void remove holiday final date d if d was an artificially added holiday revert the change impl added holidays remove d if it s already a business day leave the calendar alone otherwise add it if impl is business day d impl removed holidays add d | removes a date from the set of holidays for the given calendar |
private string get as short format final string builder sb new string builder sb append this sb set length 3 return sb to string | returns the name of weekdays in short format 3 letters |
public period sub final period another return this clone sub assign another | returns code this code period subtracted code another code period |
private string get as shortest format final string builder sb new string builder sb append this sb set length 2 return sb to string | returns the name of weekdays in shortest format 2 letters |
public date adjust final date date read only return adjust date business day convention following | adjusts a non business day to the appropriate near business day |
public period div final int scalar return this clone div assign scalar | returns code this code period divided by a scalar |
public boolean eq final period another return this equals another | compares code this code to code another code period |
public boolean neq final period another return this equals another | compares code this code to code another code period |
public boolean gt final period another return another lt this | compares code this code to code another code period |
public date advance final date date final period period read only return advance date period business day convention following false | advances the given date as specified by the given period and |
public boolean le final period another return this lt another this eq another | compares code this code to code another code period |
public boolean ge final period another return another le this | compares code this code to code another code period |
public long sub final date another return serial number another serial number | difference in days between dates |
public int business days between final date from final date to read only return business days between from to true false | calculates the number of business days between two given dates and |
protected int easter monday final int y return easter monday y 1901 | expressed relative to first day of year |
private string get short format string string builder sb new string builder sb append to string char at 0 return sb to string | output time units in short format e |
public char get imm char final char return char switch enum value case 1 return char f break case 2 return char g break case 3 return char h break case 4 return char j break case 5 return char k break case 6 return char m break case 7 return char n break case 8 return char q break case 9 return char u break case 10 return char v break case 11 return char x break case 12 return char z break default throw new library exception value must be 1 12 todo message return return char | returns the imm char for this month |
public schedule schedule return new schedule effective date termination date tenor calendar convention termination date convention rule end of month first date next to last date | make schedule operator schedule const return schedule effective date |
public double elasticity final double spot read only final double val value final double del delta spot if val constants ql epsilon return del val spot else if math abs del constants ql epsilon return 0 0 else if del 0 0 return double max value else return double min value | sensitivity in percent to a percent change in the underlying spot price |
public double elasticity forward read only final double val value final double del delta forward if val constants ql epsilon return del val forward else if math abs del constants ql epsilon return 0 0 else if del 0 0 return double max value else return double min value | sensitivity in percent to a percent change in the underlying forward |
public double gamma final double spot read only ql require spot 0 0 positive spot value required final double dforward ds forward spot final double temp std dev spot final double dalpha ds d alpha d d1 temp final double dbeta ds d beta d d2 temp final double d2alpha ds2 dalpha ds spot 1 d1 std dev final double d2beta ds2 dbeta ds spot 1 d2 std dev final double temp2 d2alpha ds2 forward 2 0 dalpha ds dforward ds d2beta ds2 x 2 0 dbeta ds d x d s return discount temp2 | second order derivative with respect to change in the underlying spot |
private int get min days switch this units case years return this length 365 case months return this length 28 case weeks return this length 7 case days return this length default throw new library exception unknown time unit | converts period to days |
public double gamma forward read only final double temp std dev forward final double dalpha dforward d alpha d d1 temp final double dbeta dforward d beta d d2 temp final double d2alpha dforward2 dalpha dforward forward 1 d1 std dev final double d2beta dforward2 dbeta dforward forward 1 d2 std dev final double temp2 d2alpha dforward2 forward 2 0 dalpha dforward d2beta dforward2 x dxdforward 0 0 commented in the source quant lib return discount temp2 | second order derivative with respect to change in the underlying forward |
private int get max days switch this units case years return this length 366 case months return this length 31 case weeks return this length 7 case days return this length default throw new library exception unknown time unit | converts period to days |
public double theta per day final double spot time final double maturity read only return theta spot maturity 365 0 | sensitivity to time to maturity per day assuming 365 day per year |
public double rho final time double maturity read only ql require maturity 0 0 negative maturity not allowed actually dalpha dr t final double dalpha dr d alpha d d1 std dev final double dbeta dr d beta d d2 std dev final double temp dalpha dr forward alpha forward dbeta dr x return maturity discount temp value | sensitivity to discounting rate |
public double dividend rho final time double maturity read only ql require maturity 0 0 negative maturity not allowed actually dalpha dq t final double dalpha dq d alpha d d1 std dev final double dbeta dq d beta d d2 std dev final double temp dalpha dq forward alpha forward dbeta dq x return maturity discount temp | sensitivity to dividend growth rate |
public double itm cash probability read only return cum d2 | probability of being in the money in the bond martingale measure i |
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