本文整理汇总了C++中Tenor::YearFraction方法的典型用法代码示例。如果您正苦于以下问题：C++ Tenor::YearFraction方法的具体用法？C++ Tenor::YearFraction怎么用？C++ Tenor::YearFraction使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类Tenor的用法示例。
在下文中一共展示了Tenor::YearFraction方法的1个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的C++代码示例。
示例1: Test_McGeneticSwapLMMPricer
void Test_McGeneticSwapLMMPricer()
{
//! Parameters
double strike = 0.02;
LMM::Index indexStart = 0;
LMM::Index indexEnd = 20;
Tenor floatingTenor = Tenor::_6M;
Tenor fixedTenor = Tenor::_12M;
Tenor tenorStruture = Tenor::_6M;
size_t horizonYear = 10;
LMMTenorStructure_PTR lmmTenorStructure( new LMMTenorStructure(tenorStruture, horizonYear));
cout << "strike: " << strike << endl;
cout << "indexStart: " << indexStart << endl;
cout << "indexEnd: " << indexEnd << endl;
cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl;
cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl;
cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl;
double fwdRate = 0.02;
std::vector<double> liborsInitValue(lmmTenorStructure->get_horizon()+1, fwdRate);
cout << "myInitialLibor: ";
for (size_t i = 0; i <liborsInitValue.size(); i++)
{
cout << liborsInitValue[i] << " ";
}
cout << endl;
cout << endl;
//VanillaSwap_Chi_Trang
VanillaSwap firstVersionVanillaSwap(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
LmmVanillaSwapPricer myVSP(lmmTenorStructure);
double FirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(firstVersionVanillaSwap, liborsInitValue);
//---------------------------Build Lmm and McLmm's structure--------------------------------------
//! Parameter of h
double a = -0.06;
double b = 0.17;
double c = 0.54;
double d = 0.17;
Shifted_HGVolatilityParam::ABCDParameter abcdParam (a,b,c,d);
//Parameter of hg
double g_constParam = 1.0;
double shift_constParam = -0.01;
ConstShifted_HGVolatilityParam_PTR hgParam( new ConstShifted_HGVolatilityParam(lmmTenorStructure,abcdParam,g_constParam,shift_constParam));
//! Correlation 1
size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor =
size_t correlFullRank = lmmTenorStructure->get_horizon()+1;
size_t correlReducedRank = nbFactor;
//!"Check Parameters(): Condition not implemented yet."
std::cout << "checkParams(): ";
CorrelationReductionType::CorrelationReductionType correlReductionType = CorrelationReductionType::PCA;
double correlAlpha = 0.0;
double correlBeta = 0.1;
Correlation_PTR correlation(new XY_beta_Correlation(correlFullRank,correlReducedRank, correlReductionType,correlAlpha,correlBeta));
correlation->calculate(); // for print.
correlation->print("test_McTerminalLmm_Correlation.csv");
//hgVolatilityFunction
ConstShifted_HGVolatilityFunction_PTR hgVolatilityFunction (new ConstShifted_HGVolatilityFunction(lmmTenorStructure, correlation, hgParam));
hgVolatilityFunction->print("test_McTerminalLmm_Volatility.csv");
//! Dispersion
Dispersion dispersion(hgVolatilityFunction);
unsigned long seed = 5033;
RNGenerator_PTR rnGenerator(new McGenerator(seed));
//build lmm and mcLmm model
Lmm_PTR shiftedLmm (new Lmm(dispersion));
McLmm_PTR mcLmm(new McTerminalLmm(shiftedLmm, liborsInitValue, rnGenerator, MCSchemeType::EULER));
//build a McGeneticSwapLMMPricer
McGeneticSwapLMMPricer_PTR mcGeneticSwapLMMPricer(new McGeneticSwapLMMPricer(mcLmm));
//build the geneticVanillaSwap
GeneticSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
//use Monte Carlo Method
size_t nbSimulation=10000;
double MonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(vanillaSwap_Genetic, nbSimulation);
//ordinaryGeneticVanillaSwapPricer
GeneticVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GeneticVanillaSwapPricer());
double OrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(vanillaSwap_Genetic,liborsInitValue);
//subVanillaSwap
LMM::Index subIndexStart = 10;
LMM::Index subIndexEnd = 16;
GeneticSwap_CONSTPTR subVanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,subIndexStart,subIndexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
double subMonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(subVanillaSwap_Genetic, nbSimulation);
//subOrdinaryGeneticVanillaSwapPrice
double subOrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(subVanillaSwap_Genetic,liborsInitValue);
//subFirstVersionVanillaSwapPrice
VanillaSwap subFirstVersionVanillaSwap(strike, subIndexStart , subIndexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
double subFirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(subFirstVersionVanillaSwap, liborsInitValue);
//.........这里部分代码省略.........