Rename helper to getFutureDate, use for dividend dates too

eddelbuettel · Jul 14, 2024 · b17c68f · b17c68f
1 parent 9189b6d
commit b17c68f
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Showing 7 changed files with 16 additions and 30 deletions.
diff --git a/ChangeLog b/ChangeLog
@@ -1,6 +1,6 @@
 2024-07-14  Dirk Eddelbuettel  <[email protected]>
 
-	* src/utils.cpp (getExerciseDate): New helper function
+	* src/utils.cpp (getFutureDate): New helper function
 	* inst/include/rquantlib_internal.h: Declaration
 	* src/asian.cpp: Use new helper function
 	* src/barrier_binary.cpp: Idem

diff --git a/inst/include/rquantlib_internal.h b/inst/include/rquantlib_internal.h
@@ -199,6 +199,6 @@ QuantLib::Duration::Type getDurationType(const double n);
 QuantLib::Date advanceDate(QuantLib::Date issueDate, int days);
 
 // utils.cpp
-QuantLib::Date getExerciseDate(const QuantLib::Date today, double maturity);
+QuantLib::Date getFutureDate(const QuantLib::Date today, double maturity);
 
 #endif
diff --git a/src/asian.cpp b/src/asian.cpp
@@ -64,7 +64,7 @@ Rcpp::List asianOptionEngine(std::string averageType,
     if (averageType=="geometric"){
         auto engine = qlext::make_shared<QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine>(stochProcess);
 
-        QuantLib::Date exDate = getExerciseDate(today, maturity);
+        QuantLib::Date exDate = getFutureDate(today, maturity);
 
         auto exercise = qlext::make_shared<QuantLib::EuropeanExercise>(exDate);
         QuantLib::ContinuousAveragingAsianOption option(QuantLib::Average::Geometric, payoff, exercise);
@@ -103,11 +103,7 @@ Rcpp::List asianOptionEngine(std::string averageType,
         fixingDates[0] = today + QuantLib::Integer(timeIncrements[0] * 360 + 0.5);
         for (QuantLib::Size i=1; i<fixings; i++) {
             timeIncrements[i] = i*dt + first;
-#ifdef QL_HIGH_RESOLUTION_DATE
-            fixingDates[i]= QuantLib::Date(today.dateTime() + boost::posix_time::minutes(boost::uint64_t(timeIncrements[i] * 360 * 24 * 60)));
-#else
-            fixingDates[i] = today + QuantLib::Integer(timeIncrements[i]*360+0.5);
-#endif
+            fixingDates[i] = getFutureDate(today, timeIncrements[i]);
         }
         QuantLib::Real runningSum = 0.0;
         QuantLib::Size pastFixing = 0;

diff --git a/src/barrier_binary.cpp b/src/barrier_binary.cpp
@@ -39,7 +39,7 @@ Rcpp::List binaryOptionEngine(std::string binType,
     // cf QuantLib-0.9.0/test-suite/digitaloption.cpp
     QuantLib::Date today = QuantLib::Date::todaysDate();
     QuantLib::Settings::instance().evaluationDate() = today;
-    QuantLib::Date exDate = getExerciseDate(today, maturity);
+    QuantLib::Date exDate = getFutureDate(today, maturity);
 
     QuantLib::DayCounter dc = QuantLib::Actual360();
     namespace qlext = QuantLib::ext; 				// convenience namespace shortcut
@@ -118,7 +118,7 @@ double binaryOptionImpliedVolatilityEngine(std::string type,
     QuantLib::Date today = QuantLib::Date::todaysDate();
     QuantLib::Settings::instance().evaluationDate() = today;
     QuantLib::DayCounter dc = QuantLib::Actual360();
-    QuantLib::Date exDate = getExerciseDate(today, maturity);
+    QuantLib::Date exDate = getFutureDate(today, maturity);
     namespace qlext = QuantLib::ext; 				// convenience namespace shortcut
     auto spot  = qlext::make_shared<QuantLib::SimpleQuote>(underlying);
     auto qRate = qlext::make_shared<QuantLib::SimpleQuote>(dividendYield);
@@ -177,7 +177,7 @@ Rcpp::List barrierOptionEngine(std::string barrType,
     QuantLib::Date today = QuantLib::Date::todaysDate();
     QuantLib::Settings::instance().evaluationDate() = today;
     QuantLib::DayCounter dc = QuantLib::Actual360();
-    QuantLib::Date exDate = getExerciseDate(today, maturity);
+    QuantLib::Date exDate = getFutureDate(today, maturity);
     namespace qlext = QuantLib::ext; 				// convenience namespace shortcut
     auto spot = qlext::make_shared<QuantLib::SimpleQuote>(underlying);
     auto qRate = qlext::make_shared<QuantLib::SimpleQuote>(dividendYield);

diff --git a/src/implieds.cpp b/src/implieds.cpp
@@ -39,7 +39,7 @@ double europeanOptionImpliedVolatilityEngine(std::string type,
 
     QuantLib::Date today = QuantLib::Date::todaysDate();
     QuantLib::Settings::instance().evaluationDate() = today;
-    QuantLib::Date exDate = getExerciseDate(today, maturity);
+    QuantLib::Date exDate = getFutureDate(today, maturity);
 
     // new framework as per QuantLib 0.3.5
     // updated for 0.3.7
@@ -85,7 +85,7 @@ double americanOptionImpliedVolatilityEngine(std::string type,
 
     QuantLib::Date today = QuantLib::Date::todaysDate();
     QuantLib::Settings::instance().evaluationDate() = today;
-    QuantLib::Date exDate = getExerciseDate(today, maturity);
+    QuantLib::Date exDate = getFutureDate(today, maturity);
 
     // new framework as per QuantLib 0.3.5
     QuantLib::DayCounter dc = QuantLib::Actual360();

diff --git a/src/utils.cpp b/src/utils.cpp
@@ -691,7 +691,7 @@ Rcpp::LogicalVector getQuantLibCapabilities() {
                                        Rcpp::Named("negativeRates") = hasNegativeRates);
 }
 
-QuantLib::Date getExerciseDate(const QuantLib::Date today, double maturity) {
+QuantLib::Date getFutureDate(const QuantLib::Date today, double maturity) {
     // depending on the compile-time option, this is either intra-day or not
     #ifdef QL_HIGH_RESOLUTION_DATE
 
@@ -701,7 +701,7 @@ QuantLib::Date getExerciseDate(const QuantLib::Date today, double maturity) {
 
     #else
 
-    int length  = int(maturity*360 + 0.5); 		// FIXME: this could be better
+    int length  = int(maturity * 360 + 0.5); 		// FIXME: this could be better
     return QuantLib::Date{today + length};
 
     #endif

diff --git a/src/vanilla.cpp b/src/vanilla.cpp
@@ -35,7 +35,7 @@ Rcpp::List europeanOptionEngine(std::string type,
 
     QuantLib::Option::Type optionType = getOptionType(type);
     QuantLib::Date today = QuantLib::Date::todaysDate();
-    QuantLib::Date exDate = getExerciseDate(today, maturity);
+    QuantLib::Date exDate = getFutureDate(today, maturity);
     QuantLib::Settings::instance().evaluationDate() = today;
     QuantLib::DayCounter dc = QuantLib::Actual360();
     namespace qlext = QuantLib::ext; 				// convenience namespace shortcut
@@ -58,12 +58,7 @@ Rcpp::List europeanOptionEngine(std::string type,
         std::vector<QuantLib::Date> discDivDates(n);
         std::vector<double> discDividends(n);
         for (int i = 0; i < n; i++) {
-#ifdef QL_HIGH_RESOLUTION_DATE
-            boost::posix_time::time_duration discreteDividendLength = boost::posix_time::minutes(boost::uint64_t(divtimes[i] * 360 * 24 * 60));
-            discDivDates[i] = QuantLib::Date(today.dateTime() + discreteDividendLength);
-#else
-            discDivDates[i] = today + int(divtimes[i] * 360 + 0.5);
-#endif
+            discDivDates[i] = getFutureDate(today, divtimes[i]);
             discDividends[i] = divvalues[i];
         }
 
@@ -118,7 +113,7 @@ Rcpp::List americanOptionEngine(std::string type,
 
     QuantLib::Date today = QuantLib::Date::todaysDate();
     QuantLib::Settings::instance().evaluationDate() = today;
-    QuantLib::Date exDate = getExerciseDate(today, maturity);
+    QuantLib::Date exDate = getFutureDate(today, maturity);
     QuantLib::DayCounter dc = QuantLib::Actual360();
     namespace qlext = QuantLib::ext; 				// convenience namespace shortcut
     auto spot  = qlext::make_shared<QuantLib::SimpleQuote>(underlying);
@@ -146,12 +141,7 @@ Rcpp::List americanOptionEngine(std::string type,
         std::vector<QuantLib::Date> discDivDates(n);
         std::vector<double> discDividends(n);
         for (int i = 0; i < n; i++) {
-#ifdef QL_HIGH_RESOLUTION_DATE
-            boost::posix_time::time_duration discreteDividendLength = boost::posix_time::minutes(boost::uint64_t(divtimes[i] * 360 * 24 * 60));
-            discDivDates[i] = QuantLib::Date(today.dateTime() + discreteDividendLength);
-#else
-            discDivDates[i] = today + int(divtimes[i] * 360 + 0.5);
-#endif
+            discDivDates[i] = getFutureDate(today, divtimes[i]);
             discDividends[i] = divvalues[i];
         }
 
@@ -239,7 +229,7 @@ Rcpp::List europeanOptionArraysEngine(std::string type, Rcpp::NumericMatrix par)
         auto rRate = qlext::make_shared<QuantLib::SimpleQuote>(riskFreeRate);
         auto rTS   = flatRate(today, rRate, dc); 	// cf src/utils.cpp
 
-        QuantLib::Date exDate = getExerciseDate(today, maturity);
+        QuantLib::Date exDate = getFutureDate(today, maturity);
         auto exercise = qlext::make_shared<QuantLib::EuropeanExercise>(exDate);
         auto payoff   = qlext::make_shared<QuantLib::PlainVanillaPayoff>(optionType, strike);
         auto option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);