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Enumeration Value List

上海子午线About 3 min

Enumeration Value List

Visit the Mathema Option Pricing System for foreign exchange options and structured product valuation!
Visit the Mathema Option Pricing System for foreign exchange options and structured product valuation!

DayCounter (Day Count Convention)

Knowledge Link: DayCounter Knowledge

  • NONE = -1: No day count convention.
  • Act360 = 0: Actual/360.
  • Act365Fixed = 1: Actual/365.
  • ThirtyE360 = 2: 30/360 (European rule).
  • ThirtyE360ISDA = 3: 30/360 (ISDA rule).
  • ThirtyEPlus360 = 4: 30E+/360.
  • ThirtyU360 = 5: 30/360 (US rule).
  • ActActISDA = 6: Actual/Actual (ISDA rule).
  • ActActICMA = 7: Actual/Actual (ICMA rule).
  • Act365L = 8: Actual/365 (leap year).
  • ActActAFB = 9: Actual/Actual (AFB rule).
  • Act365Leap = 10: Actual/365 (leap year).
  • ActActXTR = 11: Actual/Actual (XTR rule).
  • ActActICMAComplement = 12: Actual/Actual (ICMA complement rule).
  • Act252 = 13: Actual/252.

DateAdjusterRule (Date Adjustment Rule)

Knowledge Link: DateAdjusterRule Knowledge

  • Following = 0: Following.
  • Preceding = 1: Preceding.
  • ModifiedFollowing = 2: Modified Following.
  • ModifiedPreceding = 3: Modified Preceding.
  • IMM = 4: IMM rule.
  • Actual = 5: Actual date.
  • LME = 6: LME rule.

StrippingMethod (Stripping Method)

Knowledge Link: StrippingMethod Knowledge

  • METHOD1 = 0: Method 1.
  • METHOD2 = 1: Method 2.

InterpolatedVariable (Interest Type)

Knowledge Link: InterpolatedVariable Knowledge

  • ZERORATES = -1: Zero rates.
  • SIMPLERATES = 0: Simple rates.
  • CONTINUOUSRATES = 1: Continuous rates.

SmileInterpolation (Smile Curve Interpolation)

Knowledge Link: SmileInterpolation Knowledge

  • LINEAR = 0: Linear interpolation.
  • SVI = 1: SVI interpolation.
  • CUBICSPLINE = 2: Cubic spline interpolation.
  • VANNAVOLGA = 3: Vanna-Volga interpolation.
  • SABR = 4: SABR interpolation.

InterpolationMethod (Interpolation Method)

Knowledge Link: InterpolationMethod Knowledge

  • FLATINTERPOLATION = 0: Flat interpolation.
  • CLOSESTINTERPOLATION = 1: Closest interpolation.
  • LINEARINTERPOLATION = 2: Linear interpolation.
  • LINEARXY = 3: Linear XY interpolation.
  • LOGLINEAR = 4: Log-linear interpolation.
  • LAGRANGEPOLYNOMIAL = 5: Lagrange polynomial interpolation.
  • CUBICSPLINES = 6: Cubic spline interpolation.
  • FORWARDFORWARDQUARTIC = 7: Forward-forward quartic interpolation.
  • EXPLICITCLAMPEDCUBICSPLINES = 8: Explicit clamped cubic spline interpolation.
  • FORWARDSPLINEMETHOD = 9: Forward spline method.

ExtrapolationMethod (Extrapolation Method)

Knowledge Link: ExtrapolationMethod Knowledge

  • NONE = 0: No extrapolation.
  • FLATEXTRAPOLATION = 1: Flat extrapolation.
  • LINEAREXTRAPOLATION = 2: Linear extrapolation.
  • TAYLOREXTRAPOLATION = 3: Taylor extrapolation.

HistVolsModel (Historical Volatility Model)

Knowledge Link: HistVolsModel Knowledge

  • CLOSE_TO_CLOSE = 0: Close-to-close.
  • EWMA = 1: Exponentially Weighted Moving Average.
  • LINXIAO = 2: Lin-Xiao model.
  • RISKMETRICS = 3: RiskMetrics.

OptionExpiryNature (Option Expiry Type)

Knowledge Link: OptionExpiryNature Knowledge

  • EUROPEAN = 0: European.
  • AMERICAN = 1: American.
  • BERMUDAN = 2: Bermudan.

PricingMethod (Pricing Model)

Knowledge Link: PricingMethod Knowledge

  • BLACKSCHOLES = 1: Black-Scholes.
  • BAW = 2: BAW model.
  • JUenONG = 3: Ju-Zhong model.
  • BINOMIAL = 4: Binomial model.
  • TRINOMIAL = 5: Trinomial model.
  • PDE = 6: Partial Differential Equation model.
  • MONTECARLO = 10: Monte Carlo model.
  • WILMOTT = 11: Wilmott model.
  • MONTECARLO_CPU = 12: CPU Monte Carlo model.
  • LSMC = 13: Least Squares Monte Carlo model.
  • ADERSON = 14: Aderson model.

BarrierType (Barrier Type)

Knowledge Link: BarrierType Knowledge

  • INACTIVE = 1: Inactive.
  • KNOCK_DOWN_IN = 2: Knock-down in.
  • KNOCK_DOWN_OUT = 3: Knock-down out.
  • KNOCK_UP_IN = 4: Knock-up in.
  • KNOCK_UP_OUT = 5: Knock-up out.

DeltaType (Delta Type)

Knowledge Link: DeltaType Knowledge

  • SPOT_DELTA = 0: Spot delta.
  • FORWARD_DELTA = 1: Forward delta.

ATMVolType (ATM Volatility Type)

Knowledge Link: ATMVolType Knowledge

  • DELTA_NEUTRAL_STRADDLE = 1: Delta-neutral straddle.
  • FORWARD_STRIKE = 2: Forward strike.
  • SPOT_STRIKE = 3: Spot strike.

AsianOptionType (Asian Option Type)

Knowledge Link: AsianOptionType Knowledge

  • Asian_Fixed_Geometric = 8: Fixed geometric Asian option.
  • Asian_Fixed_Arithmetic = 9: Fixed arithmetic Asian option.
  • Asian_Floating_Geometric = 10: Floating geometric Asian option.
  • Asian_Floating_Arithmetic = 11: Floating arithmetic Asian option.

ParametricCurveModel (Parametric Curve Model)

Knowledge Link: ParametricCurveModel Knowledge

  • NS = 1: Nelson-Siegel model.
  • NSS = 2: Nelson-Siegel-Svensson model.
  • CIR = 3: CIR model.
  • VASICEK = 4: Vasicek model.

DigitalType (Digital Type)

Knowledge Link: DigitalType Knowledge

  • CASH_OR_NOTHING_CALL = 1: Cash-or-nothing call.
  • ASSET_OR_NOTHING_CALL = 2: Asset-or-nothing call.
  • CASH_OR_NOTHING_PUT = 3: Cash-or-nothing put.
  • ASSET_OR_NOTHING_PUT = 4: Asset-or-nothing put.
  • DOWN_CASH_AT_TOUCH = 5: Down cash-at-touch.
  • DOWN_ASSET_AT_TOUCH = 6: Down asset-at-touch.
  • UP_CASH_AT_TOUCH = 7: Up cash-at-touch.
  • UP_ASSET_AT_TOUCH = 8: Up asset-at-touch.
  • DOWN_IN_CASH_AT_EXPIRY = 9: Down cash-at-expiry.
  • DOWN_IN_ASSET_AT_EXPIRY = 10: Down asset-at-expiry.
  • UP_IN_CASH_AT_EXPIRY = 11: Up cash-at-expiry.
  • UP_IN_ASSET_AT_EXPIRY = 12: Up asset-at-expiry.
  • DOWN_OUT_CASH_AT_EXPIRY = 13: Down cash-at-expiry.
  • DOWN_OUT_ASSET_AT_EXPIRY = 14: Down asset-at-expiry.
  • UP_OUT_CASH_AT_EXPIRY = 15: Up cash-at-expiry.
  • UP_OUT_ASSET_AT_EXPIRY = 16: Up asset-at-expiry.
  • DOWN_IN_CASH_CALL = 17: Down cash call.
  • DOWN_IN_ASSET_CALL = 18: Down asset call.
  • UP_IN_CASH_CALL = 19: Up cash call.
  • UP_IN_ASSET_CALL = 20: Up asset call.
  • DOWN_IN_CASH_PUT = 21: Down cash put.
  • DOWN_IN_ASSET_PUT = 22: Down asset put.
  • UP_IN_CASH_PUT = 23: Up cash put.
  • UP_IN_ASSET_PUT = 24: Up asset put.
  • DOWN_OUT_CASH_CALL = 25: Down cash call.
  • DOWN_OUT_ASSET_CALL = 26: Down asset call.
  • UP_OUT_CASH_CALL = 27: Up cash call.
  • UP_OUT_ASSET_CALL = 28: Up asset call.
  • DOWN_OUT_CASH_PUT = 29: Down cash put.
  • DOWN_OUT_ASSET_PUT = 30: Down asset put.
  • UP_OUT_CASH_PUT = 31: Up cash put.
  • UP_OUT_ASSET_PUT = 32: Up asset put.

BondCouponType (Bond Coupon Type)

  • BULLET = 1: Bullet.
  • DISC = 2: Discount.
  • INTEREST = 3: Interest.

XsModelType (Model Type)

  • BlackSchole = 1: Black-Scholes model.
  • BlackScholeF = 2: Black-Scholes model (forward).
  • Bachelier = 3: Bachelier model.
  • BachelierF = 4: Bachelier model (forward).
  • Heson = 5: Heston model.
  • HesonF = 6: Heston model (forward).

ModelType (Model Type)

  • BlackSchole = 1: Black-Scholes model.
  • Bachelier = 2: Bachelier model.
  • Heston = 3: Heston model.
  • Dupire = 4: Dupire model.

LocalVolModel (Local Volatility Model)

  • Heston = 3: Heston model.
  • Dupire = 4: Dupire model.

XScriptRunMode (Run Mode)

  • AutoSelect = 0: Auto-select.
  • SingleThread = 1: Single-thread.
  • MultithreadCPU = 2: CPU multi-thread.
  • GPU = 3: GPU.

LogLevel (Log Level)

  • Trace = 0: Trace.
  • Debug = 1: Debug.
  • Info = 2: Info.
  • Warn = 3: Warn.
  • Error = 4: Error.
  • Critical = 5: Critical.
  • Off = 6: Off.

AssetClass (Asset Class)

  • Forex = 1: Forex.
  • Equity = 2: Equity.
  • Commodity = 3: Commodity.
  • Interest = 4: Interest.

ExchangePrincipal (Principal Exchange Method)

  • BOTHENDS = 0: Both ends.
  • STARTONLY = 1: Start only.
  • ENDONLY = 2: End only.
  • NOEXCHANGE = 3: No exchange.

AmortisationType (Amortization Type)

  • AMRT_NONE = 0: No amortization.
  • AMRT_LINEAR_RT = 1: Linear amortization (proportional).
  • AMRT_CONSTANT = 2: Constant amortization.
  • AMRT_CONST_ANNU = 3: Constant annual amortization.
  • AMRT_CPN_REINVEST = 5: Coupon reinvestment amortization.
  • AMRT_LINEAR_AMT = 7: Linear amortization (amount-based).
  • AMRT_SCHEDULED = 8: Scheduled amortization.

ResidualType (Amortization Residual Type)

  • AbsoluteValue = 0: Absolute value.
  • Percent = 1: Percentage.
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