枚举值列表
大约 5 分钟
枚举值列表
DayCounter(计息规则)
知识点链接:DayCounter 知识点
NONE = -1
:无计息规则。Act360 = 0
:实际天数/360。Act365Fixed = 1
:实际天数/365。ThirtyE360 = 2
:30/360(欧洲规则)。ThirtyE360ISDA = 3
:30/360(ISDA规则)。ThirtyEPlus360 = 4
:30E+/360。ThirtyU360 = 5
:30/360(美国规则)。ActActISDA = 6
:实际天数/实际天数(ISDA规则)。ActActICMA = 7
:实际天数/实际天数(ICMA规则)。Act365L = 8
:实际天数/365(闰年)。ActActAFB = 9
:实际天数/实际天数(AFB规则)。Act365Leap = 10
:实际天数/365(闰年)。ActActXTR = 11
:实际天数/实际天数(XTR规则)。ActActICMAComplement = 12
:实际天数/实际天数(ICMA补充规则)。Act252 = 13
:实际天数/252。
DateAdjusterRule(日期调整规则)
知识点链接:DateAdjusterRule 知识点
Following = 0
:顺延。Preceding = 1
:提前。ModifiedFollowing = 2
:修正顺延。ModifiedPreceding = 3
:修正提前。IMM = 4
:IMM规则。Actual = 5
:实际日期。LME = 6
:LME规则。
StrippingMethod(剥离方法)
知识点链接:StrippingMethod 知识点
METHOD1 = 0
:方法1。METHOD2 = 1
:方法2。
InterpolatedVariable(利息类型)
知识点链接:InterpolatedVariable 知识点
ZERORATES = -1
:零息利率。SIMPLERATES = 0
:简单利率。CONTINUOUSRATES = 1
:连续利率。
SmileInterpolation(微笑曲线插值)
知识点链接:SmileInterpolation 知识点
LINEAR = 0
:线性插值。SVI = 1
:SVI插值。CUBICSPLINE = 2
:三次样条插值。VANNAVOLGA = 3
:Vanna-Volga插值。SABR = 4
:SABR插值。
InterpolationMethod(插值方法)
知识点链接:InterpolationMethod 知识点
FLATINTERPOLATION = 0
:平坦插值。CLOSESTINTERPOLATION = 1
:最近插值。LINEARINTERPOLATION = 2
:线性插值。LINEARXY = 3
:线性XY插值。LOGLINEAR = 4
:对数线性插值。LAGRANGEPOLYNOMIAL = 5
:拉格朗日多项式插值。CUBICSPLINES = 6
:三次样条插值。FORWARDFORWARDQUARTIC = 7
:前向四次插值。EXPLICITCLAMPEDCUBICSPLINES = 8
:显式夹紧三次样条插值。FORWARDSPLINEMETHOD = 9
:前向样条方法。
ExtrapolationMethod(外插方法)
知识点链接:ExtrapolationMethod 知识点
NONE = 0
:无外插。FLATEXTRAPOLATION = 1
:平坦外插。LINEAREXTRAPOLATION = 2
:线性外插。TAYLOREXTRAPOLATION = 3
:泰勒外插。
HistVolsModel(历史波动率模型)
知识点链接:HistVolsModel 知识点
CLOSE_TO_CLOSE = 0
:收盘到收盘。EWMA = 1
:指数加权移动平均。LINXIAO = 2
:林晓模型。RISKMETRICS = 3
:风险度量。
OptionExpiryNature(期权行权类型)
知识点链接:OptionExpiryNature 知识点
EUROPEAN = 0
:欧式。AMERICAN = 1
:美式。BERMUDAN = 2
:百慕大。
PricingMethod(定价模型)
知识点链接:PricingMethod 知识点
BLACKSCHOLES = 1
:Black-Scholes。BAW = 2
:BAW模型。JUZHONG = 3
:居中模型。BINOMIAL = 4
:二叉树模型。TRINOMIAL = 5
:三叉树模型。PDE = 6
:偏微分方程模型。MONTECARLO = 10
:蒙特卡洛模型。WILMOTT = 11
:Wilmott模型。MONTECARLO_CPU = 12
:CPU蒙特卡洛模型。LSMC = 13
:最小二乘蒙特卡洛模型。ADERSON = 14
:Aderson模型。
BarrierType(障碍类型)
知识点链接:BarrierType 知识点
INACTIVE = 1
:未激活。KNOCK_DOWN_IN = 2
:向下敲入。KNOCK_DOWN_OUT = 3
:向下敲出。KNOCK_UP_IN = 4
:向上敲入。KNOCK_UP_OUT = 5
:向上敲出。
DeltaType(Delta类型)
知识点链接:DeltaType 知识点
SPOT_DELTA = 0
:现货Delta。FORWARD_DELTA = 1
:远期Delta。
ATMVolType(平值波动率类型)
知识点链接:ATMVolType 知识点
DELTA_NEUTRAL_STRADDLE = 1
:Delta中性跨式。FORWARD_STRIKE = 2
:远期行权价。SPOT_STRIKE = 3
:现货行权价。
AsianOptionType(亚式期权类型)
知识点链接:AsianOptionType 知识点
Asian_Fixed_Geometric = 8
:固定几何亚式期权。Asian_Fixed_Arithmetic = 9
:固定算术亚式期权。Asian_Floating_Geometric = 10
:浮动几何亚式期权。Asian_Floating_Arithmetic = 11
:浮动算术亚式期权。
ParametricCurveModel(参数曲线模型)
知识点链接:ParametricCurveModel 知识点
NS = 1
:Nelson-Siegel模型。NSS = 2
:Nelson-Siegel-Svensson模型。CIR = 3
:CIR模型。VASICEK = 4
:Vasicek模型。
DigitalType(数字类型)
知识点链接:DigitalType 知识点
CASH_OR_NOTHING_CALL = 1
:现金或无看涨期权。ASSET_OR_NOTHING_CALL = 2
:资产或无看涨期权。CASH_OR_NOTHING_PUT = 3
:现金或无看跌期权。ASSET_OR_NOTHING_PUT = 4
:资产或无看跌期权。DOWN_CASH_AT_TOUCH = 5
:向下触碰现金。DOWN_ASSET_AT_TOUCH = 6
:向下触碰资产。UP_CASH_AT_TOUCH = 7
:向上触碰现金。UP_ASSET_AT_TOUCH = 8
:向上触碰资产。DOWN_IN_CASH_AT_EXPIRY = 9
:向下触碰现金到期。DOWN_IN_ASSET_AT_EXPIRY = 10
:向下触碰资产到期。UP_IN_CASH_AT_EXPIRY = 11
:向上触碰现金到期。UP_IN_ASSET_AT_EXPIRY = 12
:向上触碰资产到期。DOWN_OUT_CASH_AT_EXPIRY = 13
:向下触碰现金到期。DOWN_OUT_ASSET_AT_EXPIRY = 14
:向下触碰资产到期。UP_OUT_CASH_AT_EXPIRY = 15
:向上触碰现金到期。UP_OUT_ASSET_AT_EXPIRY = 16
:向上触碰资产到期。DOWN_IN_CASH_CALL = 17
:向下触碰现金看涨。DOWN_IN_ASSET_CALL = 18
:向下触碰资产看涨。UP_IN_CASH_CALL = 19
:向上触碰现金看涨。UP_IN_ASSET_CALL = 20
:向上触碰资产看涨。DOWN_IN_CASH_PUT = 21
:向下触碰现金看跌。DOWN_IN_ASSET_PUT = 22
:向下触碰资产看跌。UP_IN_CASH_PUT = 23
:向上触碰现金看跌。UP_IN_ASSET_PUT = 24
:向上触碰资产看跌。DOWN_OUT_CASH_CALL = 25
:向下触碰现金看涨。DOWN_OUT_ASSET_CALL = 26
:向下触碰资产看涨。UP_OUT_CASH_CALL = 27
:向上触碰现金看涨。UP_OUT_ASSET_CALL = 28
:向上触碰资产看涨。DOWN_OUT_CASH_PUT = 29
:向下触碰现金看跌。DOWN_OUT_ASSET_PUT = 30
:向下触碰资产看跌。UP_OUT_CASH_PUT = 31
:向上触碰现金看跌。UP_OUT_ASSET_PUT = 32
:向上触碰资产看跌。
BondCouponType(债券息票类型)
BULLET = 1
:子弹型。DISC = 2
:贴现型。INTEREST = 3
:利息型。
XsModelType(模型类型)
BlackSchole = 1
:Black-Scholes模型。BlackScholeF = 2
:Black-Scholes模型(远期)。Bachelier = 3
:Bachelier模型。BachelierF = 4
:Bachelier模型(远期)。Heson = 5
:Heston模型。HesonF = 6
:Heston模型(远期)。
ModelType(模型类型)
BlackSchole = 1
:Black-Scholes模型。Bachelier = 2
:Bachelier模型。Heston = 3
:Heston模型。Dupire = 4
:Dupire模型。
LocalVolModel(本地波动率模型)
Heston = 3
:Heston模型。Dupire = 4
:Dupire模型。
XScriptRunMode(运行方式)
AutoSelect = 0
:自动选择。SingleThread = 1
:单线程。MultithreadCPU = 2
:CPU多线程。GPU = 3
:GPU。
LogLevel(日志级别)
Trace = 0
:跟踪。Debug = 1
:调试。Info = 2
:信息。Warn = 3
:警告。Error = 4
:错误。Critical = 5
:严重。Off = 6
:关闭。
AssetClass(资产类型)
Forex = 1
:外汇。Equity = 2
:股票。Commodity = 3
:商品。Interest = 4
:利率。
ExchangePrincipal(本金交换方式)
BOTHENDS = 0
:两端交换。STARTONLY = 1
:仅起始端交换。ENDONLY = 2
:仅结束端交换。NOEXCHANGE = 3
:不交换。
AmortisationType(本金摊销方式)
AMRT_NONE = 0
:无摊销。AMRT_LINEAR_RT = 1
:线性摊销(按比例)。AMRT_CONSTANT = 2
:固定摊销。AMRT_CONST_ANNU = 3
:固定年摊销。AMRT_CPN_REINVEST = 5
:利息再投资摊销。AMRT_LINEAR_AMT = 7
:线性摊销(按金额)。AMRT_SCHEDULED = 8
:计划摊销。
ResidualType(摊销本金剩余类型)
AbsoluteValue = 0
:绝对值。Percent = 1
:百分比。