Examples of AnalyticBarrierEngine

org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine
Pricing engine for barrier options using analytical formulae
The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill, p.69 and following. @category barrierengines @author

Examples of org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine

            final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                    new Handle<Quote>(spot),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));
            final PricingEngine engine = new AnalyticBarrierEngine(stochProcess);


            final BarrierOption barrierOption = new BarrierOption(value.barrierType, value.barrier, value.rebate, payoff, exercise);
            barrierOption.setPricingEngine(engine);


            final double calculated = barrierOption.NPV();

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Examples of org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine

                    new Handle<Quote>(underlying),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));


            final PricingEngine engine = new AnalyticBarrierEngine(stochProcess);


            final BarrierOption barrierCallOption = new BarrierOption(value.barrierType, value.barrier, rebate, callPayoff, exercise);
            barrierCallOption.setPricingEngine(engine);


            final double calculated = barrierCallOption.NPV();

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Examples of org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine

            final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                    new Handle<Quote>(underlying),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));
            final PricingEngine engine = new AnalyticBarrierEngine(stochProcess);




            final BarrierOption barrierCallOption = new BarrierOption(value.barrierType, value.barrier, rebate, callPayoff, exercise);
            barrierCallOption.setPricingEngine(engine);

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