Package com.opengamma.analytics.financial.equity.option

Examples of com.opengamma.analytics.financial.equity.option.EquityIndexFutureOption

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        optionPrice = derivative.accept(s_pvCalculator, market) / option.getUnitAmount();
      } else {
        optionPrice = marketPrice;
      }
    } else if (derivative instanceof EquityIndexFutureOption) {
      final EquityIndexFutureOption option = (EquityIndexFutureOption) derivative;
      strike = option.getStrike();
      timeToExpiry = option.getExpiry();
      isCall = option.isCall();
      if (marketPrice == null) {
        optionPrice = derivative.accept(s_pvCalculator, market) / option.getPointValue();
      } else {
        optionPrice = marketPrice;
      }

    } else {
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      strike = option.getStrike();
      timeToExpiry = option.getTimeToExpiry();
      isCall = option.isCall();
      optionPrice = derivative.accept(s_pvCalculator, market) / option.getUnitAmount();
    } else if (derivative instanceof EquityIndexFutureOption) {
      final EquityIndexFutureOption option = (EquityIndexFutureOption) derivative;
      strike = option.getStrike();
      timeToExpiry = option.getExpiry();
      isCall = option.isCall();
      optionPrice = derivative.accept(s_pvCalculator, market) / option.getPointValue();
    } else {
      throw new OpenGammaRuntimeException("Unexpected InstrumentDerivative type");
    }
    final double spot = market.getForwardCurve().getSpot();
    final double discountRate = market.getDiscountCurve().getInterestRate(timeToExpiry);
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Related Classes of com.opengamma.analytics.financial.equity.option.EquityIndexFutureOption

  • com.opengamma.financial.analytics.model.equity.option.EquityOptionBAWImpliedVolatilityFunction
  • com.opengamma.financial.analytics.model.equity.option.EquityOptionBjerksundStenslandImpliedVolFunction
  • com.opengamma.OpenGammaRuntimeException
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