Examples of EuropeanExercise

org.jquantlib.exercise.EuropeanExercise
A European option can only be exercised at one (expiry) date. @author Richard Gomes

Examples of org.jquantlib.exercise.EuropeanExercise

        final YieldTermStructure    rTS        = Utilities.flatRate(today, rH_SME, dc);
        final SimpleQuote           volatility = new SimpleQuote(0.10);
        final BlackVolTermStructure volTS      = Utilities.flatVol(today, volatility, dc);


        final Date exDate = today.add(360);
        final Exercise exercise = new EuropeanExercise(exDate);


        for (final BarrierOptionData value : values) {
            volatility.setValue(value.volatility);
            final StrikedTypePayoff callPayoff = new PlainVanillaPayoff(Option.Type.Call, value.strike);

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Examples of org.jquantlib.exercise.EuropeanExercise

        final SimpleQuote           volatility = new SimpleQuote(0.10);
        final BlackVolTermStructure volTS      = Utilities.flatVol(today, volatility, dc);


        final Date exDate = today.add(360);


        final Exercise exercise = new EuropeanExercise(exDate);


        for (final BarrierOptionData value : values) {
            volatility.setValue(value.volatility);
            final StrikedTypePayoff callPayoff = new PlainVanillaPayoff(Option.Type.Call, value.strike);

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Examples of org.jquantlib.exercise.EuropeanExercise


    final CommonVars vars = new CommonVars();


    vars.conversionRatio = 1.0e-16;


    final Exercise euExercise = new EuropeanExercise(vars.maturityDate);
    final Exercise amExercise = new AmericanExercise(vars.issueDate,
        vars.maturityDate);


    final int timeSteps = 1001;
    final PricingEngine engine = new BinomialConvertibleEngine<CoxRossRubinstein>(

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Examples of org.jquantlib.exercise.EuropeanExercise


    QL.info("Testing zero-coupon convertible bonds against vanilla option...");


    final CommonVars vars = new CommonVars();


    final Exercise euExercise = new EuropeanExercise(vars.maturityDate);


    vars.settlementDays = 0;


    final int timeSteps = 1001;
    final PricingEngine engine = new BinomialConvertibleEngine<CoxRossRubinstein>(CoxRossRubinstein.class, vars.process, timeSteps);

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Examples of org.jquantlib.exercise.EuropeanExercise

        final Option.Type type = Option.Type.Call;
        /* @Real */final double strike = 100.0;
        final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);


        final Date exerciseDate = today.clone().addAssign(360);
        final Exercise exercise = new EuropeanExercise(exerciseDate);


        QL.info("Exercise: " + exerciseDate);
        QL.info("Df: " + rTS.discount(exerciseDate));
        QL.info("DivDf: " + qTS.discount(exerciseDate));

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Examples of org.jquantlib.exercise.EuropeanExercise

        for (final Type type : types) {
            for (final double strike : strikes) {
                for (final int length : lengths) {


                    final Date exerciseDate = new Date(today.dayOfMonth(), today.month(), today.year() + length);
                    final EuropeanExercise maturity = new EuropeanExercise(exerciseDate);


                    final PlainVanillaPayoff payoff = new PlainVanillaPayoff(type, strike);


                    final double runningAverage = 120;
                    final int pastFixings = 1;


                    final List<Date> fixingDates = new ArrayList<Date>();


                    final Date d = today.clone();
                    final Period THREEMONTH = new Period(3, TimeUnit.Months);
                    d.addAssign(new Period(3, TimeUnit.Months));
                    for (d.addAssign(THREEMONTH); d.le(maturity.lastDate()); d.addAssign(THREEMONTH)) {
                        fixingDates.add(d.clone());
                    }


                    final PricingEngine engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(process);

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Examples of org.jquantlib.exercise.EuropeanExercise


        /* @Size */int pastFixings = Integer.MAX_VALUE;
        /* @Real */double runningAccumulator = Double.NaN;


        final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
        final Exercise exercise = new EuropeanExercise(exerciseDate);


        final ContinuousAveragingAsianOption option = new ContinuousAveragingAsianOption(averageType, payoff, exercise);
        option.setPricingEngine(engine);


        /* @Real */double calculated = option.NPV();

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Examples of org.jquantlib.exercise.EuropeanExercise

        for (final Type type : types) {
            for (final double strike : strikes) {
                for (final int length : lengths) {


                    final Date exerciseDate = new Date(today.dayOfMonth(), today.month(), today.year() + length);
                    final EuropeanExercise maturity = new EuropeanExercise(exerciseDate);
                    final PlainVanillaPayoff payoff = new PlainVanillaPayoff(type, strike);


                    final ContinuousAveragingAsianOption option = new ContinuousAveragingAsianOption(
                            AverageType.Geometric, payoff, maturity);
                    option.setPricingEngine(engine);

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Examples of org.jquantlib.exercise.EuropeanExercise

            final Date expirationDate,
            final List<Date> dates,
            final List<Double> dividends) {


        super(type, underlying, strike, r, q, vol,
              settlementDate, new EuropeanExercise(expirationDate),
              dates, dividends);
    }

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Examples of org.jquantlib.exercise.EuropeanExercise

            final List<Date> dates,
            final List<Double> dividends,
            final Calendar cal) {


        super(type, u, strike, r, q, vol,
              settlementDate, new EuropeanExercise(expirationDate),
              dates, dividends, cal);
    }

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