Examples of Exercise

com.krminc.phr.domain.Exercise
Exercise entity. @author cmccall
no.hal.jex.Exercise
A representation of the model object 'Exercise'. @see no.hal.jex.JexPackage#getExercise() @model @generated
org.jquantlib.exercise.Exercise
Abstract base class for exercise dates @author Richard Gomes

Examples of org.jquantlib.exercise.Exercise

        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(rRate, dc));
        final SimpleQuote vol = new SimpleQuote(0.0);
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(vol, dc));


        final Date exDate = today.add(new Period(6, TimeUnit.Months));
        final Exercise exercise = new EuropeanExercise(exDate);


        final List<Date> dividendDates = new ArrayList<Date>();
        final List</* @Real */ Double> dividends = new ArrayList<Double>();
        dividendDates.add(today.add(new Period(2, TimeUnit.Months)));
        dividends.add(0.50);

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Examples of org.jquantlib.exercise.Exercise


        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Months));
                  final Exercise exercise = new EuropeanExercise(exDate);


                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  dividendDates.add(today);
                  dividends.add(dividendValue);

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Examples of org.jquantlib.exercise.Exercise


        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Years));
                  final Exercise exercise = new EuropeanExercise(exDate);


                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  dividendDates.add(exercise.lastDate());
                  dividends.add(dividendValue);


                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final StrikedTypePayoff refPayoff = new PlainVanillaPayoff(type, strike + dividendValue);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);

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Examples of org.jquantlib.exercise.Exercise


        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Years));
                  final Exercise exercise = new EuropeanExercise(exDate);


                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  for (final Date d = today.add(new Period(3, TimeUnit.Months));
                             d.lt(exercise.lastDate());
                             d.addAssign(new Period(6, TimeUnit.Months))) {
                      dividendDates.add(d.clone());
                      dividends.add(5.0);
                  }

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Examples of org.jquantlib.exercise.Exercise


        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Years));
                  final Exercise exercise = new EuropeanExercise(exDate);


                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  for (final Date d = today.add(new Period(3, TimeUnit.Months));
                             d.lt(exercise.lastDate());
                             d.addAssign(new Period(6, TimeUnit.Months))) {
                      dividendDates.add(d.clone());
                      dividends.add(5.0);
                  }

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Examples of org.jquantlib.exercise.Exercise

        //                 "12345678901234567890123456789012345678901234567890123456789012345678901234567890"
        System.out.println("                            Method      European      Bermudan      American");
        System.out.println("================================== ============= ============= =============");


        // Define exercise for European Options
        final Exercise europeanExercise = new EuropeanExercise(maturity);


        // Define exercise for Bermudan Options
        final int bermudanForwards = 4;
        final Date[] exerciseDates = new Date[bermudanForwards];
        for (int i = 1; i <= bermudanForwards; i++) {
            exerciseDates[i-1] = settlementDate.add(new Period(3 * i, TimeUnit.Months));
        }
        final Exercise bermudanExercise = new BermudanExercise(exerciseDates);


        // Define exercise for American Options
        final Exercise americanExercise = new AmericanExercise(settlementDate, maturity);


        // bootstrap the yield/dividend/volatility curves
        final Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        final Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
        final Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));

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Examples of org.jquantlib.exercise.Exercise

        //                 "12345678901234567890123456789012345678901234567890123456789012345678901234567890"
        System.out.println("                            Method      European      Bermudan      American");
        System.out.println("================================== ============= ============= =============");


        // Define exercise for European Options
        final Exercise europeanExercise = new EuropeanExercise(maturity);


        // Define exercise for Bermudan Options
    final int bermudanForwards = 4;
    final Date[] exerciseDates = new Date[bermudanForwards];
    for (int i = 1; i <= bermudanForwards; i++) {
            exerciseDates[i-1] = settlementDate.add(new Period(3*i, TimeUnit.Months));
        }
      final Exercise bermudanExercise = new BermudanExercise(exerciseDates);


        // Define exercise for American Options
        final Exercise americanExercise = new AmericanExercise(settlementDate, maturity);


        // bootstrap the yield/dividend/volatility curves
        final Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        final Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
        final Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));

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Examples of org.jquantlib.exercise.Exercise

        System.out.println("Tsiveriotis-Fernandes method");
        System.out.println("                         Tree type      European      American");
        System.out.println("================================== ============= =============");




        final Exercise europeanExercise = new EuropeanExercise(exerciseDate);
        final Exercise americanExercise = new AmericanExercise(settlementDate,exerciseDate);


        final Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        final Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(
                new FlatForward(settlementDate, riskFreeRate, dayCounter));
        final Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(

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Examples of org.jquantlib.exercise.Exercise

            final Handle<Quote> h2 = new Handle<Quote>(volatility.currentLink());
            final Handle<YieldTermStructure> flatRate = new Handle<YieldTermStructure>(new FlatForward(0, new NullCalendar(), h1, dayCounter));
            final Handle<BlackConstantVol> flatVol = new Handle<BlackConstantVol>(new BlackConstantVol(0, new NullCalendar(), h2, dayCounter));


            //instantiate the option
            final Exercise exercise = new EuropeanExercise(maturity);
            final Payoff payoff = new PlainVanillaPayoff(type, strike);


            //FIXME:Review BlackScholes, GeneralizedBlackScholesStochasticProcess
            //Handle<StochasticProcess> stochasticProcess = new Handle<StochasticProcess>(new GeneralizedBlackScholesProcess(underlying, flatRate, flatVol));

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Examples of org.jquantlib.exercise.Exercise

        else   if(optionType.equalsIgnoreCase("put") || optionType.equalsIgnoreCase("p")){
            type = Option.Type.Put;
        }
        else throw new IllegalArgumentException("Invalid option type");


        Exercise europeanExercise = new EuropeanExercise(maturityDate);
        Payoff payoff = new PlainVanillaPayoff(type, strike);


        final Calendar calendar = new Target();
        Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));

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