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 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.Exercise

        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.Exercise


    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>(
        CoxRossRubinstein.class,

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Examples of org.jquantlib.exercise.Exercise


    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.Exercise

        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.Exercise


        /* @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.Exercise


            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);


            final int daysToExpiry = (int) (value.t * 360 + 0.5);
            final Date exDate = today.clone().addAssign(daysToExpiry);
            final Exercise exercise = new AmericanExercise(today, exDate);


            spot.setValue(value.s);
            qRate.setValue(value.q);
            rRate.setValue(value.r);
            vol.setValue(value.v);

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Examples of org.jquantlib.exercise.Exercise

        final double /* @Real */tolerance = 3.0e-3;


        for (final AmericanOptionData value : values) {
            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);
            final Date exDate = today.add(timeToDays(value.t));
            final Exercise exercise = new AmericanExercise(today, exDate);


            spot.setValue(value.s);
            qRate.setValue(value.q);
            rRate.setValue(value.r);
            vol.setValue(value.v);

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Examples of org.jquantlib.exercise.Exercise


        for (final AmericanOptionData juValue : juValues) {


            final StrikedTypePayoff payoff = new PlainVanillaPayoff(juValue.type, juValue.strike);
            final Date exDate = today.add(timeToDays(juValue.t));
            final Exercise exercise = new AmericanExercise(today, exDate);


            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
            rRate.setValue(juValue.r);
            vol.setValue(juValue.v);

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Examples of org.jquantlib.exercise.Exercise

            final SimpleQuote           vol   = new SimpleQuote(0.0);
            final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);


            final StrikedTypePayoff payoff = new PlainVanillaPayoff(juValue.type, juValue.strike);
            final Date exDate = today.add(timeToDays(juValue.t));
            final Exercise exercise = new AmericanExercise(today, exDate);


            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
            rRate.setValue(juValue.r);
            vol.setValue(juValue.v);

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