Examples of FDBermudanEngine

Examples of org.jquantlib.pricingengines.vanilla.finitedifferences.FDBermudanEngine

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            break;
          case American:
            engine = new FDAmericanEngine(newProcess);
            break;
          case Bermudan:
            engine = new FDBermudanEngine(newProcess);
            break;
          default:
            throw new LibraryException(UNKNOWN_EXERCISE_TYPE);
        }
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Examples of org.jquantlib.pricingengines.vanilla.finitedifferences.FDBermudanEngine

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        //

        // Finite differences
        method = "Finite differences";
        europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps-1, false));
        bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps-1));
        americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps-1, false));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );
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Examples of org.jquantlib.pricingengines.vanilla.finitedifferences.FDBermudanEngine

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            break;
          case American:
            engine = new FDAmericanEngine(newProcess);
            break;
          case Bermudan:
            engine = new FDBermudanEngine(newProcess);
            break;
          default:
            throw new LibraryException(UNKNOWN_EXERCISE_TYPE);
        }
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