Examples of org.jquantlib.exercise.AmericanExercise

org.jquantlib.exercise.AmericanExercise
American exercise
An American option can be exercised at any time between two predefined dates. In case the first date is omitted, the option can be exercised at any time before the expiry date. @author Richard Gomes


        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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            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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        for (final Type type : types) {
            for (final double strike : strikes) {
                for (final int year : years) {


                    final Date exDate = today.add(new Period(year, TimeUnit.Years));
                    final Exercise exercise = new AmericanExercise(today, exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);


                    final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                            new Handle<Quote>(spot),
                            new Handle<YieldTermStructure>(qTS),

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