Examples of org.jquantlib.exercise.Exercise

org.jquantlib.exercise.Exercise
Abstract base class for exercise dates @author Richard Gomes


            QL.debug(values[i].toString());


            final StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
            final Date exDate = today.add( timeToDays(values[i].t) );
            final Exercise exercise = new EuropeanExercise(exDate);


            spot.setValue(values[i].s);
            qRate.setValue(values[i].q);
            rRate.setValue(values[i].r);
            vol.setValue(values[i].v);

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




        StrikedTypePayoff payoff;
        Date exDate;
        Exercise exercise;
        double calculated;
        double error;


        int i = -1;

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        for (final Type type : types) {
            for (final double strike : strikes) {
                for (final double residualTime : residualTimes) {


                    final Date exDate = today.add( timeToDays(residualTime) ); //TODO: code review
                    final Exercise exercise = new EuropeanExercise(exDate);


                    for (int kk=0; kk<4; kk++) {
                        StrikedTypePayoff payoff = null;
                        // option to check
                        if (kk==0) {

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        for (final Type type : types) {
            for (final double strike2 : strikes) {
                for (final int length : lengths) {
                    // option to check
                    final Date exDate = today.add( length );
                    final Exercise exercise = new EuropeanExercise(exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike2);
                    final VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic, 0, 0);


                    final GeneralizedBlackScholesProcess process = makeProcess(spot, qTS, rTS,volTS);

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        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.20);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);


        final Date exerciseDate = today.add(Period.ONE_YEAR_FORWARD);
        final Exercise exercise = new EuropeanExercise(exerciseDate);
        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 100);


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

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        for (final Type type : types) {
            for (final double strike3 : strikes) {
                for (final int length2 : lengths) {


                    final Date exDate = today.add(timeToDays(length2));
                    final Exercise exercise = new EuropeanExercise(exDate);


                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike3);


                    // reference option
                    final VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic, 0, 0);

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        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                    final Date exDate = today.add(length * 360);
                    final Exercise exercise = new EuropeanExercise(exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);


                    // reference option
                    final VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic,
                            Constants.NULL_INTEGER, Constants.NULL_INTEGER);

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        /* @Integer */ final int lengths[] = { 1, 2 };


        for (final int length : lengths) {
            final Date exDate = today.add(new Period(length, TimeUnit.Years));
            final Exercise exercise = new EuropeanExercise(exDate);
            testFdGreeks(FDDividendEuropeanEngine.class, today, exercise);
        }
    }

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        /* @Integer */ final int lengths[] = { 1, 2 };


        for (final int length : lengths) {
            final Date exDate = today.add(new Period(length, TimeUnit.Years));
            final Exercise exercise = new AmericanExercise(today, exDate);
            testFdGreeks(FDDividendAmericanEngine.class, today, exercise);
        }
    }

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        QL.info("Testing degenerate finite-differences dividend European option...");


        final Date today = new Date(27, Month.February, 2005);
        new Settings().setEvaluationDate(today);
        final Date exDate = new Date(13, Month.April, 2005);
        final Exercise exercise = new EuropeanExercise(exDate);
        testFdDegenerate(FDDividendEuropeanEngine.class, today, exercise);
    }

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Related Classes of org.jquantlib.exercise.Exercise

org.jquantlib.ooimpl.OptionHelper

org.jquantlib.samples.ConvertibleBonds

org.jquantlib.samples.CoxRossWithHullWhite

org.jquantlib.samples.EquityOptions

org.jquantlib.samples.Replication

org.jquantlib.testsuite.instruments.AmericanOptionTest

org.jquantlib.testsuite.instruments.AsianOptionTest

org.jquantlib.testsuite.instruments.BarrierOptionTest

org.jquantlib.testsuite.instruments.ConvertibleBondTest

org.jquantlib.testsuite.instruments.DividendOptionTest

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