Package org.jquantlib.exercise

Examples of org.jquantlib.exercise.Exercise

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            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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        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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            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 HaugMertonData value : values) {
            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);

            final Date exDate = today.add((int) (value.t * 360 + 0.5));
            final Exercise exercise = new EuropeanExercise(exDate);

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

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                        meanLogJump.setValue(element2);
                        for (final double element3 : jV) {
                            jumpVol.setValue(element3);
                            for (final double residualTime : residualTimes) {
                                final Date exDate = today.add((int) (residualTime * 360 + 0.5));
                                final Exercise exercise = new EuropeanExercise(exDate);

                                for (int kk = 0; kk < 1; kk++) {
                                    StrikedTypePayoff payoff = null;
                                    // option to check
                                    if (kk == 0) {
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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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