Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.AverageType

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        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS), new Handle<YieldTermStructure>(rTS), new Handle<BlackVolTermStructure>(volTS));

        final PricingEngine engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess);

        final AverageType averageType = AverageType.Geometric;
        /* @Real */final double runningAccumulator = 1.0;
        /* @Size */final int pastFixings = 0;
        /* @Size */final int futureFixings = 10;
        final Option.Type type = Option.Type.Call;
        /* @Real */final double strike = 100.0;
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        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                new Handle<Quote>(spot), new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS), new Handle<BlackVolTermStructure>(volTS));
        final PricingEngine engine = new AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess);

        final AverageType averageType = AverageType.Geometric;
        final Option.Type type = Option.Type.Put;
        /* @Real */final double strike = 85.0;

        final Date exerciseDate = today.clone().addAssign(90);

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Related Classes of org.jquantlib.instruments.AverageType

  • org.jquantlib.testsuite.instruments.AsianOptionTest
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