Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.BarrierType

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        QL.require(a.payoff instanceof PlainVanillaPayoff, NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified // TODO: message
        this.payoff = (PlainVanillaPayoff)a.payoff;
        QL.require(payoff.strike()>0.0 , STRIKE_MUST_BE_POSITIVE); // QA:[RG]::verified // TODO: message

        final double strike = payoff.strike();
        final BarrierType barrierType = a.barrierType;

        switch (payoff.optionType()) {
            case Call:
                switch (barrierType) {
                    case DownIn:
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            final Date today = new Date(29, Month.May, 2006);
            new Settings().setEvaluationDate(today);

            //the option to replicate
            final BarrierType barrierType = BarrierType.DownOut;
            final double barrier = 70.0;
            final double rebate = 0.0;
            final Option.Type type = Option.Type.Put;
            final double underlyingValue = 100;
            final Handle<SimpleQuote> underlying = new Handle<SimpleQuote>(new SimpleQuote(underlyingValue));
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        QL.require(a.payoff instanceof PlainVanillaPayoff, NON_PLAIN_PAYOFF_GIVEN); // TODO: message
        this.payoff = (PlainVanillaPayoff)a.payoff;
        QL.require(payoff.strike()>0.0 , STRIKE_MUST_BE_POSITIVE); // TODO: message

        final double strike = payoff.strike();
        final BarrierType barrierType = a.barrierType;

        switch (payoff.optionType()) {
            case Call:
                switch (barrierType) {
                    case DownIn:
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Related Classes of org.jquantlib.instruments.BarrierType

  • org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine
  • org.jquantlib.samples.Replication
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