Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.GapPayoff


                            //FIXME check constructor
                            payoff = new CashOrNothingPayoff(type, strike, 100);
                        } else if (kk==2) {
                            payoff = new AssetOrNothingPayoff(type, strike);
                        } else if (kk==3) {
                            payoff = new GapPayoff(type, strike, 100);
                        }

                        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                                new Handle<Quote>(spot),
                                new Handle<YieldTermStructure>(qTS),
View Full Code Here


        private final class GapPayoffVisitor implements Visitor<Payoff> {

            @Override
            public final void visit(final Payoff o) {
                final GapPayoff payoff = (GapPayoff)o;
                black.x = payoff.getSecondStrike();
                black.dx_dStrike = 0.0;
            }
View Full Code Here

        private final class GapPayoffVisitor implements Visitor<Payoff> {

            @Override
            public final void visit(final Payoff o) {
                final GapPayoff payoff = (GapPayoff)o;
                black.x = payoff.getSecondStrike();
                black.dx_dStrike = 0.0;
            }
View Full Code Here

                            //FIXME check constructor
                            payoff = new CashOrNothingPayoff(type, strike, 100);
                        } else if (kk==2) {
                            payoff = new AssetOrNothingPayoff(type, strike);
                        } else if (kk==3) {
                            payoff = new GapPayoff(type, strike, 100);
                        }

                        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                                new Handle<Quote>(spot),
                                new Handle<YieldTermStructure>(qTS),
View Full Code Here

                                    } else if (kk == 1) {
                                        payoff = new CashOrNothingPayoff(type, strike, 100.0);
                                    } else if (kk == 2) {
                                        payoff = new AssetOrNothingPayoff(type, strike);
                                    } else if (kk == 3) {
                                        payoff = new GapPayoff(type, strike, 100.0);
                                    }
                                    final EuropeanOption option = new EuropeanOption(payoff, exercise);
                                    option.setPricingEngine(engine);

                                    for (final double u : underlyings) {
View Full Code Here

TOP

Related Classes of org.jquantlib.instruments.GapPayoff

Copyright © 2018 www.massapicom. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.