Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.GapPayoff

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                            //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),
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        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;
            }
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        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;
            }
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                            //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),
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                                    } 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) {
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Related Classes of org.jquantlib.instruments.GapPayoff

  • org.jquantlib.pricingengines.BlackCalculator$Calculator$GapPayoffVisitor
  • org.jquantlib.testsuite.instruments.EuropeanOptionTest
  • org.jquantlib.testsuite.pricingengines.JumpDiffusionEngineTest
  • org.jquantlib.lang.exceptions.LibraryException
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