Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.Payoff

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        // bootstrap the yield/dividend/volatility curves
        final Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        final Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
        final Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
        final Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
        final Payoff payoff = new PlainVanillaPayoff(type, strike);

        // European Options
        final VanillaOption europeanOption = new EuropeanOption(payoff, europeanExercise);

        // Bermundan options (can be thought as a collection of European Options)
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        // bootstrap the yield/dividend/volatility curves
        final Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        final Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
        final Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
        final Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
        final Payoff payoff = new PlainVanillaPayoff(type, strike);

        final BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);

        // European Options
        final VanillaOption europeanOption = new EuropeanOption(payoff, europeanExercise);
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            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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            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));
        Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
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Related Classes of org.jquantlib.instruments.Payoff

  • org.jquantlib.ooimpl.OptionHelper
  • org.jquantlib.samples.CoxRossWithHullWhite
  • org.jquantlib.samples.EquityOptions
  • org.jquantlib.samples.Replication
  • org.jquantlib.lang.exceptions.LibraryException
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