Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.PlainVanillaPayoff

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        for (int i=0; i<values.length-1; i++) {

            QL.debug(values[i].toString());

            final StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
            final Date exDate = today.add( timeToDays(values[i].t) );
            final Exercise exercise = new EuropeanExercise(exDate);

            spot.setValue(values[i].s);
            qRate.setValue(values[i].q);
            rRate.setValue(values[i].r);
            vol.setValue(values[i].v);


            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 AnalyticEuropeanEngine(stochProcess);

            final EuropeanOption option = new EuropeanOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double calculated = option.NPV();
            final double error = Math.abs(calculated-values[i].result);
            final double tolerance = values[i].tol;

            final StringBuilder sb = new StringBuilder();
            sb.append("error ").append(error).append(" .gt. tolerance ").append(tolerance).append('\n');
            sb.append("    calculated ").append(calculated).append('\n');
            sb.append("    type ").append(values[i].type).append('\n');
            sb.append("    strike ").append(values[i].strike).append('\n');
            sb.append("    s ").append(values[i].s).append('\n');
            sb.append("    q ").append(values[i].q).append('\n');
            sb.append("    r ").append(values[i].r).append('\n');
            sb.append("    t ").append(values[i].t).append('\n');
            sb.append("    v ").append(values[i].v).append('\n');
            sb.append("    result ").append(values[i].result).append('\n');
            sb.append("    tol ").append(values[i].tol); // .append('\n');

            if (error<=tolerance) {
                QL.info(" error="+error);
            } else {
                fail(exercise + " " + payoff.optionType() + " option with " + payoff + " payoff:\n"
                        + "    spot value:       " + values[i].s + "\n"
                        + "    strike:           " + payoff.strike() + "\n"
                        + "    dividend yield:   " + values[i].q + "\n"
                        + "    risk-free rate:   " + values[i].r + "\n"
                        + "    reference date:   " + today + "\n"
                        + "    maturity:         " + values[i].t + "\n"
                        + "    volatility:       " + values[i].v + "\n\n"
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        int i = -1;

        // testing delta 1
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        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 AnalyticEuropeanEngine(stochProcess);

        VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);

        if (error > tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing delta 2
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);
        if(error>tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing elasticity
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.elasticity();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("elasticity", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        // testing gamma 1
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.gamma();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("gamma", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        // testing gamma 2
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.gamma();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("gamma", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing vega 1
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.vega();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("vega", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing vega 2
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.vega();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("vega", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing theta
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.theta();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("theta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }


        //testing theta per day
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.thetaPerDay();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("theta per day", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }


        //testing rho
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.rho();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("rho", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing dividend rho
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
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                    for (int kk=0; kk<4; kk++) {
                        StrikedTypePayoff payoff = null;
                        // option to check
                        if (kk==0) {
                            payoff = new PlainVanillaPayoff(type, strike);
                        } else if (kk==1) {
                            //FIXME check constructor
                            payoff = new CashOrNothingPayoff(type, strike, 100);
                        } else if (kk==2) {
                            payoff = new AssetOrNothingPayoff(type, strike);
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            for (final double strike2 : strikes) {
                for (final int length : lengths) {
                    // option to check
                    final Date exDate = today.add( length );
                    final Exercise exercise = new EuropeanExercise(exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike2);
                    final VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic, 0, 0);

                    final GeneralizedBlackScholesProcess process = makeProcess(spot, qTS, rTS,volTS);

                    for (final double u : underlyings) {
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        final SimpleQuote           vol   = new SimpleQuote(0.20);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        final Date exerciseDate = today.add(Period.ONE_YEAR_FORWARD);
        final Exercise exercise = new EuropeanExercise(exerciseDate);
        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 100);

        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                new Handle<Quote>(u),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
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                for (final int length2 : lengths) {

                    final Date exDate = today.add(timeToDays(length2));
                    final Exercise exercise = new EuropeanExercise(exDate);

                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike3);

                    // reference option
                    final VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic, 0, 0);
                    // option to check
                    final VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS, engine, binomialSteps, samples);
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        QL.require(a.averageType==AverageType.Geometric , "not a geometric average option"); // QA:[RG]::verified // TODO: message
        QL.require(a.exercise.type()==Exercise.Type.European , "not an European Option"); // QA:[RG]::verified // TODO: message
        final Date exercise = a.exercise.lastDate();

        QL.require(a.payoff instanceof PlainVanillaPayoff , "non-plain payoff given"); // QA:[RG]::verified // TODO: message
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff)arguments.payoff;

        /*@Volatility*/ final double volatility = process.blackVolatility().currentLink().blackVol(exercise, payoff.strike());
        /*@Real*/ final double variance = process.blackVolatility().currentLink().blackVariance(exercise, payoff.strike());
        /*@DiscountFactor*/ final double  riskFreeDiscount = process.riskFreeRate().currentLink().discount(exercise);
        final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                    final Date exDate = today.add(length * 360);
                    final Exercise exercise = new EuropeanExercise(exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);

                    // reference option
                    final VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic,
                            Constants.NULL_INTEGER, Constants.NULL_INTEGER);

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                new FlatForward(referenceDate, q, divdc));
        final Handle<BlackVolTermStructure> flatVol = new Handle<BlackVolTermStructure>(
                new BlackConstantVol(referenceDate, volcal, v, voldc));

        QL.require(a.payoff != null, "non-plain payoff given");
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff) a.payoff;
        final /*@Time*/ double maturity = rfdc.yearFraction(a.settlementDate, maturityDate);
        final GeneralizedBlackScholesProcess bs = new GeneralizedBlackScholesProcess(underlying, flatDividends, flatRiskFree, flatVol);

        // final T tree = new T(bs, maturity, timeSteps_, payoff.strike());
        final T tree;
        try {
            final Constructor<T> c = clazz.getConstructor(StochasticProcess1D.class, double.class, int.class, double.class);
            tree = clazz.cast( c.newInstance(bs, maturity, timeSteps_, payoff.strike() ));
        } catch (final Exception e) {
            throw new LibraryException(e); // QA:[RG]::verified
        }

        final /*@Real*/ double creditSpread = a.creditSpread.currentLink().value();
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        // binomial trees with constant coefficient
        final Handle<YieldTermStructure> flatRiskFree = new Handle<YieldTermStructure>(new FlatForward(referenceDate, rRate, rfdc));
        final Handle<YieldTermStructure> flatDividends = new Handle<YieldTermStructure>(new FlatForward(referenceDate, qRate, divdc));
        final Handle<BlackVolTermStructure> flatVol = new Handle<BlackVolTermStructure>(new BlackConstantVol(referenceDate, volcal, v, voldc));
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff) a.payoff;
        QL.require(payoff!=null , "non-plain payoff given"); // QA:[RG]::verified // TODO: message

        final double maturity = rfdc.yearFraction(referenceDate, maturityDate);

        final StochasticProcess1D bs = new GeneralizedBlackScholesProcess(process.stateVariable(), flatDividends, flatRiskFree, flatVol);
        final TimeGrid grid = new TimeGrid(maturity, timeSteps_);
        final Tree tree = (Tree)getTreeInstance(bs, maturity, timeSteps_, payoff.strike());

        final BlackScholesLattice<Tree> lattice = new BlackScholesLattice<Tree>(tree, rRate, maturity, timeSteps_);
        final DiscretizedVanillaOption option = new DiscretizedVanillaOption(a, process, grid);

        option.initialize(lattice, maturity);
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