Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.PlainVanillaPayoff

171
172
173
174
175
176
177
178
179
180
181
        // 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)
View Full Code Here
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
        final Handle<YieldTermStructure> flatDividends =
              new Handle<YieldTermStructure>(new FlatForward(referenceDate, q, divdc));
        final Handle<BlackVolTermStructure> flatVol =
              new Handle<BlackVolTermStructure>(new BlackConstantVol(referenceDate, volcal, v, voldc));

        final PlainVanillaPayoff payoff = (PlainVanillaPayoff)(this.a.payoff);
        QL.require(payoff != null, "non-plain payoff given");

        final double maturity = rfdc.yearFraction(this.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 = typeT.getConstructor(StochasticProcess1D.class, double.class, int.class, double.class);
            tree = typeT.cast( c.newInstance(bs, maturity, timeSteps_, payoff.strike() ));
        } catch (final Exception e) {
            throw new LibraryException(e); // QA:[RG]::verified
        }

        final double creditSpread = this.a.creditSpread.currentLink().value();
View Full Code Here
73
74
75
76
77
78
79
80
81
82
83
                                 final DayCounter dayCounter,
                                 final Schedule schedule,
                                 final Date issueDate,
                                 final int  settlementDays,
                                 final double redemption) {
        super(new PlainVanillaPayoff(Option.Type.Call,bond.faceAmount()/100.0 * redemption/conversionRatio), exercise);
        this.bond_ = bond;
        this.conversionRatio_ = conversionRatio;
        this.callability_ = callability;
        this.dividends_ = dividends;
        this.creditSpread_ = creditSpread;
View Full Code Here
156
157
158
159
160
161
162
163
164
165
166
        // 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);
View Full Code Here
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
        QL.require(a.exercise.type()==Exercise.Type.American , NOT_AN_AMERICAN_OPTION); // QA:[RG]::verified
        QL.require(a.exercise instanceof AmericanExercise , NON_AMERICAN_EXERCISE_GIVEN); // QA:[RG]::verified
        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof PlainVanillaPayoff , NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified
        PlainVanillaPayoff payoff = (PlainVanillaPayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        double /* @Real */strike = payoff.strike();

        if (payoff.optionType()==Option.Type.Put) {
            // use put-call symmetry
            // swap spot and strike, has to be done inline
            double tmp = spot; spot = strike; strike = tmp;

            // swap riskFreeDiscount and dividenDiscount, has to be done inline
            tmp = riskFreeDiscount; riskFreeDiscount = dividendDiscount; dividendDiscount = tmp;

            payoff = new PlainVanillaPayoff(Option.Type.Call, strike);
        }

        if (dividendDiscount>=1.0) {
            // early exercise is never optimal - use Black formula
            final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
View Full Code Here
67
68
69
70
71
72
73
74
75
76
77
        if (System.getProperty("EXPERIMENTAL") == null)
            throw new UnsupportedOperationException("Work in progress");


        this.maturity_ = maturity;
        payoff_ = new PlainVanillaPayoff(type, strike.doubleValue());
        this.s0_ = s0;
        this.sigma_ = sigma;
        this.r_ = r;

        final double rDiscount = Math.exp(- (r.doubleValue()) * maturity_.doubleValue());
 
View Full Code Here
99
100
101
102
103
104
105
106
107
108
109
110
111
112
        QL.require(a.averageType==AverageType.Geometric , "not a geometric average option"); // TODO: message
        QL.require(a.exercise.type()==Exercise.Type.European , "not an European Option"); // TODO: message
        final Date exercise = a.exercise.lastDate();

        QL.require(a.payoff instanceof PlainVanillaPayoff , "non-plain payoff given"); // 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();

View Full Code Here
104
105
106
107
108
109
110
        public PayoffWrapper(final Payoff p) {
            this.payoff = p;
        }

        public PayoffWrapper(final Option.Type type, final double strike) {
            payoff = new PlainVanillaPayoff(type, strike);
        }
View Full Code Here
111
112
113
114
115
116
117
118
119
120
121
            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));

View Full Code Here
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
        // 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"); // 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);
View Full Code Here
TOP

Related Classes of org.jquantlib.instruments.PlainVanillaPayoff

  • org.jquantlib.helpers.CRRDividendOptionHelper
  • org.jquantlib.helpers.FDDividendOptionHelper
  • org.jquantlib.instruments.bonds.ConvertibleBondOption
  • org.jquantlib.methods.finitedifferences.CurveDependentStepCondition$PayoffWrapper
  • org.jquantlib.ooimpl.OptionHelper
  • org.jquantlib.pricingengines.asian.AnalyticContinuousGeometricAveragePriceAsianEngine
  • org.jquantlib.pricingengines.BinomialConvertibleEngine
  • org.jquantlib.pricingengines.vanilla.BinomialDividendVanillaEngine
  • org.jquantlib.pricingengines.vanilla.BinomialVanillaEngine
  • org.jquantlib.pricingengines.vanilla.BjerksundStenslandApproximationEngine
    • 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.