Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.StrikedTypePayoff

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            spot.setValue(value.s);
            qRate.setValue(value.q);
            rRate.setValue(value.r);
            vol.setValue(value.v);

            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);

            final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                    new Handle<Quote>(spot),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
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        final Date exDate = today.add(360);
        final Exercise exercise = new EuropeanExercise(exDate);

        for (final BarrierOptionData value : values) {
            volatility.setValue(value.volatility);
            final StrikedTypePayoff callPayoff = new PlainVanillaPayoff(Option.Type.Call, value.strike);

            final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                    new Handle<Quote>(underlying),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
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        final Exercise exercise = new EuropeanExercise(exDate);

        for (final BarrierOptionData value : values) {
            volatility.setValue(value.volatility);
            final StrikedTypePayoff callPayoff = new PlainVanillaPayoff(Option.Type.Call, value.strike);

            final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                    new Handle<Quote>(underlying),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
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    final PricingEngine vanillaEngine = new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, vars.process, timeSteps);

    vars.creditSpread.linkTo(new SimpleQuote(0.0));

    final double conversionStrike = vars.redemption / vars.conversionRatio;
    final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call,
        conversionStrike);

    final Schedule schedule = new MakeSchedule(vars.issueDate, vars.maturityDate,
        new Period(Frequency.Once), vars.calendar,
        BusinessDayConvention.Following).backwards().schedule();
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        /* @Real */final double runningAccumulator = 1.0;
        /* @Size */final int pastFixings = 0;
        /* @Size */final int futureFixings = 10;
        final Option.Type type = Option.Type.Call;
        /* @Real */final double strike = 100.0;
        final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);

        final Date exerciseDate = today.clone().addAssign(360);
        final Exercise exercise = new EuropeanExercise(exerciseDate);

        QL.info("Exercise: " + exerciseDate);
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        final Date exerciseDate = today.clone().addAssign(90);

        /* @Size */int pastFixings = Integer.MAX_VALUE;
        /* @Real */double runningAccumulator = Double.NaN;

        final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
        final Exercise exercise = new EuropeanExercise(exerciseDate);

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

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        final double /* @Real */tolerance = 1.0e-4;

        for (final AmericanOptionData value : values) {

            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);

            final int daysToExpiry = (int) (value.t * 360 + 0.5);
            final Date exDate = today.clone().addAssign(daysToExpiry);
            final Exercise exercise = new AmericanExercise(today, exDate);

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        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        final double /* @Real */tolerance = 3.0e-3;

        for (final AmericanOptionData value : values) {
            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);
            final Date exDate = today.add(timeToDays(value.t));
            final Exercise exercise = new AmericanExercise(today, exDate);

            spot.setValue(value.s);
            qRate.setValue(value.q);
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        final double tolerance = 1.0e-3;

        for (final AmericanOptionData juValue : juValues) {

            final StrikedTypePayoff payoff = new PlainVanillaPayoff(juValue.type, juValue.strike);
            final Date exDate = today.add(timeToDays(juValue.t));
            final Exercise exercise = new AmericanExercise(today, exDate);

            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
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            final SimpleQuote           rRate = new SimpleQuote(0.0);
            final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
            final SimpleQuote           vol   = new SimpleQuote(0.0);
            final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

            final StrikedTypePayoff payoff = new PlainVanillaPayoff(juValue.type, juValue.strike);
            final Date exDate = today.add(timeToDays(juValue.t));
            final Exercise exercise = new AmericanExercise(today, exDate);

            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
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Related Classes of org.jquantlib.instruments.StrikedTypePayoff

  • org.jquantlib.pricingengines.AnalyticEuropeanEngine
  • org.jquantlib.pricingengines.asian.AnalyticDiscreteGeometricAveragePriceAsianEngine
  • org.jquantlib.pricingengines.vanilla.AnalyticDividendEuropeanEngine
  • org.jquantlib.pricingengines.vanilla.BaroneAdesiWhaleyApproximationEngine
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDStepConditionEngine
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine
  • org.jquantlib.pricingengines.vanilla.IntegralEngine
  • org.jquantlib.pricingengines.vanilla.JuQuadraticApproximationEngine
  • org.jquantlib.testsuite.instruments.AmericanOptionTest
  • org.jquantlib.testsuite.instruments.AsianOptionTest
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