Package org.jquantlib.math

Examples of org.jquantlib.math.SampledCurve

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    // public constructors
    //

    public FDEuropeanEngine(final GeneralizedBlackScholesProcess process, final int timeSteps, final int gridPoints, final boolean timeDependent) {
        fdVanillaEngine = new FDVanillaEngine(process, timeSteps, gridPoints, timeDependent);
        prices = new SampledCurve(gridPoints);
        process.addObserver(this);
    }
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        fdVanillaEngine.initializeOperator();
        fdVanillaEngine.initializeBoundaryConditions();

        final StandardFiniteDifferenceModel model = new StandardFiniteDifferenceModel(fdVanillaEngine.finiteDifferenceOperator, fdVanillaEngine.bcS);

        prices = new SampledCurve(fdVanillaEngine.intrinsicValues);
        prices.setValues( model.rollback(prices.values(), fdVanillaEngine.getResidualTime(), 0, fdVanillaEngine.timeSteps) );

        final OneAssetOption.ResultsImpl r = (OneAssetOption.ResultsImpl)results;
        r.value = prices.valueAtCenter();
        final Option.GreeksImpl greeks = r.greeks();
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    public FDVanillaEngine(final GeneralizedBlackScholesProcess process, final int timeSteps, final int gridPoints, final boolean timeDependent) {
        this.process = process;
        this.timeSteps = timeSteps;
        this.gridPoints = gridPoints;
        this.timeDependent = timeDependent;
        this.intrinsicValues = new SampledCurve(gridPoints);
        bcS = new Vector<BoundaryCondition<TridiagonalOperator>>();
    }
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    protected void setGridLimits(/* Real */final double center, /* Time */final double t) {
        QL.require(center > 0.0 , "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        this.center = center;
        /* Size */final int newGridPoints = safeGridPoints(gridPoints, t);
        if (newGridPoints > intrinsicValues.size())
            intrinsicValues = new SampledCurve(newGridPoints);

        /* Real */final double volSqrtTime = Math.sqrt(process.blackVolatility().currentLink().blackVariance(t, center));

        // the prefactor fine tunes performance at small volatilities
        /* Real */final double prefactor = 1.0 + 0.02 / volSqrtTime;
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    public FDStepConditionEngine(final GeneralizedBlackScholesProcess process,
            final int timeSteps, final int gridPoints, final boolean timeDependent) {
        super(process, timeSteps, gridPoints, timeDependent);
        this.controlBCs = new ArrayList<BoundaryCondition<TridiagonalOperator>>();
        this.controlPrices = new SampledCurve(gridPoints);
    }
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        final List<TridiagonalOperator> operatorSet = new ArrayList<TridiagonalOperator>();
        List<Array> arraySet = new ArrayList<Array>();
        final BoundaryConditionSet<BoundaryCondition<TridiagonalOperator>> bcSet = new BoundaryConditionSet<BoundaryCondition<TridiagonalOperator>>();
        final StepConditionSet<Array> conditionSet = new StepConditionSet<Array>();

        prices =  new SampledCurve(intrinsicValues);
        controlPrices = new SampledCurve(intrinsicValues);
        controlOperator =  new TridiagonalOperator(finiteDifferenceOperator);
        controlBCs.add(bcS.get(0));
        controlBCs.add(bcS.get(1));

        operatorSet.add(finiteDifferenceOperator);
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    public FDVanillaEngine(final GeneralizedBlackScholesProcess process, final int timeSteps, final int gridPoints, final boolean timeDependent) {
        this.process = process;
        this.timeSteps = timeSteps;
        this.gridPoints = gridPoints;
        this.timeDependent = timeDependent;
        this.intrinsicValues = new SampledCurve(gridPoints);
        bcS = new Vector<BoundaryCondition<TridiagonalOperator>>();
    }
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    protected void setGridLimits(/* Real */final double center, /* Time */final double t) {
        QL.require(center > 0.0 , "negative or null underlying given"); // TODO: message
        this.center = center;
        /* Size */final int newGridPoints = safeGridPoints(gridPoints, t);
        if (newGridPoints > intrinsicValues.size())
            intrinsicValues = new SampledCurve(newGridPoints);

        /* Real */final double volSqrtTime = Math.sqrt(process.blackVolatility().currentLink().blackVariance(t, center));

        // the prefactor fine tunes performance at small volatilities
        /* Real */final double prefactor = 1.0 + 0.02 / volSqrtTime;
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    public FDStepConditionEngine(final GeneralizedBlackScholesProcess process,
            final int timeSteps, final int gridPoints, final boolean timeDependent) {
        super(process, timeSteps, gridPoints, timeDependent);
        this.controlBCs = new ArrayList<BoundaryCondition<TridiagonalOperator>>();
        this.controlPrices = new SampledCurve(gridPoints);
    }
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        final List<TridiagonalOperator> operatorSet = new ArrayList<TridiagonalOperator>();
        List<Array> arraySet = new ArrayList<Array>();
        final BoundaryConditionSet<BoundaryCondition<TridiagonalOperator>> bcSet = new BoundaryConditionSet<BoundaryCondition<TridiagonalOperator>>();
        final StepConditionSet<Array> conditionSet = new StepConditionSet<Array>();

        prices =  new SampledCurve(intrinsicValues);
        controlPrices = new SampledCurve(intrinsicValues);
        controlOperator =  new TridiagonalOperator(finiteDifferenceOperator);
        controlBCs.add(bcS.get(0));
        controlBCs.add(bcS.get(1));

        operatorSet.add(finiteDifferenceOperator);
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Related Classes of org.jquantlib.math.SampledCurve

  • org.jquantlib.math.functions.Identity
  • org.jquantlib.math.interpolations.CubicInterpolation
  • org.jquantlib.math.interpolations.NaturalCubicInterpolation
  • org.jquantlib.math.matrixutilities.Array
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDEuropeanEngine
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDStepConditionEngine
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine
  • org.jquantlib.lang.exceptions.LibraryException
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