Examples of org.jquantlib.methods.finitedifferences.ShoutCondition

Package org.jquantlib.methods.finitedifferences

Examples of org.jquantlib.methods.finitedifferences.ShoutCondition

org.jquantlib.methods.finitedifferences.ShoutCondition
Shout option condition
A shout option is an option where the holder has the right to lock in a minimum value for the payoff at one (shout) time during the option's life. The minimum value is the option's intrinsic value at the shout time. @author Srinivas Hasti

    protected void initializeStepCondition() {
        final double residualTime = getResidualTime();
        final InterestRate riskFreeRate = process.riskFreeRate().currentLink().zeroRate(
                residualTime, Compounding.Continuous, Frequency.Annual, false);


        stepCondition = new ShoutCondition(intrinsicValues.values(), residualTime, riskFreeRate.rate());
    }

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    protected void initializeStepCondition() {
        final double residualTime = getResidualTime();
        final InterestRate riskFreeRate = process.riskFreeRate().currentLink().zeroRate(
                residualTime, Compounding.Continuous, Frequency.Annual, false);


        stepCondition = new ShoutCondition(intrinsicValues.values(), residualTime, riskFreeRate.rate());
    }

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org.jquantlib.pricingengines.vanilla.finitedifferences.FDShoutCondition

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