Package org.jquantlib.pricingengines

Examples of org.jquantlib.pricingengines.PricingEngine$Arguments

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        QL.require(!isExpired(), "option expired");
        final SimpleQuote volQuote = new SimpleQuote();
        final GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);

        // engines are built-in for the time being
        final PricingEngine engine;
        switch (exercise.type()) {
            case European:
                engine = new AnalyticDividendEuropeanEngine(newProcess);
                break;
            case American:
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        QL.require(!isExpired(), "option expired");
        final SimpleQuote volQuote = new SimpleQuote();
        final GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);

        // engines are built-in for the time being
        final PricingEngine engine;
        switch (exercise.type()) {
          case European:
            engine = new AnalyticEuropeanEngine(newProcess);
            break;
          case American:
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                      dividends.add(0.0);
                  }

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);

                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);
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        dividendDates.add(today.add(new Period(5, TimeUnit.Months)));
        dividends.add(0.50);

        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 40.0);
        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
        final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);

        final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
        option.setPricingEngine(engine);

        /* @Real */ final double u = 40.0;
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                  dividendDates.add(today);
                  dividends.add(dividendValue);

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);

                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);
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                  dividends.add(dividendValue);

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final StrikedTypePayoff refPayoff = new PlainVanillaPayoff(type, strike + dividendValue);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise,dividendDates, dividends);
                  option.setPricingEngine(engine);

                  final VanillaOption ref_option = new VanillaOption(refPayoff, exercise);
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                      dividends.add(5.0);
                  }

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);

                  for (final double u : underlyings)
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                      dividends.add(5.0);
                  }

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new FDDividendEuropeanEngine(stochProcess, timeSteps, gridPoints);
                  final PricingEngine ref_engine = new AnalyticDividendEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);

                  final DividendVanillaOption ref_option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
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                    dividendDates.add(d.clone());
                    dividends.add(5.0);
                }

                final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                final PricingEngine engine;
                try {
                    final Constructor<T> baseConstructor = engineClass.getConstructor(GeneralizedBlackScholesProcess.class);
                    engine = baseConstructor.newInstance(stochProcess);
                } catch (final Exception e) {
                    throw new LibraryException(e);
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        final BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);

        final /* @Size */ int timeSteps = 40;
        final /* @Size */ int gridPoints = 300;

        final PricingEngine engine;
        try {
            final Constructor<T> baseConstructor = engineClass.getConstructor(GeneralizedBlackScholesProcess.class, int.class, int.class);
            engine = baseConstructor.newInstance(process, timeSteps, gridPoints);
        } catch (final Exception e) {
            throw new LibraryException(e);
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