Package org.jquantlib.pricingengines

Examples of org.jquantlib.pricingengines.PricingEngine$Arguments

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         // Common data
         final double faceAmount = 100;
       
         // Pricing engine
        final PricingEngine  bondEngine = new DiscountingBondEngine(discountingTermStructure);
       
         // Zero coupon bond
         final ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
                           settlementDays,
                           new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
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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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        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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                americanExercise, conversionRatio, dividends, callability,
                creditSpread, issueDate, settlementDays,
                coupons, bondDayCount, schedule, redemption);

        String method;
        PricingEngine engine;

        method = "Jarrow-Rudd";
        engine = new BinomialConvertibleEngine<JarrowRudd>(JarrowRudd.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
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        coupons, dayCounter, paymentConvention, redemption, issueDate);
   
    this.latestDate = this.bond.maturityDate();
    new Settings().evaluationDate().addObserver(this);
   
    final PricingEngine bondEngine = new DiscountingBondEngine(this.termStructureHandle);
    this.bond.setPricingEngine(bondEngine);
          
}
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    QL.validateExperimentalMode(); 
   
    this.latestDate = bond.maturityDate();
    new Settings().evaluationDate().addObserver(this);
   
    final PricingEngine bondEngine = new DiscountingBondEngine(this.termStructureHandle);
    this.bond.setPricingEngine(bondEngine);
     
  }
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            final FixedRateBond bond = new FixedRateBond(vars.bondSettlementDays, 100.0,
                               vars.schedules[i], coupons,
                               vars.bondDayCounter, vars.bondConvention,
                               vars.bondRedemption, issue);

            final PricingEngine bondEngine = new DiscountingBondEngine(curveHandle);
            bond.setPricingEngine(bondEngine);

            /*@Real*/ final double expectedPrice = bondData[i].price, estimatedPrice = bond.cleanPrice();
            /*@Real*/ final double error = Math.abs(expectedPrice-estimatedPrice);
            if (error > tolerance) {
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            final EngineType engineType,
            final int binomialSteps,
            final int samples) {

        final GeneralizedBlackScholesProcess stochProcess = makeProcess(u,q,r,vol);
        final PricingEngine engine;

        switch (engineType) {
            case Analytic:
                engine = new AnalyticEuropeanEngine(stochProcess);
                break;
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                    new Handle<Quote>(spot),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));

            final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);

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

            final double calculated = option.NPV();
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        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
                new Handle<BlackVolTermStructure>(volTS));
        final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);

        VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
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Related Classes of org.jquantlib.pricingengines.PricingEngine$Arguments

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  • org.jquantlib.helpers.CRRDividendOptionHelper
  • org.jquantlib.helpers.FDDividendOptionHelper
  • org.jquantlib.instruments.DividendVanillaOption
  • org.jquantlib.instruments.VanillaOption
  • org.jquantlib.samples.Bonds
  • org.jquantlib.samples.ConvertibleBonds
  • org.jquantlib.termstructures.yieldcurves.FixedRateBondHelper
  • org.jquantlib.testsuite.instruments.AmericanOptionTest
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