Package org.jquantlib.pricingengines

Examples of org.jquantlib.pricingengines.PricingEngine

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        // obtain stochastic process
        this.stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);

        // obtain a pricing engine and assign to this option :: 3 intervals a day
        final int timeSteps = (int) (exercise.lastDate().sub(referenceDate) * 3);
        final PricingEngine engine = new BinomialDividendVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, stochProcess, timeSteps) { /* anonymous */ };

        // assign the pricing engine to this option
        this.setPricingEngine(engine);

        // assign new values to spot, qRate, rRate and vol
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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 BjerksundStenslandApproximationEngine(stochProcess);

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

            final double /* @Real */calculated = option.NPV();
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                    new Handle<Quote>(spot),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));

            final PricingEngine engine = new BaroneAdesiWhaleyApproximationEngine(stochProcess);

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

            final double /* @Real */calculated = option.NPV();
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                    new Handle<Quote>(spot),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));

            final PricingEngine engine = new JuQuadraticApproximationEngine(stochProcess);

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

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

            final PricingEngine engine = new FDAmericanEngine(stochProcess, 100, 100);
            final VanillaOption option = new VanillaOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double calculated = option.NPV();
            final double error = Math.abs(calculated - juValue.result);
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                            new Handle<Quote>(spot),
                            new Handle<YieldTermStructure>(qTS),
                            new Handle<YieldTermStructure>(rTS),
                            new Handle<BlackVolTermStructure>(volTS));

                    PricingEngine engine = null;
                    try {
                        final Constructor<? extends PricingEngine> c = klass.getConstructor(GeneralizedBlackScholesProcess.class);
                        engine = c.newInstance(stochProcess);
                    } catch (final Exception e) {
                        e.printStackTrace();
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Related Classes of org.jquantlib.pricingengines.PricingEngine

  • 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
  • org.jquantlib.testsuite.instruments.AsianOptionTest
  • org.jquantlib.testsuite.instruments.BarrierOptionTest
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