Examples of org.jquantlib.pricingengines.PricingEngine

org.jquantlib.pricingengines.PricingEngine
interface for pricing engines @author Richard Gomes

                  settlementDays, faceAmount, sch,
              new double[] { coupon },
              bondDayCount, paymentConvention,
              redemption, issue);


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


          for (final double yield : yields) {


            rate.setValue(yield);

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      final FixedRateBond bond1 = new FixedRateBond(settlementDays, faceAmount, sch1,
                          new double[] {0.025},
                          bondDayCount, BusinessDayConvention.ModifiedFollowing,
                          100.0, new Date(1, Month.November, 2004));


    final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);


      bond1.setPricingEngine(bondEngine);


      final double marketPrice1 = 99.203125;
      final double marketYield1 = 0.02925;

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                           faceAmount,
                           new Date(30,Month.November,2008),
                           BusinessDayConvention.ModifiedFollowing,
                           100.0, new Date(30,Month.November,2004));


    final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
      bond1.setPricingEngine(bondEngine);


      final double cachedPrice1 = 88.551726;


      double price = bond1.getCleanPrice();

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                          new double [] { 0.02875 },
                          new ActualActual(ActualActual.Convention.ISMA),
                          BusinessDayConvention.ModifiedFollowing,
                          100.0, new Date(30,Month.November,2004));


      final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
      bond1.setPricingEngine(bondEngine);


      final double cachedPrice1 = 99.298100;


      double price = bond1.getCleanPrice();

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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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                        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);


                        if (payoff==null)
                            throw new IllegalArgumentException();


                        final EuropeanOption option = new EuropeanOption(payoff, exercise);

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        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                new Handle<Quote>(u),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
                new Handle<BlackVolTermStructure>(volTS));
        final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);


        final EuropeanOption option1 = new EuropeanOption(payoff, exercise);
        final EuropeanOption option2 = new EuropeanOption(payoff, exercise);
        option1.setPricingEngine(engine);
        option2.setPricingEngine(engine);

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            /* @Size */final int binomialSteps,
            /* @Size */final int samples) {


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


        PricingEngine engine;
        switch (engineType) {
        case Analytic:
            engine = new AnalyticEuropeanEngine(stochProcess);
            break;
        case JR:

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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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