Package org.jquantlib.pricingengines.barrier

Examples of org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine

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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 AnalyticBarrierEngine(stochProcess);

            final BarrierOption barrierOption = new BarrierOption(value.barrierType, value.barrier, value.rebate, payoff, exercise);
            barrierOption.setPricingEngine(engine);

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

            final PricingEngine engine = new AnalyticBarrierEngine(stochProcess);

            final BarrierOption barrierCallOption = new BarrierOption(value.barrierType, value.barrier, rebate, callPayoff, exercise);
            barrierCallOption.setPricingEngine(engine);

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


            final BarrierOption barrierCallOption = new BarrierOption(value.barrierType, value.barrier, rebate, callPayoff, exercise);
            barrierCallOption.setPricingEngine(engine);
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Related Classes of org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine

  • org.jquantlib.instruments.BarrierType
  • org.jquantlib.math.distributions.CumulativeNormalDistribution
  • org.jquantlib.termstructures.InterestRate
  • org.jquantlib.testsuite.instruments.BarrierOptionTest
  • org.jquantlib.lang.exceptions.LibraryException
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