Package org.jquantlib.pricingengines.vanilla

Examples of org.jquantlib.pricingengines.vanilla.BjerksundStenslandApproximationEngine

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        americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Bjerksund and Stensland approximation for American
        method = "Bjerksund/Stensland";
        americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Ju Quadratic approximation for American
        method = "Ju Quadratic";
        americanOption.setPricingEngine(new JuQuadraticApproximationEngine(bsmProcess));
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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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Related Classes of org.jquantlib.pricingengines.vanilla.BjerksundStenslandApproximationEngine

  • org.jquantlib.daycounters.DayCounter
  • org.jquantlib.exercise.AmericanExercise
  • org.jquantlib.instruments.PlainVanillaPayoff
  • org.jquantlib.pricingengines.BlackCalculator
  • org.jquantlib.samples.EquityOptions
  • org.jquantlib.testsuite.instruments.AmericanOptionTest
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