Package org.jquantlib.pricingengines.vanilla

Examples of org.jquantlib.pricingengines.vanilla.IntegralEngine$Integrand

213
214
215
216
217
218
219
220
221
222
223
                break;
            case FiniteDifferences:
                engine = new FDEuropeanEngine(stochProcess, binomialSteps,samples);
                break;
            case Integral:
                engine = new IntegralEngine(stochProcess);
                break;

                //        case PseudoMonteCarlo:
                //          engine = MakeMCEuropeanEngine<PseudoRandom>().withSteps(1)
                //                                                       .withSamples(samples)
View Full Code Here
194
195
196
197
198
199
200
201
202
203
204
        americanOption.setPricingEngine(new JuQuadraticApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Integral
        method = "Integral";
        europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
        System.out.printf(fmt, method, europeanOption.NPV(), Double.NaN, Double.NaN );

        int timeSteps = 801;

        // Binomial method
View Full Code Here
213
214
215
216
217
218
219
220
221
222
223
                break;
            case FiniteDifferences:
                engine = new FDEuropeanEngine(stochProcess, binomialSteps,samples);
                break;
            case Integral:
                engine = new IntegralEngine(stochProcess);
                break;

                //        case PseudoMonteCarlo:
                //          engine = MakeMCEuropeanEngine<PseudoRandom>().withSteps(1)
                //                                                       .withSamples(samples)
View Full Code Here
TOP

Related Classes of org.jquantlib.pricingengines.vanilla.IntegralEngine$Integrand

  • org.jquantlib.instruments.StrikedTypePayoff
  • org.jquantlib.math.integrals.SegmentIntegral
  • org.jquantlib.samples.EquityOptions
  • org.jquantlib.testsuite.instruments.EuropeanOptionTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.