Package org.jquantlib.pricingengines.vanilla

Examples of org.jquantlib.pricingengines.vanilla.JumpDiffusionEngine

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                new Handle<YieldTermStructure>(rTS),
                new Handle<BlackVolTermStructure>(volTS),
                new Handle<Quote>(jumpIntensity),
                new Handle<Quote>(meanLogJump),
                new Handle<Quote>(jumpVol));
        final PricingEngine engine = new JumpDiffusionEngine(stochProcess);

        for (final HaugMertonData value : values) {
            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);

            final Date exDate = today.add((int) (value.t * 360 + 0.5));
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                new Handle<Quote>(meanLogJump),
                new Handle<Quote>(jumpVol));

        // The jumpdiffusionengine greeks are very sensitive to the convergence level.
        // A tolerance of 1.0e-08 is usually sufficient to get reasonable results
        final PricingEngine engine = new JumpDiffusionEngine(stochProcess, 1e-08);

        for (final Type type : types) {
            for (final double strike : strikes) {
                for (final double element : jInt) {
                    jumpIntensity.setValue(element);
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Related Classes of org.jquantlib.pricingengines.vanilla.JumpDiffusionEngine

  • org.jquantlib.daycounters.DayCounter
  • org.jquantlib.math.distributions.PoissonDistribution
  • org.jquantlib.pricingengines.AnalyticEuropeanEngine
  • org.jquantlib.processes.GeneralizedBlackScholesProcess
  • org.jquantlib.termstructures.volatilities.BlackConstantVol
  • org.jquantlib.termstructures.yieldcurves.FlatForward
  • org.jquantlib.testsuite.pricingengines.JumpDiffusionEngineTest
  • org.jquantlib.time.Calendar
  • org.jquantlib.time.Date
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