Examples of org.jquantlib.pricingengines.vanilla.finitedifferences.FDDividendAmericanEngine$Impl

Package org.jquantlib.pricingengines.vanilla.finitedifferences

Examples of org.jquantlib.pricingengines.vanilla.finitedifferences.FDDividendAmericanEngine$Impl

org.jquantlib.pricingengines.vanilla.finitedifferences.FDDividendAmericanEngine
Finite-differences pricing engine for dividend American options @test the correctness of the returned greeks is tested by reproducing numerical derivatives. @test the invariance of the results upon addition of null dividends is tested. @bug results are not overly reliable. @bug method impliedVolatility() utterly fails @category vanillaengines @author Richard Gomes

        switch (exercise.type()) {
            case European:
                engine = new AnalyticDividendEuropeanEngine(newProcess);
                break;
            case American:
                engine = new FDDividendAmericanEngine(newProcess);
                break;
            case Bermudan:
                throw new LibraryException("engine not available for Bermudan option with dividends"); // TODO: message
            default:
                throw new LibraryException("unknown exercise type"); // // TODO: message

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        switch (exercise.type()) {
            case European:
                engine = new AnalyticDividendEuropeanEngine(newProcess);
                break;
            case American:
                engine = new FDDividendAmericanEngine(newProcess);
                break;
            case Bermudan:
                throw new LibraryException("engine not available for Bermudan option with dividends"); // TODO: message
            default:
                throw new LibraryException("unknown exercise type"); // // TODO: message

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