Package org.jquantlib.pricingengines.vanilla.finitedifferences

Examples of org.jquantlib.pricingengines.vanilla.finitedifferences.FDEuropeanEngine

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                break;
            case JOSHI:
                engine = new BinomialVanillaEngine<Joshi4>(stochProcess, binomialSteps) {};
                break;
            case FiniteDifferences:
                engine = new FDEuropeanEngine(stochProcess, binomialSteps,samples);
                break;
            case Integral:
                engine = new IntegralEngine(stochProcess);
                break;
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        //
        //

        // Finite differences
        method = "Finite differences";
        europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps-1, false));
        bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps-1));
        americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps-1, false));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
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                break;
            case JOSHI:
                engine = new BinomialVanillaEngine<Joshi4>(Joshi4.class, stochProcess, binomialSteps);
                break;
            case FiniteDifferences:
                engine = new FDEuropeanEngine(stochProcess, binomialSteps,samples);
                break;
            case Integral:
                engine = new IntegralEngine(stochProcess);
                break;
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Related Classes of org.jquantlib.pricingengines.vanilla.finitedifferences.FDEuropeanEngine

  • org.jquantlib.math.SampledCurve
  • org.jquantlib.methods.finitedifferences.StandardFiniteDifferenceModel
  • org.jquantlib.samples.EquityOptions
  • org.jquantlib.testsuite.instruments.EuropeanOptionTest
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