Package org.jquantlib.quotes

Examples of org.jquantlib.quotes.SimpleQuote

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        this.quote = quote;
        this.quote.addObserver(this);
    }

    public BootstrapHelper(final double quote) {
        this.quote = new Handle<Quote>(new SimpleQuote(quote));
    }
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        /* @Volatility */final double vols[] = { 0.11, 0.50, 1.20 };

        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote vol = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);

        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                    final Date exDate = today.add(length * 360);
                    final Exercise exercise = new EuropeanExercise(exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);

                    // reference option
                    final VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic,
                            Constants.NULL_INTEGER, Constants.NULL_INTEGER);

                    // option to check
                    final VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS, engine, binomialSteps, samples);

                    for (final double u : underlyings)
                        for (final double q : qRates)
                            for (final double r : rRates)
                                for (final double v : vols) {
                                    spot.setValue(u);
                                    qRate.setValue(q);
                                    rRate.setValue(r);
                                    vol.setValue(v);

                                    expected.clear();
                                    calculated.clear();

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        // h.setLink(termStructure);

        // -------------------------------------------------------------------------------------------------------------
        // FIXME: This code was added instead. Please remove when PiecewiseYieldCurve becomes ready
        //
        final Quote quote = new SimpleQuote(100.0);
        final Flag anotherFlag = new Flag();
        quote.addObserver(anotherFlag);
        h.linkTo(new FlatForward(today, new Handle<Quote>(quote), new Actual360()));
        if (!anotherFlag.isUp()) {
            fail("Observer was not notified of term structure change");
        }
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            final Date referenceDate,
            final Calendar cal,
            /*@Volatility*/ final double volatility,
            final DayCounter dc) {
        super(referenceDate, cal, BusinessDayConvention.Following, dc);
        this.volatility = new Handle<Quote>(new SimpleQuote(volatility));
    }
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                /*@Natural*/ final int settlementDays,
                final Calendar cal,
                /*@Volatility*/ final double volatility,
                final DayCounter dc) {
        super(settlementDays, cal, BusinessDayConvention.Following, dc);
        this.volatility = new Handle<Quote>(new SimpleQuote(volatility));
    }
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            final int maxEvaluations,
            /*@Volatility*/ final double minVol,
            /*@Volatility*/ final double maxVol) /* @ReadOnly */ {

        QL.require(!isExpired(), "option expired");
        final SimpleQuote volQuote = new SimpleQuote();
        final GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);

        // engines are built-in for the time being
        final PricingEngine engine;
        switch (exercise.type()) {
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              blackTS.currentLink().dayCounter());

        this.blackTS_ = blackTS;
        this.riskFreeTS_ = riskFreeTS;
        this.dividendTS_ = dividendTS;
        this.underlying_ = new Handle<Quote>(new SimpleQuote(underlying));

        this.blackTS_.addObserver(this);
        this.riskFreeTS_.addObserver(this);
        this.dividendTS_.addObserver(this);
    }
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        }

        this.riskFreeRate_ = (riskFreeRate);
        this.dividendYield_ = (dividendYield);
        this.s0_ = (s0); // TODO: code review
        this.v0_ = new RelinkableHandle<Quote>(new SimpleQuote(v0));
        this.kappa_ = new RelinkableHandle<Quote>(new SimpleQuote(kappa));
        this.theta_ = new RelinkableHandle<Quote>(new SimpleQuote(theta));
        this.sigma_ = new RelinkableHandle<Quote>(new SimpleQuote(sigma));
        this.rho_ = new RelinkableHandle<Quote>(new SimpleQuote(rho));
        this.discretization_ = (d);

        // TODO: code review :: please verify against QL/C++ code

        this.riskFreeRate_.addObserver(this);
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            final Frequency freq, final Date settlement,
            final Handle<YieldTermStructure> discountCurve) {

        assert(freq!=Frequency.NoFrequency && freq != Frequency.Once):"invalid frequency:" + freq.toString();

        final Handle<Quote> zSpreadQuoteHandle = new Handle<Quote>(new SimpleQuote(
                zSpread));

        final ZeroSpreadedTermStructure spreadedCurve = new ZeroSpreadedTermStructure(
                discountCurve, zSpreadQuoteHandle, comp, freq, dc);
        /* @Real */double price = 0.0;
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            final /*@NonNegative*/ int maxEvaluations,
            final /*@Volatility*/ double minVol,
            final /*@Volatility*/ double maxVol) /* @ReadOnly */ {

        QL.require(!isExpired(), "option expired");
        final SimpleQuote volQuote = new SimpleQuote();
        final GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);

        // engines are built-in for the time being
        final PricingEngine engine;
        switch (exercise.type()) {
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Related Classes of org.jquantlib.quotes.SimpleQuote

  • org.jquantlib.helpers.CRRDividendOptionHelper
  • org.jquantlib.helpers.FDDividendOptionHelper
  • org.jquantlib.instruments.Bond
  • org.jquantlib.instruments.DividendVanillaOption
  • org.jquantlib.instruments.VanillaOption
  • org.jquantlib.model.equity.HestonModel
  • org.jquantlib.ooimpl.OptionHelper
  • org.jquantlib.pricingengines.BinomialConvertibleEngine
  • org.jquantlib.processes.HestonProcess
  • org.jquantlib.samples.Bonds
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