Package org.jquantlib.termstructures

Examples of org.jquantlib.termstructures.BlackVolTermStructure

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        final YieldTermStructure qTS   = Utilities.flatRate(today, qRate, dc);

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


        StrikedTypePayoff payoff;
        Date exDate;
        Exercise exercise;
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        final SimpleQuote           qRate = new SimpleQuote(0.0);
        final YieldTermStructure    qTS   = Utilities.flatRate(qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.0);
        final YieldTermStructure    rTS   = Utilities.flatRate(rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(vol, dc);

        for (final Type type : types) {
            for (final double strike : strikes) {
                for (final double residualTime : residualTimes) {
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        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);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        for (final Type type : types) {
            for (final double strike2 : strikes) {
                for (final int length : lengths) {
                    // option to check
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        final SimpleQuote           qRate = new SimpleQuote(0.05);
        final YieldTermStructure    qTS   = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.003);
        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.20);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        final Date exerciseDate = today.add(Period.ONE_YEAR_FORWARD);
        final Exercise exercise = new EuropeanExercise(exerciseDate);
        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 100);
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        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);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        for (final Type type : types) {
            for (final double strike3 : strikes) {
                for (final int length2 : lengths) {
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        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);
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        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);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

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

        final SimpleQuote jumpIntensity = new SimpleQuote(0.0);
        final SimpleQuote meanLogJump   = new SimpleQuote(0.0);
        final SimpleQuote jumpVol       = new SimpleQuote(0.0);
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        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);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        final double /* @Real */tolerance = 1.0e-4;

        for (final AmericanOptionData value : values) {

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        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);
        final SimpleQuote           vol   = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        final double /* @Real */tolerance = 3.0e-3;

        for (final AmericanOptionData value : values) {
            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);
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Related Classes of org.jquantlib.termstructures.BlackVolTermStructure

  • org.jquantlib.daycounters.DayCounter
  • org.jquantlib.termstructures.volatilities.LocalVolSurface
  • org.jquantlib.testsuite.instruments.AmericanOptionTest
  • org.jquantlib.testsuite.instruments.AsianOptionTest
  • org.jquantlib.testsuite.instruments.BarrierOptionTest
  • org.jquantlib.testsuite.instruments.EuropeanOptionTest
  • org.jquantlib.testsuite.methods.lattices.ExtendedTrees
  • org.jquantlib.testsuite.operators.OperatorTest
  • org.jquantlib.testsuite.pricingengines.JumpDiffusionEngineTest
  • org.jquantlib.time.Calendar
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