Package org.jquantlib.termstructures

Examples of org.jquantlib.termstructures.BlackVolTermStructure

338
339
340
341
342
343
344
345
346
347
348
        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 tolerance = 1.0e-3;

        for (final AmericanOptionData juValue : juValues) {
View Full Code Here
465
466
467
468
469
470
471
472
473
474
475
            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 StrikedTypePayoff payoff = new PlainVanillaPayoff(juValue.type, juValue.strike);
            final Date exDate = today.add(timeToDays(juValue.t));
            final Exercise exercise = new AmericanExercise(today, exDate);
View Full Code Here
537
538
539
540
541
542
543
544
545
546
547
        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 strike : strikes) {
                for (final int year : years) {
View Full Code Here
163
164
165
166
167
168
169
170
171
172
173
        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 NewBarrierOptionData value : values) {
            final Date exDate = today.add( timeToDays(value.t) );
            final Exercise exercise = new EuropeanExercise(exDate);
View Full Code Here
237
238
239
240
241
242
243
244
245
246
247
        final Quote                 qH_SME     = new SimpleQuote(q);
        final YieldTermStructure    qTS        = Utilities.flatRate(today, qH_SME, dc);
        final Quote                 rH_SME     = new SimpleQuote(r);
        final YieldTermStructure    rTS        = Utilities.flatRate(today, rH_SME, dc);
        final SimpleQuote           volatility = new SimpleQuote(0.10);
        final BlackVolTermStructure volTS      = Utilities.flatVol(today, volatility, dc);

        final Date exDate = today.add(360);
        final Exercise exercise = new EuropeanExercise(exDate);

        for (final BarrierOptionData value : values) {
View Full Code Here
299
300
301
302
303
304
305
306
307
308
309
        final Quote                 qH_SME     = new SimpleQuote(q);
        final YieldTermStructure    qTS        = Utilities.flatRate(today, qH_SME, dc);
        final Quote                 rH_SME     = new SimpleQuote(r);
        final YieldTermStructure    rTS        = Utilities.flatRate(today, rH_SME, dc);
        final SimpleQuote           volatility = new SimpleQuote(0.10);
        final BlackVolTermStructure volTS      = Utilities.flatVol(today, volatility, dc);

        final Date exDate = today.add(360);

        final Exercise exercise = new EuropeanExercise(exDate);
View Full Code Here
104
105
106
107
108
109
110
111
112
113
114
        final SimpleQuote qRate = new SimpleQuote(0.03);
        final YieldTermStructure qTS = Utilities.flatRate(today, qRate.value(), dc);
        final SimpleQuote rRate = new SimpleQuote(0.06);
        final YieldTermStructure rTS = Utilities.flatRate(today, rRate.value(), dc);
        final SimpleQuote vol = new SimpleQuote(0.20);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol.value(), dc);

        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS), new Handle<YieldTermStructure>(rTS), new Handle<BlackVolTermStructure>(volTS));

        final PricingEngine engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess);
View Full Code Here
183
184
185
186
187
188
189
190
191
192
193
        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 BlackScholesMertonProcess process = new BlackScholesMertonProcess(
                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
View Full Code Here
327
328
329
330
331
332
333
334
335
336
337
        final SimpleQuote           qRate = new SimpleQuote(-0.03);
        final YieldTermStructure    qTS   = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.05);
        final YieldTermStructure    rTS   = Utilities.flatRate(today, rRate, dc);
        final SimpleQuote           vol   = new SimpleQuote(0.20);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                new Handle<Quote>(spot), new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS), new Handle<BlackVolTermStructure>(volTS));
        final PricingEngine engine = new AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess);
View Full Code Here
410
411
412
413
414
415
416
417
418
419
420
        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 BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.