Examples of org.jquantlib.termstructures.BlackVolTermStructure

org.jquantlib.termstructures.BlackVolTermStructure
Black-volatility term structure
This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis. @author Richard Gomes


        final SimpleQuote spot = new SimpleQuote(0.0);
        final YieldTermStructure qTS = Utilities.flatRate(today, q, dc);
        final YieldTermStructure rTS = Utilities.flatRate(today, r, dc);


        final BlackVolTermStructure volTS = Utilities.flatVol(today, sigma, dc);


        final GeneralizedBlackScholesProcess stochProcess = new GeneralizedBlackScholesProcess(
                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),

View Full Code Here

0 1 2 3

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

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.