Examples of PricingEngine

gov.sandia.jess.example.pricing.PricingEngine
org.jquantlib.pricingengines.PricingEngine
interface for pricing engines @author Richard Gomes

Examples of org.jquantlib.pricingengines.PricingEngine

            /* @Size */final int binomialSteps,
            /* @Size */final int samples) {


        final GeneralizedBlackScholesProcess stochProcess = makeProcess(u, q, r, vol);


        PricingEngine engine;
        switch (engineType) {
        case Analytic:
            engine = new AnalyticEuropeanEngine(stochProcess);
            break;
        case JR:

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Examples of org.jquantlib.pricingengines.PricingEngine

        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()) {
            case European:
                engine = new AnalyticDividendEuropeanEngine(newProcess);
                break;
            case American:

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Examples of org.jquantlib.pricingengines.PricingEngine

        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()) {
          case European:
            engine = new AnalyticEuropeanEngine(newProcess);
            break;
          case American:

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Examples of org.jquantlib.pricingengines.PricingEngine

                      dividends.add(0.0);
                  }


                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);

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Examples of org.jquantlib.pricingengines.PricingEngine

        dividendDates.add(today.add(new Period(5, TimeUnit.Months)));
        dividends.add(0.50);


        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 40.0);
        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
        final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);


        final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
        option.setPricingEngine(engine);


        /* @Real */ final double u = 40.0;

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Examples of org.jquantlib.pricingengines.PricingEngine

                  dividendDates.add(today);
                  dividends.add(dividendValue);


                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);

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Examples of org.jquantlib.pricingengines.PricingEngine

                  dividends.add(dividendValue);


                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final StrikedTypePayoff refPayoff = new PlainVanillaPayoff(type, strike + dividendValue);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise,dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final VanillaOption ref_option = new VanillaOption(refPayoff, exercise);

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Examples of org.jquantlib.pricingengines.PricingEngine

                      dividends.add(5.0);
                  }


                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  for (final double u : underlyings)

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Examples of org.jquantlib.pricingengines.PricingEngine

                      dividends.add(5.0);
                  }


                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new FDDividendEuropeanEngine(stochProcess, timeSteps, gridPoints);
                  final PricingEngine ref_engine = new AnalyticDividendEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final DividendVanillaOption ref_option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);

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Examples of org.jquantlib.pricingengines.PricingEngine

                    dividendDates.add(d.clone());
                    dividends.add(5.0);
                }


                final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                final PricingEngine engine;
                try {
                    final Constructor<T> baseConstructor = engineClass.getConstructor(GeneralizedBlackScholesProcess.class);
                    engine = baseConstructor.newInstance(stochProcess);
                } catch (final Exception e) {
                    throw new LibraryException(e);

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