Examples of blackForwardVariance()

Examples of org.jquantlib.termstructures.BlackVarianceTermStructure.blackForwardVariance()

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        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        System.out.println("Interpolated BlackVariance on BlackVarianceCurve = "+varianceCurve.blackVariance(date12.clone(), 20));

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        System.out.println("Interpolated BlackForwardVariance on BlackVarianceCurve = "+varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true));

        System.out.println("//===============================BlackVarianceSurface================================");

        //Let's create black variance surface and calculate volatilities/variances by interpolating on
        //the created curve for a given strike.
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Examples of org.jquantlib.termstructures.BlackVarianceTermStructure.blackForwardVariance()

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        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        System.out.println("Interpolated BlackVariance on BlackVarianceSurface = "+varianceSurface.blackVariance(date12.clone(), 20));

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        System.out.println("Interpolated BlackForwardVariance on BlackVarianceSurface = "+varianceSurface.blackForwardVariance(date12.clone(), date16.clone(), 20, true));

        System.out.println("//================================ImpliedVolTermStructure=============================");

        //As mentioned in the java docs the implied volatility termstructure remains linked to
        //the underlying termstructure and changes to same are linked to ImpliedVolTermStructure
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Examples of org.jquantlib.termstructures.BlackVarianceTermStructure.blackForwardVariance()

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            System.out.println("Interpolated BlackVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackVariance(date12.clone(), 20));
        }

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        final double forwardVariance = varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
        final double impliedForwardVariance = impliedVolTermStructure.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
        if(forwardVariance == impliedForwardVariance){
            System.out.println("Interpolated BlackForwardVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true));
        }

        System.out.println("//================================LocalConstantVol=======================================");
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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackForwardVariance()

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        //Calculating blackVariance
        System.out.println("BlackVariance = "+constantVolatility.blackVariance(date10.clone(), 20));

        //Calculating blackForwardVariance
        System.out.println("BlackForwardVariance = "+constantVolatility.blackForwardVariance(date10.clone(), date15.clone(), 20, true));

        //As BlackConstantVol termstructure has been initialized using relinkable handle so lets change the observable SimpleQuote of this handle
        //and see the change getting reflected to all the calculations done above.
        volatilityQuote.setValue(0.04) ;
        constantVolatility = new BlackConstantVol(2,new UnitedStates(Market.NYSE),handleToVolatilityQuote, new Actual365Fixed());
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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackForwardVariance()

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        //Calculating blackVariance
        System.out.println("BlackVariance = "+constantVolatility.blackVariance(date10.clone(), 20));

        //Calculating blackForwardVariance
        System.out.println("BlackForwardVariance = "+constantVolatility.blackForwardVariance(date10.clone(), date15.clone(), 20, true));

        System.out.println("//===============================BlackVarianceCurve================================");

        //Let's create black variance curve and calculate volatilities/variances by interpolating on
        //the created curve for a given strike.
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Examples of org.jquantlib.termstructures.volatilities.BlackConstantVol.blackForwardVariance()

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        //Calculating blackVariance
        System.out.println("BlackVariance = "+constantVolatility.blackVariance(date10.clone(), 20));

        //Calculating blackForwardVariance
        System.out.println("BlackForwardVariance = "+constantVolatility.blackForwardVariance(date10.clone(), date15.clone(), 20, true));

        //As BlackConstantVol termstructure has been initialized using relinkable handle so lets change the observable SimpleQuote of this handle
        //and see the change getting reflected to all the calculations done above.
        volatilityQuote.setValue(0.04) ;
        constantVolatility = new BlackConstantVol(2,new UnitedStates(Market.NYSE),handleToVolatilityQuote, new Actual365Fixed());
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Examples of org.jquantlib.termstructures.volatilities.BlackConstantVol.blackForwardVariance()

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        //Calculating blackVariance
        System.out.println("BlackVariance = "+constantVolatility.blackVariance(date10.clone(), 20));

        //Calculating blackForwardVariance
        System.out.println("BlackForwardVariance = "+constantVolatility.blackForwardVariance(date10.clone(), date15.clone(), 20, true));

        System.out.println("//===============================BlackVarianceCurve================================");

        //Let's create black variance curve and calculate volatilities/variances by interpolating on
        //the created curve for a given strike.
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Examples of org.jquantlib.termstructures.volatilities.BlackVarianceCurve.blackForwardVariance()

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        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        System.out.println("Interpolated BlackVariance on BlackVarianceCurve = "+varianceCurve.blackVariance(date12.clone(), 20));

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        System.out.println("Interpolated BlackForwardVariance on BlackVarianceCurve = "+varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true));

        System.out.println("//===============================BlackVarianceSurface================================");

        //Let's create black variance surface and calculate volatilities/variances by interpolating on
        //the created curve for a given strike.
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Examples of org.jquantlib.termstructures.volatilities.BlackVarianceCurve.blackForwardVariance()

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        if(variance == impliedVariance){
            System.out.println("Interpolated BlackVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackVariance(date12.clone(), 20));
        }

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        final double forwardVariance = varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
        final double impliedForwardVariance = impliedVolTermStructure.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
        if(forwardVariance == impliedForwardVariance){
            System.out.println("Interpolated BlackForwardVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true));
        }
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Examples of org.jquantlib.termstructures.volatilities.BlackVarianceCurve.blackForwardVariance()

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        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        final double forwardVariance = varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
        final double impliedForwardVariance = impliedVolTermStructure.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
        if(forwardVariance == impliedForwardVariance){
            System.out.println("Interpolated BlackForwardVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true));
        }

        System.out.println("//================================LocalConstantVol=======================================");

        //LocalConstantVolatility is essentially same as BlackConstantVol and is a local volatility version of BlackConstantVol
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