Examples of lastDate()

Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /*@Real*/ variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /*@DiscountFactor*/ dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /*@DiscountFactor*/ riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /*@Real*/ spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /*@Real*/ variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /*@DiscountFactor*/ dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /*@DiscountFactor*/ riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /*@Real*/ spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /*@Real*/ variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /*@DiscountFactor*/ dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /*@DiscountFactor*/ riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /*@Real*/ spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);

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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);

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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof PlainVanillaPayoff , NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified
        PlainVanillaPayoff payoff = (PlainVanillaPayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        double /* @Real */strike = payoff.strike();
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof PlainVanillaPayoff , NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified
        PlainVanillaPayoff payoff = (PlainVanillaPayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        double /* @Real */strike = payoff.strike();

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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(a.payoff instanceof PlainVanillaPayoff , NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified
        PlainVanillaPayoff payoff = (PlainVanillaPayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        double /* @Real */strike = payoff.strike();

        if (payoff.optionType()==Option.Type.Put) {
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof PlainVanillaPayoff , NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified
        PlainVanillaPayoff payoff = (PlainVanillaPayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        double /* @Real */strike = payoff.strike();
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