Package org.jquantlib.cashflow

Examples of org.jquantlib.cashflow.CashFlow.amount()

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        final Date settlementDate = process.riskFreeRate().currentLink().referenceDate();
        double riskless = 0.0;
        for (int i=0; i<a.cashFlow.size(); i++) {
            final CashFlow cashflow = a.cashFlow.get(i);
            if (cashflow.date().gt(settlementDate)) {
                riskless += cashflow.amount() * process.riskFreeRate().currentLink().discount(cashflow.date());
            }
        }

        final double spot = process.stateVariable().currentLink().value() - riskless;
        QL.require(spot > 0.0, "negative or null underlying after subtracting dividends"); // TODO: message
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        double delta_theta = 0.0, delta_rho = 0.0;
        for (int i = 0; i < a.cashFlow.size(); i++) {
            final CashFlow cashflow = a.cashFlow.get(i);
            final Date d = cashflow.date();
            if (d.gt(settlementDate)) {
                delta_theta -= cashflow.amount()
                * process.riskFreeRate().currentLink().zeroRate(d, rfdc, Compounding.Continuous, Frequency.Annual).rate()
                * process.riskFreeRate().currentLink().discount(d);
                delta_rho += cashflow.amount() * process.time(d) * process.riskFreeRate().currentLink().discount(t);
            }
        }
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            final Date d = cashflow.date();
            if (d.gt(settlementDate)) {
                delta_theta -= cashflow.amount()
                * process.riskFreeRate().currentLink().zeroRate(d, rfdc, Compounding.Continuous, Frequency.Annual).rate()
                * process.riskFreeRate().currentLink().discount(d);
                delta_rho += cashflow.amount() * process.time(d) * process.riskFreeRate().currentLink().discount(t);
            }
        }
        t = process.time(a.exercise.lastDate());
        try {
            greeks.theta = black.theta(spot, t) + delta_theta * black.delta(spot);
 
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        final Date settlementDate = process.riskFreeRate().currentLink().referenceDate();
        double riskless = 0.0;
        for (int i=0; i<a.cashFlow.size(); i++) {
            final CashFlow cashflow = a.cashFlow.get(i);
            if (cashflow.date().gt(settlementDate)) {
                riskless += cashflow.amount() * process.riskFreeRate().currentLink().discount(cashflow.date());
            }
        }

        final double spot = process.stateVariable().currentLink().value() - riskless;
        QL.require(spot > 0.0, "negative or null underlying after subtracting dividends"); // TODO: message
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        double delta_theta = 0.0, delta_rho = 0.0;
        for (int i = 0; i < a.cashFlow.size(); i++) {
            final CashFlow cashflow = a.cashFlow.get(i);
            final Date d = cashflow.date();
            if (d.gt(settlementDate)) {
                delta_theta -= cashflow.amount()
                * process.riskFreeRate().currentLink().zeroRate(d, rfdc, Compounding.Continuous, Frequency.Annual).rate()
                * process.riskFreeRate().currentLink().discount(d);
                delta_rho += cashflow.amount() * process.time(d) * process.riskFreeRate().currentLink().discount(t);
            }
        }
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            final Date d = cashflow.date();
            if (d.gt(settlementDate)) {
                delta_theta -= cashflow.amount()
                * process.riskFreeRate().currentLink().zeroRate(d, rfdc, Compounding.Continuous, Frequency.Annual).rate()
                * process.riskFreeRate().currentLink().discount(d);
                delta_rho += cashflow.amount() * process.time(d) * process.riskFreeRate().currentLink().discount(t);
            }
        }
        t = process.time(a.exercise.lastDate());
        try {
            greeks.theta = black.theta(spot, t) + delta_theta * black.delta(spot);
 
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