Package org.jquantlib.instruments.bonds

Examples of org.jquantlib.instruments.bonds.ConvertibleFixedCouponBond.NPV()

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        method = "Jarrow-Rudd";
        engine = new BinomialConvertibleEngine<JarrowRudd>(JarrowRudd.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
        System.out.printf(fmt, method, europeanBond.NPV(), americanBond.NPV() );

        method = "Cox-Ross-Rubinstein";
        engine = new BinomialConvertibleEngine<CoxRossRubinstein>(CoxRossRubinstein.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
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        method = "Cox-Ross-Rubinstein";
        engine = new BinomialConvertibleEngine<CoxRossRubinstein>(CoxRossRubinstein.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
        System.out.printf(fmt, method, europeanBond.NPV(), americanBond.NPV() );

        method = "Additive equiprobabilities";
        engine = new BinomialConvertibleEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
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        method = "Additive equiprobabilities";
        engine = new BinomialConvertibleEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
        System.out.printf(fmt, method, europeanBond.NPV(), americanBond.NPV() );

        method = "Trigeorgis";
        engine = new BinomialConvertibleEngine<Trigeorgis>(Trigeorgis.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
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        method = "Trigeorgis";
        engine = new BinomialConvertibleEngine<Trigeorgis>(Trigeorgis.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
        System.out.printf(fmt, method, europeanBond.NPV(), americanBond.NPV() );

        method = "Tian";
        engine = new BinomialConvertibleEngine<Tian>(Tian.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
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        method = "Tian";
        engine = new BinomialConvertibleEngine<Tian>(Tian.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
        System.out.printf(fmt, method, europeanBond.NPV(), americanBond.NPV() );

        method = "Leisen-Reimer";
        engine = new BinomialConvertibleEngine<LeisenReimer>(LeisenReimer.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
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        method = "Leisen-Reimer";
        engine = new BinomialConvertibleEngine<LeisenReimer>(LeisenReimer.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
        System.out.printf(fmt, method, europeanBond.NPV(), americanBond.NPV() );

        method = "Joshi";
        engine = new BinomialConvertibleEngine<Joshi4>(Joshi4.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
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        method = "Joshi";
        engine = new BinomialConvertibleEngine<Joshi4>(Joshi4.class, stochasticProcess, timeSteps);
        europeanBond.setPricingEngine(engine);
        americanBond.setPricingEngine(engine);
        System.out.printf(fmt, method, europeanBond.NPV(), americanBond.NPV() );


        clock.stopClock();
        clock.log();
    }
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          + "\n    calculated: " + euFixed.NPV()
          + "\n    expected:   " + fixed.settlementValue()
          + "\n    error:      " + error);
    }

    error = Math.abs(amFixed.NPV() - fixed.settlementValue());
    if (error > tolerance) {
      fail("failed to reproduce fixed-coupon bond price:"
          + "\n    calculated: " + amFixed.NPV()
          + "\n    expected:   " + fixed.settlementValue()
          + "\n    error:      " + error);
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    }

    error = Math.abs(amFixed.NPV() - fixed.settlementValue());
    if (error > tolerance) {
      fail("failed to reproduce fixed-coupon bond price:"
          + "\n    calculated: " + amFixed.NPV()
          + "\n    expected:   " + fixed.settlementValue()
          + "\n    error:      " + error);
    }

    // floating-rate
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