Package org.jquantlib.pricingengines

Examples of org.jquantlib.pricingengines.AnalyticEuropeanEngine.calculate()

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            r = riskFreeRate - process.jumpIntensity().currentLink().value() * k + i * muPlusHalfSquareVol / t;
            riskFreeTS.linkTo(new FlatForward(rateRefDate, r, voldc));
            volTS.linkTo(new BlackConstantVol(rateRefDate, volcal, v, voldc));

            baseArguments.validate();
            baseEngine.calculate();

            weight = p.op(i);
            R.value += weight * baseResults.value;
            greeks.delta += weight * baseResults.greeks().delta;
            greeks.gamma += weight * baseResults.greeks().gamma;
 
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            r = riskFreeRate - process.jumpIntensity().currentLink().value() * k + i * muPlusHalfSquareVol / t;
            riskFreeTS.linkTo(new FlatForward(rateRefDate, r, voldc));
            volTS.linkTo(new BlackConstantVol(rateRefDate, volcal, v, voldc));

            baseArguments.validate();
            baseEngine.calculate();

            weight = p.op(i);
            R.value += weight * baseResults.value;
            greeks.delta += weight * baseResults.greeks().delta;
            greeks.gamma += weight * baseResults.greeks().gamma;
 
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