Examples of BarrierType

Examples of com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType

      final double strike = SPOT * (0.8 + i * 0.1);
      for (int j = 0; j < 5; j++) {
        final double h = SPOT * (0.9 + j * 0.05);
        for (int k = 0; k < 2; k++) {
          final boolean isCall = k == 0;
          final BarrierType bt = SPOT > h ? BarrierType.DOWN : BarrierType.UP;
        final double anPrice = ANAL_PRICER.getPrice(new EuropeanVanillaOption(strike, EXPIRY, isCall),
            new Barrier(KnockType.OUT, bt, ObservationType.CONTINUOUS, h), REBATE, SPOT, B, R, SIGMA);
        final double fdPrice = PRICER.outBarrier(SPOT, h, strike, EXPIRY, R, B, SIGMA, isCall, REBATE);


        if (PRINT) {

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Examples of com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType

      final double strike = SPOT * (0.9 + i * 0.1);
      for (int j = 0; j < 5; j++) {
        final double h = SPOT * (0.9 + j * 0.05);
        for (int k = 0; k < 2; k++) {
          final boolean isCall = k == 0;
          final BarrierType bt = SPOT > h ? BarrierType.DOWN : BarrierType.UP;
        final double anPrice = ANAL_PRICER.getPrice(new EuropeanVanillaOption(strike, EXPIRY, isCall), new Barrier(KnockType.IN, bt, ObservationType.CONTINUOUS, h), REBATE, SPOT, B, R, SIGMA);
        final double fdPrice = PRICER.inBarrier(SPOT, h, strike, EXPIRY, R, B, SIGMA, isCall, REBATE);


        if (PRINT) {
          final String call = isCall ? "call" : "put ";

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Examples of com.opengamma.financial.security.option.BarrierType

    if (fxRate == null) {
      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final String dateString = settlementDate.toString(DATE_FORMATTER);
    final BarrierType barrierType = bundle._up ? BarrierType.UP : BarrierType.DOWN;
    final BarrierDirection barrierDirection = BarrierDirection.KNOCK_IN;
    final MonitoringType monitoringType = MonitoringType.CONTINUOUS;
    final SamplingFrequency samplingFrequency = SamplingFrequency.DAILY_CLOSE;
    final boolean invertBarrierLevel = !CurrencyPair.of(putCurrency, callCurrency).equals(getCurrencyPair(putCurrency, callCurrency));
    // so if UP and ccy convention order, multiple, if UP and inverted ccy order, divide, if DOWN and ccy convention order multiply, if DOWN and inverted ccy order, divide.

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Examples of com.opengamma.financial.security.option.BarrierType

    final ExternalId underlyingId = createEquitySecurity().getExternalIdBundle().getExternalId(ExternalSchemes.BLOOMBERG_TICKER);
    final ExerciseType exerciseType = exerciseType();
    final Expiry expiry = expiry();
    final double pointValue = 0;
    final String exchange = exchange();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final EquityBarrierOptionSecurity security = new EquityBarrierOptionSecurity(optionType, strike, currency, underlyingId, exerciseType, expiry, pointValue, exchange, barrierType,

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Examples of com.opengamma.financial.security.option.BarrierType

    final Currency callCurrency = differentCurrency(putCurrency);
    final double putAmount = 0;
    final double callAmount = 0;
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final boolean isLong = bool();

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Examples of com.opengamma.financial.security.option.BarrierType

      final double smoothingFullWidth, final double overhedge) {


    final Set<EquityIndexOption> vanillas = new HashSet<>();
    // Unpack the barrier security
    final BarrierDirection bInOut = barrierOption.getBarrierDirection(); //   KNOCK_IN, KNOCK_OUT,
    final BarrierType bUpDown = barrierOption.getBarrierType(); //   UP, DOWN, DOUBLE
    final double strike = barrierOption.getStrike();
    final double barrier = barrierOption.getBarrierLevel();
    final ZonedDateTime expiry = barrierOption.getExpiry().getExpiry();
    final double ttm = TimeCalculator.getTimeBetween(valuation, expiry);
    final Currency ccy = barrierOption.getCurrency();

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Examples of com.opengamma.financial.security.option.BarrierType

    final ZonedDateTime expiry = barrierSec.getExpiry().getExpiry();
    final ZonedDateTime settlement = barrierSec.getSettlementDate();


    // The barrier has four types
    final BarrierDirection bInOut = barrierSec.getBarrierDirection(); //   KNOCK_IN, KNOCK_OUT,
    final BarrierType bUpDown = barrierSec.getBarrierType(); //   UP, DOWN, DOUBLE
    final double barrier = barrierSec.getBarrierLevel();


    // Put and Call Amounts, along with market convention for quote/base ccy define the strike, notional, and call/put interpretation
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);

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Examples of org.jquantlib.instruments.BarrierType

        QL.require(a.payoff instanceof PlainVanillaPayoff, NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified // TODO: message
        this.payoff = (PlainVanillaPayoff)a.payoff;
        QL.require(payoff.strike()>0.0 , STRIKE_MUST_BE_POSITIVE); // QA:[RG]::verified // TODO: message


        final double strike = payoff.strike();
        final BarrierType barrierType = a.barrierType;


        switch (payoff.optionType()) {
            case Call:
                switch (barrierType) {
                    case DownIn:

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Examples of org.jquantlib.instruments.BarrierType


            final Date today = new Date(29, Month.May, 2006);
            new Settings().setEvaluationDate(today);


            //the option to replicate
            final BarrierType barrierType = BarrierType.DownOut;
            final double barrier = 70.0;
            final double rebate = 0.0;
            final Option.Type type = Option.Type.Put;
            final double underlyingValue = 100;
            final Handle<SimpleQuote> underlying = new Handle<SimpleQuote>(new SimpleQuote(underlyingValue));

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Examples of org.jquantlib.instruments.BarrierType

        QL.require(a.payoff instanceof PlainVanillaPayoff, NON_PLAIN_PAYOFF_GIVEN); // TODO: message
        this.payoff = (PlainVanillaPayoff)a.payoff;
        QL.require(payoff.strike()>0.0 , STRIKE_MUST_BE_POSITIVE); // TODO: message


        final double strike = payoff.strike();
        final BarrierType barrierType = a.barrierType;


        switch (payoff.optionType()) {
            case Call:
                switch (barrierType) {
                    case DownIn:

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