Examples of BjerksundStenslandApproximationEngine


Examples of org.jquantlib.pricingengines.vanilla.BjerksundStenslandApproximationEngine

        americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Bjerksund and Stensland approximation for American
        method = "Bjerksund/Stensland";
        americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Ju Quadratic approximation for American
        method = "Ju Quadratic";
        americanOption.setPricingEngine(new JuQuadraticApproximationEngine(bsmProcess));
View Full Code Here

Examples of org.jquantlib.pricingengines.vanilla.BjerksundStenslandApproximationEngine

            final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                    new Handle<Quote>(spot),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));
            final PricingEngine engine = new BjerksundStenslandApproximationEngine(stochProcess);

            final VanillaOption option = new VanillaOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double /* @Real */calculated = option.NPV();
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.