Examples of BlackScholesMertonProcess

org.jquantlib.processes.BlackScholesMertonProcess
Merton (1973) extension to the Black-Scholes stochastic process
This class describes the stochastic process for a stock or stock index paying a continuous dividend yield given by dS(t, S) = (r(t) - q(t) - \frac\sigma(t, S)^2}{2}) dt } @author Richard Gomes

Examples of org.jquantlib.processes.BlackScholesMertonProcess

        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);


        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 AnalyticEuropeanEngine(stochProcess);

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Examples of org.jquantlib.processes.BlackScholesMertonProcess

                            payoff = new AssetOrNothingPayoff(type, strike);
                        } else if (kk==3) {
                            payoff = new GapPayoff(type, strike, 100);
                        }


                        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 AnalyticEuropeanEngine(stochProcess);

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Examples of org.jquantlib.processes.BlackScholesMertonProcess


        final Date exerciseDate = today.add(Period.ONE_YEAR_FORWARD);
        final Exercise exercise = new EuropeanExercise(exerciseDate);
        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 100);


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

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Examples of org.jquantlib.processes.BlackScholesMertonProcess

                }
    }


    private GeneralizedBlackScholesProcess makeProcess(final Quote u, final YieldTermStructure q, final YieldTermStructure r,
            final BlackVolTermStructure vol) {
        return new BlackScholesMertonProcess(new Handle<Quote>(u), new Handle<YieldTermStructure>(q),
                new Handle<YieldTermStructure>(r), new Handle<BlackVolTermStructure>(vol));
    }

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Examples of org.jquantlib.processes.BlackScholesMertonProcess

            spot.setValue(value.s);
            qRate.setValue(value.q);
            rRate.setValue(value.r);
            vol.setValue(value.v);


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

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Examples of org.jquantlib.processes.BlackScholesMertonProcess

            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
            rRate.setValue(juValue.r);
            vol.setValue(juValue.v);


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

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Examples of org.jquantlib.processes.BlackScholesMertonProcess

            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
            rRate.setValue(juValue.r);
            vol.setValue(juValue.v);


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

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Examples of org.jquantlib.processes.BlackScholesMertonProcess


                    final Date exDate = today.add(new Period(year, TimeUnit.Years));
                    final Exercise exercise = new AmericanExercise(today, exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);


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

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Examples of org.jquantlib.processes.BlackScholesMertonProcess

            rRate.setValue(value.r);
            vol.setValue(value.v);


            final StrikedTypePayoff payoff = new PlainVanillaPayoff(value.type, value.strike);


            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 AnalyticBarrierEngine(stochProcess);

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Examples of org.jquantlib.processes.BlackScholesMertonProcess


        for (final BarrierOptionData value : values) {
            volatility.setValue(value.volatility);
            final StrikedTypePayoff callPayoff = new PlainVanillaPayoff(Option.Type.Call, value.strike);


            final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                    new Handle<Quote>(underlying),
                    new Handle<YieldTermStructure>(qTS),
                    new Handle<YieldTermStructure>(rTS),
                    new Handle<BlackVolTermStructure>(volTS));

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