Examples of DividendVanillaOption

org.jquantlib.instruments.DividendVanillaOption
Single-asset vanilla option (no barriers) with discrete dividends @category instruments @author Richard Gomes

Examples of org.jquantlib.instruments.DividendVanillaOption

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);
                  ref_option.setPricingEngine(ref_engine);


                  for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);


                                /* @Real */ final double calculated = option.NPV();
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value start limit",
                                                   payoff, exercise,

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Examples of org.jquantlib.instruments.DividendVanillaOption


        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 40.0);
        final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
        final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);


        final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
        option.setPricingEngine(engine);


        /* @Real */ final double u = 40.0;
        /* @Rate */ final double q = 0.0, r = 0.09;
        /* @Volatility */ final double v = 0.30;
        spot.setValue(u);
        qRate.setValue(q);
        rRate.setValue(r);
        vol.setValue(v);


        /* @Real */ final double calculated = option.NPV();
        /* @Real */ final double error = Math.abs(calculated-expected);
        if (error > tolerance)
            REPORT_FAILURE("value start limit",
                           payoff, exercise,
                           u, q, r, today, v,

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Examples of org.jquantlib.instruments.DividendVanillaOption

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);
                  ref_option.setPricingEngine(ref_engine);


                  for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);


                                /* @Real */ final double calculated = option.NPV();
                                spot.setValue(u-dividendValue);
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value", payoff, exercise,

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Examples of org.jquantlib.instruments.DividendVanillaOption

                  final StrikedTypePayoff refPayoff = new PlainVanillaPayoff(type, strike + dividendValue);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise,dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final VanillaOption ref_option = new VanillaOption(refPayoff, exercise);
                  ref_option.setPricingEngine(ref_engine);


                  for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                /* @Volatility */ spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);


                                /* @Real */ final double calculated = option.NPV();
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value", payoff, exercise,
                                                   u, q, r, today, v,

View Full Code Here

Examples of org.jquantlib.instruments.DividendVanillaOption


                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);


                                /* @Real */ final double value = option.NPV();
                                calculated.put("delta", option.delta());
                                calculated.put("gamma", option.gamma());
                                calculated.put("theta", option.theta());
                                calculated.put("rho",   option.rho());
                                calculated.put("vega",  option.vega());


                                if (value > spot.value()*1.0e-5) {
                                    // perturb spot and get delta and gamma
                                    /* @Real */ final double du = u*1.0e-4;
                                    spot.setValue(u+du);
                                    /* @Real */ double value_p = option.NPV();
                                    final double delta_p = option.delta();
                                    spot.setValue(u-du);
                                    /* @Real */ double value_m = option.NPV();
                                    final double delta_m = option.delta();
                                    spot.setValue(u);
                                    expected.put("delta", (value_p - value_m)/(2*du) );
                                    expected.put("gamma", (delta_p - delta_m)/(2*du) );


                                    // perturb risk-free /* @Rate */ double and get rho
                                    final /* @Spread */ double dr = r*1.0e-4;
                                    rRate.setValue(r+dr);
                                    value_p = option.NPV();
                                    rRate.setValue(r-dr);
                                    value_m = option.NPV();
                                    rRate.setValue(r);
                                    expected.put("rho", (value_p - value_m)/(2*dr) );


                                    // perturb /* @Volatility */ double and get vega
                                    final /* @Spread */ double dv = v*1.0e-4;
                                    vol.setValue(v+dv);
                                    value_p = option.NPV();
                                    vol.setValue(v-dv);
                                    value_m = option.NPV();
                                    vol.setValue(v);
                                    expected.put("vega", (value_p - value_m)/(2*dv) );


                                    // perturb date and get theta
                                    final /*@Time*/ double dT = dc.yearFraction(today.sub(1), today.add(1));
                                    new Settings().setEvaluationDate(today.sub(1));
                                    value_m = option.NPV();
                                    new Settings().setEvaluationDate(today.add(1));
                                    value_p = option.NPV();
                                    new Settings().setEvaluationDate(today);
                                    expected.put("theta", (value_p - value_m)/dT );


                                    // compare
                                    for (final Map.Entry<String, Double> it : calculated.entrySet()) {

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Examples of org.jquantlib.instruments.DividendVanillaOption

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
                  final PricingEngine engine = new FDDividendEuropeanEngine(stochProcess, timeSteps, gridPoints);
                  final PricingEngine ref_engine = new AnalyticDividendEuropeanEngine(stochProcess);


                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);


                  final DividendVanillaOption ref_option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  ref_option.setPricingEngine(ref_engine);


                  for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);
                                // FLOATING_POINT_EXCEPTION
                                /* @Real */ final double calculated = option.NPV();
                                if (calculated > spot.value()*1.0e-5) {
                                    /* @Real */ final double expected = ref_option.NPV();
                                    /* @Real */ final double error = Math.abs(calculated-expected);
                                    if (error > tolerance)
                                        REPORT_FAILURE("value", payoff, exercise,
                                                       u, q, r, today, v,
                                                       expected, calculated,

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Examples of org.jquantlib.instruments.DividendVanillaOption

                } catch (final Exception e) {
                    throw new LibraryException(e);
                }
                final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);


                final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                option.setPricingEngine(engine);


                for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);


                                // FLOATING_POINT_EXCEPTION
                                /* @Real */ final double value = option.NPV();
                                calculated.put("delta", option.delta() );
                                calculated.put("gamma", option.gamma() );
                                // calculated.put("theta", option.theta() );


                                if (value > spot.value()*1.0e-5) {
                                  // perturb spot and get delta and gamma
                                  /* @Real */ final double du = u*1.0e-4;
                                  spot.setValue(u+du);
                                  /* @Real */ final double value_p = option.NPV(),
                                       delta_p = option.delta();
                                  spot.setValue(u-du);
                                  /* @Real */ final double value_m = option.NPV(),
                                       delta_m = option.delta();
                                  spot.setValue(u);
                                  expected.put("delta", (value_p - value_m)/(2*du) );
                                  expected.put("gamma", (delta_p - delta_m)/(2*du) );


                                  // perturb date and get theta

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Examples of org.jquantlib.instruments.DividendVanillaOption

        final /* @Real */ double tolerance = 3.0e-3;


        final List<Date> dividendDates = new ArrayList<Date>();
        final List</* @Real */ Double> dividends = new ArrayList<Double>();


        final DividendVanillaOption option1 = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
        option1.setPricingEngine(engine);


        // FLOATING_POINT_EXCEPTION
        final /* @Real */ double refValue = option1.NPV();


        for (/* @Size */ int i=0; i<=6; i++) {
            dividends.add(0.0);
            dividendDates.add(today.add(i));


            final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
            option.setPricingEngine(engine);
            final /* @Real */ double value = option.NPV();


            if (Math.abs(refValue-value) > tolerance) {
                final StringBuilder sb = new StringBuilder();
                sb.append("NPV changed by null dividend :\n");
                sb.append("    previous value: ").append(refValue).append('\n');

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