Examples of EulerDiscretization


Examples of org.jquantlib.processes.EulerDiscretization

        final SimpleQuote riskFreeRateQuote = new SimpleQuote(0.3);
        final RelinkableHandle<Quote>  handleToRiskFreeRateQuote = new RelinkableHandle<Quote>(riskFreeRateQuote);
        final YieldTermStructure riskFreeTermStructure = new FlatForward(2,new UnitedStates(Market.NYSE),handleToRiskFreeRateQuote, new Actual365Fixed(), Compounding.Continuous,Frequency.Daily);

        //Creating the process
        final StochasticProcess1D process = new GeneralizedBlackScholesProcess(handleToStockQuote,new RelinkableHandle<YieldTermStructure>(dividendTermStructure),new RelinkableHandle<YieldTermStructure>(riskFreeTermStructure),new RelinkableHandle<BlackVolTermStructure>(varianceCurve),new EulerDiscretization());

        //Calculating the drift of the stochastic process after time = 18th day from today with value of the stock as specified from the quote
        //The drift = (riskFreeForwardRate - dividendForwardRate) - (Variance/2)
        System.out.println("The drift of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.drift(process.time(date18.clone()), handleToStockQuote.currentLink().value()));
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