Examples of GapPayoff

org.jquantlib.instruments.GapPayoff
the-money.com/artandpap/Binary%20Options.doc">Binary Options @author Richard Gomes

Examples of org.jquantlib.instruments.GapPayoff

                            //FIXME check constructor
                            payoff = new CashOrNothingPayoff(type, strike, 100);
                        } else if (kk==2) {
                            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),

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Examples of org.jquantlib.instruments.GapPayoff


        private final class GapPayoffVisitor implements Visitor<Payoff> {


            @Override
            public final void visit(final Payoff o) {
                final GapPayoff payoff = (GapPayoff)o;
                black.x = payoff.getSecondStrike();
                black.dx_dStrike = 0.0;
            }

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Examples of org.jquantlib.instruments.GapPayoff


        private final class GapPayoffVisitor implements Visitor<Payoff> {


            @Override
            public final void visit(final Payoff o) {
                final GapPayoff payoff = (GapPayoff)o;
                black.x = payoff.getSecondStrike();
                black.dx_dStrike = 0.0;
            }

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Examples of org.jquantlib.instruments.GapPayoff

                            //FIXME check constructor
                            payoff = new CashOrNothingPayoff(type, strike, 100);
                        } else if (kk==2) {
                            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),

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Examples of org.jquantlib.instruments.GapPayoff

                                    } else if (kk == 1) {
                                        payoff = new CashOrNothingPayoff(type, strike, 100.0);
                                    } else if (kk == 2) {
                                        payoff = new AssetOrNothingPayoff(type, strike);
                                    } else if (kk == 3) {
                                        payoff = new GapPayoff(type, strike, 100.0);
                                    }
                                    final EuropeanOption option = new EuropeanOption(payoff, exercise);
                                    option.setPricingEngine(engine);


                                    for (final double u : underlyings) {

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