Package org.jquantlib.pricingengines.asian

Examples of org.jquantlib.pricingengines.asian.AnalyticContinuousGeometricAveragePriceAsianEngine

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        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);

        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 AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess);

        final AverageType averageType = AverageType.Geometric;
        final Option.Type type = Option.Type.Put;
        /* @Real */final double strike = 85.0;

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                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
                new Handle<BlackVolTermStructure>(volTS));

        final PricingEngine engine = new AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess);



        final Date today = new Settings().evaluationDate();
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Related Classes of org.jquantlib.pricingengines.asian.AnalyticContinuousGeometricAveragePriceAsianEngine

  • org.jquantlib.daycounters.DayCounter
  • org.jquantlib.instruments.PlainVanillaPayoff
  • org.jquantlib.pricingengines.BlackCalculator
  • org.jquantlib.testsuite.instruments.AsianOptionTest
  • org.jquantlib.time.Date
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