Examples of PlainVanillaPayoff

Examples of org.jquantlib.instruments.PlainVanillaPayoff

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        QL.require(a.exercise.type()==Exercise.Type.American , NOT_AN_AMERICAN_OPTION); // QA:[RG]::verified
        QL.require(a.exercise instanceof AmericanExercise , NON_AMERICAN_EXERCISE_GIVEN); // QA:[RG]::verified
        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof PlainVanillaPayoff , NON_PLAIN_PAYOFF_GIVEN); // QA:[RG]::verified
        PlainVanillaPayoff payoff = (PlainVanillaPayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        double /* @Real */strike = payoff.strike();

        if (payoff.optionType()==Option.Type.Put) {
            // use put-call symmetry
            // swap spot and strike, has to be done inline
            double tmp = spot; spot = strike; strike = tmp;

            // swap riskFreeDiscount and dividenDiscount, has to be done inline
            tmp = riskFreeDiscount; riskFreeDiscount = dividendDiscount; dividendDiscount = tmp;

            payoff = new PlainVanillaPayoff(Option.Type.Call, strike);
        }

        if (dividendDiscount>=1.0) {
            // early exercise is never optimal - use Black formula
            final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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        public PayoffWrapper(final Payoff p) {
            this.payoff = p;
        }

        public PayoffWrapper(final Option.Type type, final double strike) {
            payoff = new PlainVanillaPayoff(type, strike);
        }
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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                             d.addAssign(new Period(6, TimeUnit.Months))) {
                      dividendDates.add(d.clone());
                      dividends.add(0.0);
                  }

                  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);
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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        dividendDates.add(today.add(new Period(2, TimeUnit.Months)));
        dividends.add(0.50);
        dividendDates.add(today.add(new Period(5, TimeUnit.Months)));
        dividends.add(0.50);

        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);
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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

                  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);
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  dividendDates.add(exercise.lastDate());
                  dividends.add(dividendValue);

                  final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
                  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);
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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                             d.addAssign(new Period(6, TimeUnit.Months))) {
                      dividendDates.add(d.clone());
                      dividends.add(5.0);
                  }

                  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);
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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                             d.addAssign(new Period(6, TimeUnit.Months))) {
                      dividendDates.add(d.clone());
                      dividends.add(5.0);
                  }

                  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);
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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                    final Constructor<T> baseConstructor = engineClass.getConstructor(GeneralizedBlackScholesProcess.class);
                    engine = baseConstructor.newInstance(stochProcess);
                } 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)
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Examples of org.jquantlib.instruments.PlainVanillaPayoff

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            engine = baseConstructor.newInstance(process, timeSteps, gridPoints);
        } catch (final Exception e) {
            throw new LibraryException(e);
        }

        final StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 55.0);
        final /* @Real */ double tolerance = 3.0e-3;

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

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