Examples of SimpleQuote

Examples of org.jquantlib.quotes.SimpleQuote

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            }
        }
        QL.require(s0 > 0.0, "negative value after subtracting dividends");

        // binomial trees with constant coefficient
        final Handle<Quote> underlying = new Handle<Quote>(new SimpleQuote(s0));
        final Handle<YieldTermStructure> flatRiskFree = new Handle<YieldTermStructure>(
                new FlatForward(referenceDate, riskFreeRate, rfdc));
        final Handle<YieldTermStructure> flatDividends = new Handle <YieldTermStructure>(
                new FlatForward(referenceDate, q, divdc));
        final Handle<BlackVolTermStructure> flatVol = new Handle<BlackVolTermStructure>(
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Examples of org.jquantlib.quotes.SimpleQuote

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   */
  public ConstantOptionletVolatility(final int settlementDays,
      final Calendar cal, final BusinessDayConvention bdc,
      final double vol, final DayCounter dc) {
    super(settlementDays, cal, bdc, dc);
    this.volatility_ = new Handle<Quote>(new SimpleQuote(vol));
  }
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Examples of org.jquantlib.quotes.SimpleQuote

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   */
  public ConstantOptionletVolatility(final Date referenceDate,
      final Calendar cal, final BusinessDayConvention bdc, final double vol,
      final DayCounter dc) {
    super(referenceDate, cal, bdc, dc);
    volatility_ = new Handle<Quote>(new SimpleQuote(vol));
  }
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Examples of org.jquantlib.quotes.SimpleQuote

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    public LocalConstantVol(
            final Date referenceDate,
            final /*@Volatility*/ double volatility,
            final DayCounter dayCounter) {
        super(referenceDate);
        this.volatility = new Handle<Quote>(new SimpleQuote(volatility));
        this.dayCounter = dayCounter;
    }
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Examples of org.jquantlib.quotes.SimpleQuote

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            final int settlementDays,
            final Calendar cal,
            final /*@Volatility*/ double volatility,
            final DayCounter dayCounter) {
        super(settlementDays, new NullCalendar());
        this.volatility = new Handle<Quote>(new SimpleQuote(volatility));
        this.dayCounter = dayCounter;
    }
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Examples of org.jquantlib.quotes.SimpleQuote

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        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();
        new Settings().setEvaluationDate(today);

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(qRate, dc));
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(rRate, dc));
        final SimpleQuote vol = new SimpleQuote(0.0);
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(vol, dc));

        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Years));
                  final Exercise exercise = new EuropeanExercise(exDate);

                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  for (final Date d = today.add(new Period(3, TimeUnit.Months));
                             d.lt(exercise.lastDate());
                             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);
                  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)
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Examples of org.jquantlib.quotes.SimpleQuote

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        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();
        new Settings().setEvaluationDate(today);

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(qRate, dc));
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(rRate, dc));
        final SimpleQuote vol = new SimpleQuote(0.0);
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(vol, dc));

        final Date exDate = today.add(new Period(6, TimeUnit.Months));
        final Exercise exercise = new EuropeanExercise(exDate);

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

        /* @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",
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Examples of org.jquantlib.quotes.SimpleQuote

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        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();
        new Settings().setEvaluationDate(today);

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(qRate, dc));
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(rRate, dc));
        final SimpleQuote vol = new SimpleQuote(0.0);
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(vol, dc));

        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Months));
                  final Exercise exercise = new EuropeanExercise(exDate);

                  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);
                  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);
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Examples of org.jquantlib.quotes.SimpleQuote

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        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();
        new Settings().setEvaluationDate(today);

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(qRate, dc));
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(rRate, dc));
        final SimpleQuote vol = new SimpleQuote(0.0);
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(vol, dc));

        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Years));
                  final Exercise exercise = new EuropeanExercise(exDate);

                  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);
                  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)
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Examples of org.jquantlib.quotes.SimpleQuote

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        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();
        new Settings().setEvaluationDate(today);

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote qRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>(Utilities.flatRate(qRate, dc));
        final SimpleQuote rRate = new SimpleQuote(0.0);
        final Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>(Utilities.flatRate(rRate, dc));
        final SimpleQuote vol = new SimpleQuote(0.0);
        final Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>(Utilities.flatVol(vol, dc));

        for (final Type type : types)
            for (final double strike : strikes)
                for (final int length : lengths) {
                  final Date exDate = today.add(new Period(length, TimeUnit.Years));
                  final Exercise exercise = new EuropeanExercise(exDate);

                  final List<Date> dividendDates = new ArrayList<Date>();
                  final List</* @Real */ Double> dividends = new ArrayList<Double>();
                  for (final Date d = today.add(new Period(3, TimeUnit.Months));
                             d.lt(exercise.lastDate());
                             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);

                  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));
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