Examples of lastDate()

Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        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"); // TODO: message
        double /* @Real */strike = payoff.strike();

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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        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"); // TODO: message
        double /* @Real */strike = payoff.strike();

        if (payoff.optionType()==Option.Type.Put) {
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);

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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /*@Real*/ variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /*@DiscountFactor*/ dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /*@DiscountFactor*/ riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /*@Real*/ spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /*@Real*/ variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /*@DiscountFactor*/ dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /*@DiscountFactor*/ riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /*@Real*/ spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);
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Examples of org.jquantlib.exercise.AmericanExercise.lastDate()

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        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /*@Real*/ variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /*@DiscountFactor*/ dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /*@DiscountFactor*/ riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /*@Real*/ spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);

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Examples of org.jquantlib.exercise.EuropeanExercise.lastDate()

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                  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);
                  }

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Examples of org.jquantlib.exercise.EuropeanExercise.lastDate()

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                  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);
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