Examples of NPV()

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

798
799
800
801
802
803
804
805
806
807
808
                                            expected.put("gamma", (delta_p - delta_m)/(2*du));

                                            // perturb rates and get rho and dividend rho
                                            final 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));

 
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

800
801
802
803
804
805
806
807
808
809
810
                                            // perturb rates and get rho and dividend rho
                                            final 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));

                                            final double dq = q*1.0e-4;
                                            qRate.setValue(q+dq);
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

806
807
808
809
810
811
812
813
814
815
816
                                            rRate.setValue(r);
                                            expected.put("rho", (value_p - value_m)/(2*dr));

                                            final double dq = q*1.0e-4;
                                            qRate.setValue(q+dq);
                                            value_p = option.NPV();
                                            qRate.setValue(q-dq);
                                            value_m = option.NPV();
                                            qRate.setValue(q);
                                            expected.put("divRho",(value_p - value_m)/(2*dq));

 
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

808
809
810
811
812
813
814
815
816
817
818
                                            final double dq = q*1.0e-4;
                                            qRate.setValue(q+dq);
                                            value_p = option.NPV();
                                            qRate.setValue(q-dq);
                                            value_m = option.NPV();
                                            qRate.setValue(q);
                                            expected.put("divRho",(value_p - value_m)/(2*dq));

                                            // perturb volatility and get vega
                                            final double dv = v*1.0e-4;
 
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

815
816
817
818
819
820
821
822
823
824
825
                                            expected.put("divRho",(value_p - value_m)/(2*dq));

                                            // perturb volatility and get vega
                                            final 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));

 
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

817
818
819
820
821
822
823
824
825
826
827
                                            // perturb volatility and get vega
                                            final 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 Date yesterday = today.sub(1);
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

826
827
828
829
830
831
832
833
834
835
836
                                            // perturb date and get theta
                                            final Date yesterday = today.sub(1);
                                            final Date tomorrow  = today.add(1);
                                            final double dT = dc.yearFraction(yesterday, tomorrow);
                                            new Settings().setEvaluationDate(yesterday);
                                            value_m = option.NPV();
                                            new Settings().setEvaluationDate(tomorrow);
                                            value_p = option.NPV();
                                            new Settings().setEvaluationDate(Date.todaysDate());
                                            expected.put("theta", (value_p - value_m)/dT);
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

828
829
830
831
832
833
834
835
836
837
838
                                            final Date tomorrow  = today.add(1);
                                            final double dT = dc.yearFraction(yesterday, tomorrow);
                                            new Settings().setEvaluationDate(yesterday);
                                            value_m = option.NPV();
                                            new Settings().setEvaluationDate(tomorrow);
                                            value_p = option.NPV();
                                            new Settings().setEvaluationDate(Date.todaysDate());
                                            expected.put("theta", (value_p - value_m)/dT);

                                            // compare
                                            for (final Entry<String, Double> it: calculated.entrySet()){
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

996
997
998
999
1000
1001
1002
1003
1004
1005
1006
        final EuropeanOption option2 = new EuropeanOption(payoff, exercise);
        option1.setPricingEngine(engine);
        option2.setPricingEngine(engine);

        // test
        final double refValue = option2.NPV();

        final Flag f = new Flag();
        option2.addObserver(f);

        option1.impliedVolatility(refValue*1.5, stochProcess, tolerance, maxEvaluations);
View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.NPV()

1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
        if (f.isUp()) {
            fail("implied volatility calculation triggered a change in another instrument");
        }

        option2.recalculate();
        if (Math.abs(option2.NPV() - refValue) >= 1.0e-8) {
            fail("implied volatility calculation changed the value "
                    + "of another instrument: \n"
                    + "previous value: " + refValue + "\n"
                    + "current value:  " + option2.NPV());
        }
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.