Examples of NPV()

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

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        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());
        }

        vol.setValue(vol.value()*1.5);

        if (!f.isUp()) {
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Examples of org.jquantlib.instruments.EuropeanOption.NPV()

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        if (!f.isUp()) {
            fail("volatility change not notified");
        }

        if (Math.abs(option2.NPV() - refValue) <= 1.0e-8) {
            fail("volatility change did not cause the value to change");
        }
    }

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

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        // Analytic formulas:

        // Black-Scholes for European
        String method = "Black-Scholes";
        europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
        System.out.printf(fmt, method, europeanOption.NPV(), Double.NaN, Double.NaN );

        // Barone-Adesi and Whaley approximation for American
        method = "Barone-Adesi/Whaley";
        americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );
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Examples of org.jquantlib.instruments.EuropeanOption.NPV()

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        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Integral
        method = "Integral";
        europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
        System.out.printf(fmt, method, europeanOption.NPV(), Double.NaN, Double.NaN );

        int timeSteps = 801;

        // Binomial method
        method = "Binomial Jarrow-Rudd";
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Examples of org.jquantlib.instruments.EuropeanOption.NPV()

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        americanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(JarrowRudd.class, bsmProcess, timeSteps));
        double bNPV = Double.NaN;
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        method = "Binomial Cox-Ross-Rubinstein";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
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Examples of org.jquantlib.instruments.Instrument.NPV()

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        // attach an Observer to Stock
        final Flag priceChange = new Flag();
        s.addObserver(priceChange);

        // verify initial price
        if (iniPrice != s.NPV()) {
            fail("stock quote valuation failed");
        }

        // set a new price
        h.linkTo(new SimpleQuote(newPrice));
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Examples of org.jquantlib.instruments.Stock.NPV()

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        // attach an Observer to Stock
        final Flag priceChange = new Flag();
        s.addObserver(priceChange);

        // verify initial price
        if (iniPrice != s.NPV()) {
            fail("stock quote valuation failed");
        }

        // set a new price
        h.linkTo(new SimpleQuote(newPrice));
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Examples of org.jquantlib.instruments.VanillaOption.NPV()

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                                    spot.setValue(u);
                                    qRate.setValue(q);
                                    rRate.setValue(r);
                                    vol.setValue(v);

                                    final double value = option.NPV();
                                    double implVol = 0.0; // just to remove a warning...
                                    if (value != 0.0) {
                                        // shift guess somehow
                                        vol.setValue(v*0.5);
                                        if (Math.abs(value-option.NPV()) <= 1.0e-12) {
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Examples of org.jquantlib.instruments.VanillaOption.NPV()

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                                    final double value = option.NPV();
                                    double implVol = 0.0; // just to remove a warning...
                                    if (value != 0.0) {
                                        // shift guess somehow
                                        vol.setValue(v*0.5);
                                        if (Math.abs(value-option.NPV()) <= 1.0e-12) {
                                            // flat price vs vol --- pointless (and
                                            // numerically unstable) to solve
                                            continue;
                                        }

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

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                                        implVol = option.impliedVolatility(value, process, tolerance, maxEvaluations);

                                        if (Math.abs(implVol-v) > tolerance) {
                                            // the difference might not matter
                                            vol.setValue(implVol);
                                            final double value2 = option.NPV();
                                            final double error = Utilities.relativeError(value,value2,u);
                                            if (error > tolerance) {
                                                fail(
                                                        type + " option :\n"
                                                        + "    spot value:          " + u + "\n"
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