Package org.jquantlib.instruments

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

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                                    // 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));
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                                    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));
                                    value_m = option.NPV();
                                    new Settings().setEvaluationDate(today.add(1));
                                    value_p = option.NPV();
                                    new Settings().setEvaluationDate(today);
                                    expected.put("theta", (value_p - value_m)/dT );

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                                    // perturb date and get theta
                                    final /*@Time*/ double dT = dc.yearFraction(today.sub(1), today.add(1));
                                    new Settings().setEvaluationDate(today.sub(1));
                                    value_m = option.NPV();
                                    new Settings().setEvaluationDate(today.add(1));
                                    value_p = option.NPV();
                                    new Settings().setEvaluationDate(today);
                                    expected.put("theta", (value_p - value_m)/dT );

                                    // compare
                                    for (final Map.Entry<String, Double> it : calculated.entrySet()) {
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                                rRate.setValue(r);
                                vol.setValue(v);
                                // FLOATING_POINT_EXCEPTION
                                /* @Real */ final double calculated = option.NPV();
                                if (calculated > spot.value()*1.0e-5) {
                                    /* @Real */ final double expected = ref_option.NPV();
                                    /* @Real */ final double error = Math.abs(calculated-expected);
                                    if (error > tolerance)
                                        REPORT_FAILURE("value", payoff, exercise,
                                                       u, q, r, today, v,
                                                       expected, calculated,
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                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);

                                // FLOATING_POINT_EXCEPTION
                                /* @Real */ final double value = option.NPV();
                                calculated.put("delta", option.delta() );
                                calculated.put("gamma", option.gamma() );
                                // calculated.put("theta", option.theta() );

                                if (value > spot.value()*1.0e-5) {
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                                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 */ final double value_p = option.NPV(),
                                       delta_p = option.delta();
                                  spot.setValue(u-du);
                                  /* @Real */ final double value_m = option.NPV(),
                                       delta_m = option.delta();
                                  spot.setValue(u);
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                                  /* @Real */ final double du = u*1.0e-4;
                                  spot.setValue(u+du);
                                  /* @Real */ final double value_p = option.NPV(),
                                       delta_p = option.delta();
                                  spot.setValue(u-du);
                                  /* @Real */ final double value_m = option.NPV(),
                                       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) );

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        final DividendVanillaOption option1 = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
        option1.setPricingEngine(engine);

        // FLOATING_POINT_EXCEPTION
        final /* @Real */ double refValue = option1.NPV();

        for (/* @Size */ int i=0; i<=6; i++) {
            dividends.add(0.0);
            dividendDates.add(today.add(i));

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            dividends.add(0.0);
            dividendDates.add(today.add(i));

            final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
            option.setPricingEngine(engine);
            final /* @Real */ double value = option.NPV();

            if (Math.abs(refValue-value) > tolerance) {
                final StringBuilder sb = new StringBuilder();
                sb.append("NPV changed by null dividend :\n");
                sb.append("    previous value: ").append(refValue).append('\n');
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