Package org.jquantlib.instruments

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

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            final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);

            final EuropeanOption option = new EuropeanOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double calculated = option.NPV();
            final double error = Math.abs(calculated-values[i].result);
            final double tolerance = values[i].tol;

            final StringBuilder sb = new StringBuilder();
            sb.append("error ").append(error).append(" .gt. tolerance ").append(tolerance).append('\n');
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                                        spot.setValue(u);
                                        qRate.setValue(q);
                                        rRate.setValue(r);
                                        vol.setValue(v);

                                        final double value = option.NPV();
                                        final double delta = option.delta();
                                        final double gamma = option.gamma();
                                        final double theta = option.theta();
                                        final double rho   = option.rho();
                                        final double drho  = option.dividendRho();
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                                        if (value > spot.value()*1.0e-5) {
                                            // perturb spot and get delta and gamma
                                            final double du = u*1.0e-4;
                                            spot.setValue(u+du);
                                            double value_p = option.NPV();
                                            final double delta_p = option.delta();
                                            spot.setValue(u-du);

                                            double value_m = option.NPV();
                                            final double delta_m = option.delta();
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                                            spot.setValue(u+du);
                                            double value_p = option.NPV();
                                            final double delta_p = option.delta();
                                            spot.setValue(u-du);

                                            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));

 
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                                            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));

 
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                                            // 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);
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                                            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));

 
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                                            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;
 
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                                            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));

 
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                                            // 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);
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