Package org.jquantlib.instruments

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

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

        method = "Additive EquiProbabilities";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
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