Package org.jquantlib.instruments

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

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

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

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

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

        method = "Binomial Joshi";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
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        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );


        //
        //
        //
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        bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps-1));
        americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps-1, false));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        //
        //
        //
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        VanillaOption europeanOption = new EuropeanOption(payoff, europeanExercise);

        europeanOption.setPricingEngine(new AnalyticEuropeanEngine(stochasticProcess));

        return europeanOption.NPV();

}
public static void main(String args[]){
  System.out.println(europeanBlackScholes(30, 4030, 0.05, 0.2, 0.0, "put", 1, 1, 2011, 1, 2, 2011))   ;
}
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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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