Package org.jquantlib.instruments

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

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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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                throw new ArithmeticException(" mismatch");

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

            final double /* @Real */calculated = option.NPV();
            final double /* @Real */error = Math.abs(calculated - value.result);
            if (error > value.tol) {
                REPORT_FAILURE_2("value", payoff, exercise, value.s, value.q, value.r, today, value.v,
                        value.jumpIntensity, value.gamma, value.result, calculated, error, value.tol);
            }
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                                                    spot.setValue(u);
                                                    qRate.setValue(q);
                                                    rRate.setValue(r);
                                                    vol.setValue(v);

                                                    final double value = option.NPV();
                                                    calculated.put("delta", option.delta());
                                                    calculated.put("gamma", option.gamma());
                                                    calculated.put("theta", option.theta());
                                                    calculated.put("rho", option.rho());
                                                    calculated.put("divRho", 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-5;
                                                        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);
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                                                        final double du = u * 1.0e-5;
                                                        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 = 1.0e-5;
                                                        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 = 1.0e-5;
                                                        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 = 1.0e-5;
                                                        qRate.setValue(q + dq);
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                                                        rRate.setValue(r);
                                                        expected.put("rho", (value_p - value_m) / (2 * dr));

                                                        final double dq = 1.0e-5;
                                                        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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