Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.PlainVanillaPayoff.strike()

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        final Date exercise = a.exercise.lastDate();

        QL.require(a.payoff instanceof PlainVanillaPayoff , "non-plain payoff given"); // TODO: message
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff)arguments_.payoff;

        /*@Volatility*/ final double volatility = process.blackVolatility().currentLink().blackVol(exercise, payoff.strike());
        /*@Real*/ final double variance = process.blackVolatility().currentLink().blackVariance(exercise, payoff.strike());
        /*@DiscountFactor*/ final double  riskFreeDiscount = process.riskFreeRate().currentLink().discount(exercise);
        final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();
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        QL.require(a.payoff instanceof PlainVanillaPayoff , "non-plain payoff given"); // TODO: message
        final PlainVanillaPayoff payoff = (PlainVanillaPayoff)arguments_.payoff;

        /*@Volatility*/ final double volatility = process.blackVolatility().currentLink().blackVol(exercise, payoff.strike());
        /*@Real*/ final double variance = process.blackVolatility().currentLink().blackVariance(exercise, payoff.strike());
        /*@DiscountFactor*/ final double  riskFreeDiscount = process.riskFreeRate().currentLink().discount(exercise);
        final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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        final double maturity = rfdc.yearFraction(referenceDate, maturityDate);

        final StochasticProcess1D bs = new GeneralizedBlackScholesProcess(process.stateVariable(), flatDividends, flatRiskFree, flatVol);
        final TimeGrid grid = new TimeGrid(maturity, timeSteps_);
        final Tree tree = (Tree)getTreeInstance(bs, maturity, timeSteps_, payoff.strike());

        final BlackScholesLattice<Tree> lattice = new BlackScholesLattice<Tree>(tree, rRate, maturity, timeSteps_);
        final DiscretizedVanillaOption option = new DiscretizedVanillaOption(a, process, grid);

        option.initialize(lattice, maturity);
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            if (error<=tolerance) {
                QL.info(" error="+error);
            } else {
                fail(exercise + " " + payoff.optionType() + " option with " + payoff + " payoff:\n"
                        + "    spot value:       " + values[i].s + "\n"
                        + "    strike:           " + payoff.strike() + "\n"
                        + "    dividend yield:   " + values[i].q + "\n"
                        + "    risk-free rate:   " + values[i].r + "\n"
                        + "    reference date:   " + today + "\n"
                        + "    maturity:         " + values[i].t + "\n"
                        + "    volatility:       " + values[i].v + "\n\n"
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       final double maturity = rfdc.yearFraction(referenceDate, maturityDate);

       final StochasticProcess1D bs = new GeneralizedBlackScholesProcess(process.stateVariable(), flatDividends, flatRiskFree, flatVol);
       final TimeGrid grid = new TimeGrid(maturity, timeSteps);
       final Tree tree = (Tree)getTreeInstance(bs, maturity, timeSteps, payoff.strike());

       final BlackScholesDividendLattice<Tree> lattice = new BlackScholesDividendLattice<Tree>(tree, rRate, maturity, timeSteps,
                                                                           rfdc, grid, referenceDate, a.cashFlow);
       final DiscretizedVanillaOption option = new DiscretizedVanillaOption(a, process, grid);
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