Package org.jquantlib.instruments

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

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            final double /* @Real */temp_chi_prime = (2 * b / spot) * Math.log(spot / Sk);
            final double /* @Real */chi_prime = temp_chi_prime + c / spot;
            final double /* @Real */chi_double_prime = 2 * b / (spot * spot) - temp_chi_prime / spot - c / (spot * spot);
            greeks.delta = phi * dividendDiscount * cumNormalDist.op(phi * d1_Sk)
            + (lambda / (spot * (1 - chi)) + chi_prime / ((1 - chi)*(1 - chi))) *
            (phi * (Sk - payoff.strike()) - black_Sk) * Math.pow((spot/Sk), lambda);

            greeks.gamma = phi * dividendDiscount * normalDist.op(phi*d1_Sk) /
            (spot * Math.sqrt(variance))
            + (2 * lambda * chi_prime / (spot * (1 - chi) * (1 - chi))
                    + 2 * chi_prime * chi_prime / ((1 - chi) * (1 - chi) * (1 - chi))
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            (spot * Math.sqrt(variance))
            + (2 * lambda * chi_prime / (spot * (1 - chi) * (1 - chi))
                    + 2 * chi_prime * chi_prime / ((1 - chi) * (1 - chi) * (1 - chi))
                    + chi_double_prime / ((1 - chi) * (1 - chi))
                    + lambda * (1 - lambda) / (spot * spot * (1 - chi)))
                    * (phi * (Sk - payoff.strike()) - black_Sk)
                    * Math.pow((spot/Sk), lambda);
        }

    } // end of "early exercise can be optimal"

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        /*@Real*/ double Nx_1, nx_1;
        final CumulativeNormalDistribution CND = new CumulativeNormalDistribution();
        final NormalDistribution ND = new NormalDistribution();

        if (sigG > Constants.QL_EPSILON) {
            /*@Real*/ final double x_1  = (muG-Math.log(payoff.strike())+variance)/sigG;
            Nx_1 = CND.op(x_1);
            nx_1 = ND.op(x_1);
        } else {
            Nx_1 = (muG > Math.log(payoff.strike()) ? 1.0 : 0.0);
            nx_1 = 0.0;
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        if (sigG > Constants.QL_EPSILON) {
            /*@Real*/ final double x_1  = (muG-Math.log(payoff.strike())+variance)/sigG;
            Nx_1 = CND.op(x_1);
            nx_1 = ND.op(x_1);
        } else {
            Nx_1 = (muG > Math.log(payoff.strike()) ? 1.0 : 0.0);
            nx_1 = 0.0;
        }
        greeks.vega = forwardPrice * riskFreeDiscount * ( (dmuG_dsig + sigG * dsigG_dsig)*Nx_1 + nx_1*dsigG_dsig );

        if (payoff.optionType() == Option.Type.Put) {
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        final /*@DiscountFactor*/ double dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        final /*@DiscountFactor*/ double riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        final double forwardPrice = spot * dividendDiscount / riskFreeDiscount;

        final double variance = process.blackVolatility().currentLink().blackVariance(a.exercise.lastDate(), payoff.strike());
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);

        r.value = black.value();
        greeks.delta = black.delta(spot);
        greeks.gamma = black.gamma(spot);
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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /*@Real*/ variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /*@DiscountFactor*/ dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /*@DiscountFactor*/ riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /*@Real*/ spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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            // early exercise can be optimal
            final CumulativeNormalDistribution cumNormalDist = new CumulativeNormalDistribution();
            final double /*@Real*/ tolerance = 1e-6;
            final double /*@Real*/ Sk = criticalPrice(payoff, riskFreeDiscount, dividendDiscount, variance, tolerance);
            final double /*@Real*/ forwardSk = Sk * dividendDiscount / riskFreeDiscount;
            final double /*@Real*/ d1 = (Math.log(forwardSk/payoff.strike()) + 0.5*variance)/Math.sqrt(variance);
            final double /*@Real*/ n = 2.0*Math.log(dividendDiscount/riskFreeDiscount)/variance;
            final double /*@Real*/ K = -2.0*Math.log(riskFreeDiscount)/(variance*(1.0-riskFreeDiscount));
            double /*@Real*/ Q, a;
            switch (payoff.optionType()) {
            case Call:
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                Q = (-(n-1.0) + Math.sqrt(((n-1.0)*(n-1.0))+4.0*K))/2.0;
                a =  (Sk/Q) * (1.0 - dividendDiscount * cumNormalDist.op(d1));
                if (spot<Sk)
                    r.value = black.value() + a * Math.pow((spot/Sk), Q);
                else
                    r.value = spot - payoff.strike();
                break;
            case Put:
                Q = (-(n-1.0) - Math.sqrt(((n-1.0)*(n-1.0))+4.0*K))/2.0;
                a = -(Sk/Q) * (1.0 - dividendDiscount * cumNormalDist.op(-d1));
                if (spot>Sk)
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                Q = (-(n-1.0) - Math.sqrt(((n-1.0)*(n-1.0))+4.0*K))/2.0;
                a = -(Sk/Q) * (1.0 - dividendDiscount * cumNormalDist.op(-d1));
                if (spot>Sk)
                    r.value = black.value() + a * Math.pow((spot/Sk), Q);
                else
                    r.value = payoff.strike() - spot;
                break;
            default:
                throw new LibraryException(UNKNOWN_OPTION_TYPE); // QA:[RG]::verified
            }
        } // end of "early exercise can be optimal"
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    protected void ensureStrikeInGrid() {
        // ensure strike is included in the grid
        final StrikedTypePayoff striked_payoff = (StrikedTypePayoff) (payoff);
        if (striked_payoff == null)
            return;
        /* Real */final double requiredGridValue = striked_payoff.strike();

        if (sMin > requiredGridValue / safetyZoneFactor) {
            sMin = requiredGridValue / safetyZoneFactor;
            // enforce central placement of the underlying
            sMax = center / (sMin / center);
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