Package org.jquantlib.instruments

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

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        controlPrices.setValues(arraySet.get(1).clone());

        final StrikedTypePayoff striked_payoff = (StrikedTypePayoff) (payoff);
        QL.require(striked_payoff != null , "non-striked payoff given"); // TODO: message

        final double variance = process.blackVolatility().currentLink().blackVariance(exerciseDate, striked_payoff.strike());
        final double dividendDiscount = process.dividendYield().currentLink().discount(exerciseDate);
        final double riskFreeDiscount = process.riskFreeRate().currentLink().discount(exerciseDate);
        final double spot = process.stateVariable().currentLink().value();
        final double forwardPrice = spot * dividendDiscount / riskFreeDiscount;

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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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