Package org.jquantlib.instruments

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

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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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    public void calculate() /* @ReadOnly */ {
        QL.require(a.exercise.type() == Exercise.Type.European , NOT_AN_EUROPEAN_OPTION); // QA:[RG]::verified // TODO: message
        final StrikedTypePayoff payoff = (StrikedTypePayoff) a.payoff;
        QL.require(payoff != null , NON_STRIKED_PAYOFF_GIVEN); // QA:[RG]::verified // TODO: message

        /* @Variance */final double variance = process.blackVolatility().currentLink().blackVariance(a.exercise.lastDate(), payoff.strike());
        /* @DiscountFactor */final double dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        /* @DiscountFactor */final double riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        /* @Real */final double spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        /* @Real */final double forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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        double timeSum = 0.0;
        for (int k=0; k<fixingTimes.size(); k++) {
            timeSum += fixingTimes.get(k);
        }

        /*@Volatility*/ final double vola = process.blackVolatility().currentLink().blackVol(a.exercise.lastDate(), payoff.strike());

        /*@Real*/ double temp = 0.0;
        for (i=pastFixings+1; i<numberOfFixings; i++) {
            temp += fixingTimes.get(i-pastFixings-1)*(N-i);
        }
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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 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"); // QA:[RG]::verified // 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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        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"); // QA:[RG]::verified // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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