Package org.jquantlib.instruments

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

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        System.out.printf(fmt, method, europeanOption.NPV(), Double.NaN, Double.NaN );

        // Barone-Adesi and Whaley approximation for American
        method = "Barone-Adesi/Whaley";
        americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Bjerksund and Stensland approximation for American
        method = "Bjerksund/Stensland";
        americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );
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        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Bjerksund and Stensland approximation for American
        method = "Bjerksund/Stensland";
        americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Ju Quadratic approximation for American
        method = "Ju Quadratic";
        americanOption.setPricingEngine(new JuQuadraticApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );
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        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Ju Quadratic approximation for American
        method = "Ju Quadratic";
        americanOption.setPricingEngine(new JuQuadraticApproximationEngine(bsmProcess));
        System.out.printf(fmt, method, Double.NaN, Double.NaN, americanOption.NPV() );

        // Integral
        method = "Integral";
        europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
        System.out.printf(fmt, method, europeanOption.NPV(), Double.NaN, Double.NaN );
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        americanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(JarrowRudd.class, bsmProcess, timeSteps));
        double bNPV = Double.NaN;
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        method = "Binomial Cox-Ross-Rubinstein";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
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        bermudanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(CoxRossRubinstein.class, bsmProcess, timeSteps));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        method = "Additive EquiProbabilities";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
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        bermudanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(AdditiveEQPBinomialTree.class, bsmProcess, timeSteps));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        method = "Binomial Trigeorgis";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(Trigeorgis.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(Trigeorgis.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(Trigeorgis.class, bsmProcess, timeSteps));
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        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(Trigeorgis.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(Trigeorgis.class, bsmProcess, timeSteps));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        method = "Binomial Tian";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(Tian.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(Tian.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(Tian.class, bsmProcess, timeSteps));
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        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(Tian.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(Tian.class, bsmProcess, timeSteps));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        method = "Binomial Leisen-Reimer";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(LeisenReimer.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(LeisenReimer.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(LeisenReimer.class, bsmProcess, timeSteps));
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        bermudanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(LeisenReimer.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(LeisenReimer.class, bsmProcess, timeSteps));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

        method = "Binomial Joshi";
        europeanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
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        bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(Joshi4.class, bsmProcess, timeSteps));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );


        //
        //
        //
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