Package org.jquantlib.instruments

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

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            final PricingEngine engine = new BjerksundStenslandApproximationEngine(stochProcess);

            final VanillaOption option = new VanillaOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double /* @Real */calculated = option.NPV();
            final double /* @Real */error = Math.abs(calculated - value.result);

            if (error > tolerance) {
                reportFailure(
                        "value", payoff, exercise,
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            final PricingEngine engine = new BaroneAdesiWhaleyApproximationEngine(stochProcess);

            final VanillaOption option = new VanillaOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double /* @Real */calculated = option.NPV();
            final double /* @Real */error = Math.abs(calculated - value.result);

            if (error > tolerance) {
                reportFailure(
                        "value", payoff, exercise,
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            final PricingEngine engine = new JuQuadraticApproximationEngine(stochProcess);

            final VanillaOption option = new VanillaOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double calculated = option.NPV();
            final double error = Math.abs(calculated - juValue.result);

            if (error > tolerance) {
                reportFailure(
                        "value", payoff, exercise,
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            final PricingEngine engine = new FDAmericanEngine(stochProcess, 100, 100);
            final VanillaOption option = new VanillaOption(payoff, exercise);
            option.setPricingEngine(engine);

            final double calculated = option.NPV();
            final double error = Math.abs(calculated - juValue.result);

            if (error > tolerance) {
                reportFailure(
                        "value", payoff, exercise,
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                                    spot.setValue(u);
                                    qRate.setValue(q);
                                    rRate.setValue(r);
                                    vol.setValue(v);
                                    // FLOATING_POINT_EXCEPTION
                                    final double value = option.NPV();
                                    final double delta = option.delta();
                                    final double gamma = option.gamma();
                                    //final double theta = option.theta();

                                    calculated.put("delta", delta);
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                                    if (value > spot.value() * 1.0e-5) {
                                        // perturb spot and get delta and gamma
                                        final double du = u * 1.0e-4;
                                        spot.setValue(u + du);
                                        final double value_p = option.NPV();
                                        final double delta_p = option.delta();
                                        spot.setValue(u - du);
                                        final double value_m = option.NPV();
                                        final double delta_m = option.delta();
                                        spot.setValue(u);
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                                        final double du = u * 1.0e-4;
                                        spot.setValue(u + du);
                                        final double value_p = option.NPV();
                                        final double delta_p = option.delta();
                                        spot.setValue(u - du);
                                        final double value_m = option.NPV();
                                        final double delta_m = option.delta();
                                        spot.setValue(u);
                                        expected.put("delta", (value_p - value_m) / (2 * du));
                                        expected.put("gamma", (delta_p - delta_m) / (2 * du));

 
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