Package org.jquantlib.instruments

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

908
909
910
911
912
913
914
915
916
917
918
                                    spot.setValue(u);
                                    qRate.setValue(q);
                                    rRate.setValue(r);
                                    vol.setValue(v);

                                    final double value = option.NPV();
                                    double implVol = 0.0; // just to remove a warning...
                                    if (value != 0.0) {
                                        // shift guess somehow
                                        vol.setValue(v*0.5);
                                        if (Math.abs(value-option.NPV()) <= 1.0e-12) {
View Full Code Here
913
914
915
916
917
918
919
920
921
922
923
                                    final double value = option.NPV();
                                    double implVol = 0.0; // just to remove a warning...
                                    if (value != 0.0) {
                                        // shift guess somehow
                                        vol.setValue(v*0.5);
                                        if (Math.abs(value-option.NPV()) <= 1.0e-12) {
                                            // flat price vs vol --- pointless (and
                                            // numerically unstable) to solve
                                            continue;
                                        }

View Full Code Here
924
925
926
927
928
929
930
931
932
933
934
                                        implVol = option.impliedVolatility(value, process, tolerance, maxEvaluations);

                                        if (Math.abs(implVol-v) > tolerance) {
                                            // the difference might not matter
                                            vol.setValue(implVol);
                                            final double value2 = option.NPV();
                                            final double error = Utilities.relativeError(value,value2,u);
                                            if (error > tolerance) {
                                                fail(
                                                        type + " option :\n"
                                                        + "    spot value:          " + u + "\n"
View Full Code Here
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
                                    expected.clear();
                                    calculated.clear();

                                    final double refNPV = refOption.NPV();
                                    final double optNPV = option.NPV();

                                    expected.put("value", refNPV);
                                    calculated.put("value", optNPV);

                                    if (testGreeks && option.NPV() > spot.value() * 1.0e-5) {
View Full Code Here
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
                                    final double optNPV = option.NPV();

                                    expected.put("value", refNPV);
                                    calculated.put("value", optNPV);

                                    if (testGreeks && option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
View Full Code Here
252
253
254
255
256
257
258
259
260
261
262
                                    expected.clear();
                                    calculated.clear();

                                    // FLOATING_POINT_EXCEPTION
                                    expected.put("value", refOption.NPV());
                                    calculated.put("value", option.NPV());

                                    if (option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
View Full Code Here
254
255
256
257
258
259
260
261
262
263
264
                                    // FLOATING_POINT_EXCEPTION
                                    expected.put("value", refOption.NPV());
                                    calculated.put("value", option.NPV());

                                    if (option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
View Full Code Here
147
148
149
150
151
152
153
154
155
156
157
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);

                                /* @Real */ final double calculated = option.NPV();
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value start limit",
                                                   payoff, exercise,
                                                   u, q, r, today, v,
View Full Code Here
279
280
281
282
283
284
285
286
287
288
289
                                rRate.setValue(r);
                                vol.setValue(v);

                                /* @Real */ final double calculated = option.NPV();
                                spot.setValue(u-dividendValue);
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value", payoff, exercise,
                                                   u, q, r, today, v,
                                                   expected, calculated,
View Full Code Here
351
352
353
354
355
356
357
358
359
360
361
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);

                                /* @Real */ final double calculated = option.NPV();
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value", payoff, exercise,
                                                   u, q, r, today, v,
                                                   expected, calculated,
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.