List of price() Examples

Examples of price()

com.barchart.feed.api.model.data.Book.Entry.price()
com.barchart.feed.base.book.api.MarketBookEntry.price()
com.opengamma.analytics.financial.model.option.pricing.analytic.BjerksundStenslandModel.price()
Get the price of an American option by the Bjerksund and Stensland (2002) approximation. We ensure that the price is the maximum of the no early excise (Black-Scholes price), the immediate exercise value and the Bjerksund-Stensland approximation value @param s0 The spot @param k The strike @param r The risk-free rate @param b The cost-of-carry @param t The time-to-expiry @param sigma The volatility @param isCall true for calls @return The American option price
com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.price()
Computes the option price with numeraire=1. The price is SABR below the cut-off strike and extrapolated beyond. @param option The option. @return The option price.
com.opengamma.analytics.financial.model.option.pricing.fourier.FFTPricer.price()
Price a European option across a range of strikes using a FFT. The terminal price is assumed to be of the form S = F*exp(x), where F is the forward, and x is a random variable with a known characteristic function. @param forward The forward value of the underlying @param discountFactor @param t Time to expiry @param isCall true for call @param ce The Characteristic Exponent (log of characteristic function) of the returns of the underlying @param lowestStrike The lowest strike to return (the actual value will depend on the set up, but is guaranteed to be less than this) @param highestStrike The highest strike to return (the actual value will depend on the set up, but is guaranteed to be greater than this) @param minStrikesDisplayed minimum number of strikes returned (actual number depends on set up) @param limitSigma An estimate of the implied vol used to calculate limits in the numerical routines @param alpha Regularization factor. Values of 0 or -1 are not allowed. -0.5 is recommended @param tol Tolerance - smaller values give higher accuracy @return array of arrays of strikes and prices

Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.price()

    final double rho = SABR_PARAMETERS.getRho(expiryMaturity);
    final double nu = SABR_PARAMETERS.getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, CUT_OFF_STRIKE, CAP_HIGH_LONG.getFixingTime(), MU);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(CAP_HIGH_LONG.getStrike(), CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.isCap());
    final double expectedPrice = sabrExtrapolation.price(option) * CAP_HIGH_LONG.getNotional() * CAP_HIGH_LONG.getPaymentYearFraction() * df;
    assertEquals("Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
    methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    assertEquals("Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
  }

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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.price()

      final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
      final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
      final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
      price = discountFactorSettle * pvbp * sabrExtrapolation.price(swaption) * (swaption.isLong() ? 1.0 : -1.0);
    }
    return price;
  }


  /**

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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.price()

    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double price = sabrExtrapolation.price(swaption);
    result = result.multipliedBy(pvbp * price);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * price + pvbp * sabrExtrapolation.priceDerivativeForward(swaption))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }

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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.price()

      sabrExtra = new SABRExtrapolationRightFunction(FORWARD, SABR_DATA, CUT_OFF_STRIKE, TIME_TO_EXPIRY, mu);


      for (int p = 0; p <= N_PTS; p++) {
        strike = CUT_OFF_STRIKE - RANGE_STRIKE + p * 4.0 * RANGE_STRIKE / N_PTS;
        EuropeanVanillaOption option = new EuropeanVanillaOption(strike, TIME_TO_EXPIRY, true);
        price = sabrExtra.price(option);
        impliedVolatilityPct = implied.getImpliedVolatility(blackData, option, price) * 100;
        out.format("%4.0f\t%1.10f\t%1.10f\t%1.10f%n", mu, price, strike, impliedVolatilityPct);
      }
    }
  }

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Examples of com.opengamma.analytics.financial.model.option.pricing.fourier.FFTPricer.price()


    final int n = 51;
    final double alpha = -0.5;
    final double tol = 1e-12;


    final double[][] strikeNprice = pricer.price(F0, 1.0, T, true, heston, STRIKE / 2, STRIKE * 2, n, 0.2, alpha, tol);


    final int nStrikes = strikeNprice.length;
    final double[] k = new double[nStrikes];
    final double[] price = new double[nStrikes];

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