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.barchart.feed.api.model.data.Book.Entry.price()

        
        Entry entry = top.ask();
        
        if (!entry.isNull()) {
          sb.append(" ASK TOP").append(" price=")
              .append(entry.price().asDouble())
              .append(" qty=").append(entry.size().asDouble());
        }
        
        entry = top.bid();

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Examples of com.barchart.feed.api.model.data.Book.Entry.price()

        
        entry = top.bid();
        
        if (!entry.isNull()) {
          sb.append(" BID TOP").append(" price=")
              .append(entry.price().asDouble())
              .append(" qty=").append(entry.size().asDouble());
        }


        System.out.println(sb.toString());

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Examples of com.barchart.feed.api.model.data.Book.Entry.price()

        
        Entry entry = top.ask();
        
        if (!entry.isNull()) {
          sb.append(" ASK TOP").append(" price=")
              .append(entry.price().asDouble())
              .append(" qty=").append(entry.size().asDouble());
        }
        
        entry = top.bid();

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Examples of com.barchart.feed.api.model.data.Book.Entry.price()

        
        entry = top.bid();
        
        if (!entry.isNull()) {
          sb.append(" BID TOP").append(" price=")
              .append(entry.price().asDouble())
              .append(" qty=").append(entry.size().asDouble());
        }


        System.out.println(sb.toString());

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Examples of com.barchart.feed.base.book.api.MarketBookEntry.price()


          MarketBookEntry entry = top.side(MarketBookSide.ASK);


          if (!entry.isNull()) {
            sb.append(" ASK TOP").append(" price=")
                .append(ValueUtil.asDouble(entry.price()))
                .append(" qty=").append(entry.size().asLong());
          }


          entry = top.side(MarketBookSide.BID);

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Examples of com.barchart.feed.base.book.api.MarketBookEntry.price()


          entry = top.side(MarketBookSide.BID);


          if (!entry.isNull()) {
            sb.append(" BID TOP").append(" price=")
                .append(ValueUtil.asDouble(entry.price()))
                .append(" qty=").append(entry.size().asLong());
          }


          final MarketBar barCurrent = value
              .get(MarketField.BAR_CURRENT);

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

    final double pdePrice = pricer.price(s0, k, r, b, t, sigma, isCall, isAmerican, sSteps, tSteps);
    final double endTime = System.nanoTime() / 1e6;
    final double duration = endTime - startTime;




    final double amPrice = amPricer.price(s0, k, r, b, t, sigma, isCall);
    final double relErr = Math.abs(1 - pdePrice / amPrice);
    System.out.println(tSteps + "\t" + sSteps + "\t" + duration + df * fwd + "\t" + amPrice + "\t" + pdePrice + "\t" + relErr);


  }
}

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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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    return pvbpModified * sabrExtrapolation.price(option) * (swaption.isLong() ? 1.0 : -1.0);
  }


  /**
   * Computes the present value rate sensitivity to rates of a physical delivery European swaption in the SABR model with extrapolation to the right.
   * @param swaption The swaption.

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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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(sabrExtrapolation.price(option));
    final double priceDF = sabrExtrapolation.priceDerivativeForward(option);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * priceDF));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }

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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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    return MultipleCurrencyAmount.of(ccy, pvbpModified * sabrExtrapolation.price(option) * (swaption.isLong() ? 1.0 : -1.0));
  }


  /**
   * Computes the present value rate sensitivity to rates of a physical delivery European swaption in the SABR model with extrapolation to the right.
   * @param swaption The swaption.

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