Examples of strike()

Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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            final double /* @Real */temp_chi_prime = (2 * b / spot) * Math.log(spot / Sk);
            final double /* @Real */chi_prime = temp_chi_prime + c / spot;
            final double /* @Real */chi_double_prime = 2 * b / (spot * spot) - temp_chi_prime / spot - c / (spot * spot);
            greeks.delta = phi * dividendDiscount * cumNormalDist.op(phi * d1_Sk)
            + (lambda / (spot * (1 - chi)) + chi_prime / ((1 - chi)*(1 - chi))) *
            (phi * (Sk - payoff.strike()) - black_Sk) * Math.pow((spot/Sk), lambda);

            greeks.gamma = phi * dividendDiscount * normalDist.op(phi*d1_Sk) /
            (spot * Math.sqrt(variance))
            + (2 * lambda * chi_prime / (spot * (1 - chi) * (1 - chi))
                    + 2 * chi_prime * chi_prime / ((1 - chi) * (1 - chi) * (1 - chi))
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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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            (spot * Math.sqrt(variance))
            + (2 * lambda * chi_prime / (spot * (1 - chi) * (1 - chi))
                    + 2 * chi_prime * chi_prime / ((1 - chi) * (1 - chi) * (1 - chi))
                    + chi_double_prime / ((1 - chi) * (1 - chi))
                    + lambda * (1 - lambda) / (spot * spot * (1 - chi)))
                    * (phi * (Sk - payoff.strike()) - black_Sk)
                    * Math.pow((spot/Sk), lambda);
        }

    } // end of "early exercise can be optimal"

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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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    protected void ensureStrikeInGrid() {
        // ensure strike is included in the grid
        final StrikedTypePayoff striked_payoff = (StrikedTypePayoff) (payoff);
        if (striked_payoff == null)
            return;
        /* Real */final double requiredGridValue = striked_payoff.strike();

        if (sMin > requiredGridValue / safetyZoneFactor) {
            sMin = requiredGridValue / safetyZoneFactor;
            // enforce central placement of the underlying
            sMax = center / (sMin / center);
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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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    public void calculate() {
        QL.require(a.exercise.type()==Exercise.Type.European , NOT_AN_AMERICAN_OPTION); // QA:[RG]::verified // TODO: message
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKED_PAYOFF_GIVEN); // QA:[RG]::verified // TODO: message
        final StrikedTypePayoff payoff = (StrikedTypePayoff) a.payoff;

        final double variance = process.blackVolatility().currentLink().blackVariance(a.exercise.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        final double /* @Rate */drift = Math.log(dividendDiscount / riskFreeDiscount) - 0.5 * variance;

        final Integrand f = new Integrand(a.payoff, process.stateVariable().currentLink().value(), drift, variance);
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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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        final /*@DiscountFactor*/ double dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        final /*@DiscountFactor*/ double riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        final double forwardPrice = spot * dividendDiscount / riskFreeDiscount;

        final double variance = process.blackVolatility().currentLink().blackVariance(a.exercise.lastDate(), payoff.strike());
        final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);

        r.value = black.value();
        greeks.delta = black.delta(spot);
        greeks.gamma = black.gamma(spot);
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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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        controlPrices.setValues(arraySet.get(1).clone());

        final StrikedTypePayoff striked_payoff = (StrikedTypePayoff) (payoff);
        QL.require(striked_payoff != null , "non-striked payoff given"); // QA:[RG]::verified // TODO: message

        final double variance = process.blackVolatility().currentLink().blackVariance(exerciseDate, striked_payoff.strike());
        final double dividendDiscount = process.dividendYield().currentLink().discount(exerciseDate);
        final double riskFreeDiscount = process.riskFreeRate().currentLink().discount(exerciseDate);
        final double spot = process.stateVariable().currentLink().value();
        final double forwardPrice = spot * dividendDiscount / riskFreeDiscount;

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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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    public void calculate() /* @ReadOnly */ {
        QL.require(a.exercise.type() == Exercise.Type.European , NOT_AN_EUROPEAN_OPTION); // TODO: message
        final StrikedTypePayoff payoff = (StrikedTypePayoff) a.payoff;
        QL.require(payoff != null , NON_STRIKED_PAYOFF_GIVEN); // TODO: message

        /* @Variance */final double variance = process.blackVolatility().currentLink().blackVariance(a.exercise.lastDate(), payoff.strike());
        /* @DiscountFactor */final double dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        /* @DiscountFactor */final double riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        /* @Real */final double spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        /* @Real */final double forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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    public void calculate() {
        QL.require(a.exercise.type()==Exercise.Type.European , NOT_AN_AMERICAN_OPTION); // TODO: message
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKED_PAYOFF_GIVEN); // TODO: message
        final StrikedTypePayoff payoff = (StrikedTypePayoff) a.payoff;

        final double variance = process.blackVolatility().currentLink().blackVariance(a.exercise.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        final double /* @Rate */drift = Math.log(dividendDiscount / riskFreeDiscount) - 0.5 * variance;

        final Integrand f = new Integrand(a.payoff, process.stateVariable().currentLink().value(), drift, variance);
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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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        double timeSum = 0.0;
        for (int k=0; k<fixingTimes.size(); k++) {
            timeSum += fixingTimes.get(k);
        }

        /*@Volatility*/ final double vola = process.blackVolatility().currentLink().blackVol(a.exercise.lastDate(), payoff.strike());

        /*@Real*/ double temp = 0.0;
        for (i=pastFixings+1; i<numberOfFixings; i++) {
            temp += fixingTimes.get(i-pastFixings-1)*(N-i);
        }
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Examples of org.jquantlib.instruments.StrikedTypePayoff.strike()

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        final AmericanExercise ex = (AmericanExercise)a.exercise;
        QL.require(!ex.payoffAtExpiry() , PAYOFF_AT_EXPIRY_NOT_HANDLED); // QA:[RG]::verified
        QL.require(a.payoff instanceof StrikedTypePayoff , NON_STRIKE_PAYOFF_GIVEN); // QA:[RG]::verified
        final StrikedTypePayoff payoff = (StrikedTypePayoff)a.payoff;

        final double /* @Real */variance = process.blackVolatility().currentLink().blackVariance(ex.lastDate(), payoff.strike());
        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(ex.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        final double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        final double /* @Real */forwardPrice = spot * dividendDiscount / riskFreeDiscount;
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