Examples of org.jquantlib.exercise.Exercise


        for (final AmericanOptionData juValue : juValues) {


            final StrikedTypePayoff payoff = new PlainVanillaPayoff(juValue.type, juValue.strike);
            final Date exDate = today.add(timeToDays(juValue.t));
            final Exercise exercise = new AmericanExercise(today, exDate);


            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
            rRate.setValue(juValue.r);
            vol.setValue(juValue.v);

            final SimpleQuote           vol   = new SimpleQuote(0.0);
            final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);


            final StrikedTypePayoff payoff = new PlainVanillaPayoff(juValue.type, juValue.strike);
            final Date exDate = today.add(timeToDays(juValue.t));
            final Exercise exercise = new AmericanExercise(today, exDate);


            spot.setValue(juValue.s);
            qRate.setValue(juValue.q);
            rRate.setValue(juValue.r);
            vol.setValue(juValue.v);

        for (final Type type : types) {
            for (final double strike : strikes) {
                for (final int year : years) {


                    final Date exDate = today.add(new Period(year, TimeUnit.Years));
                    final Exercise exercise = new AmericanExercise(today, exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);


                    final BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
                            new Handle<Quote>(spot),
                            new Handle<YieldTermStructure>(qTS),

Related Classes of org.jquantlib.exercise.Exercise

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