Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.ContinuousAveragingAsianOption


        /* @Real */double runningAccumulator = Double.NaN;

        final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
        final Exercise exercise = new EuropeanExercise(exerciseDate);

        final ContinuousAveragingAsianOption option = new ContinuousAveragingAsianOption(averageType, payoff, exercise);
        option.setPricingEngine(engine);

        /* @Real */double calculated = option.NPV();
        /* @Real */final double expected = 4.6922;
        /* @Real */double tolerance = 1.0e-4;

        if (Math.abs(calculated - expected) > tolerance) {
            reportFailure("value", averageType, runningAccumulator, pastFixings, new ArrayList<Date>(), payoff, exercise, spot
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                    final Date exerciseDate = new Date(today.dayOfMonth(), today.month(), today.year() + length);
                    final EuropeanExercise maturity = new EuropeanExercise(exerciseDate);
                    final PlainVanillaPayoff payoff = new PlainVanillaPayoff(type, strike);

                    final ContinuousAveragingAsianOption option = new ContinuousAveragingAsianOption(
                            AverageType.Geometric, payoff, maturity);
                    option.setPricingEngine(engine);

                    /* @Size */final int pastFixings = Integer.MAX_VALUE;
                    /* @Real */final double runningAverage = Double.NaN;

                    for (final double u : underlyings) {
                        for (final double q : qRates) {
                            for (final double r : rRates) {
                                for (final double v : vols) {

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

                                    /* @Real */final double value = option.NPV();
                                    final Map<String, Double> calculated = new HashMap<String, Double>();
                                    calculated.put("delta", option.delta());
                                    calculated.put("gamma", option.gamma());
                                    calculated.put("theta", option.theta());
                                    calculated.put("rho", option.rho());
                                    calculated.put("divRho", option.dividendRho());
                                    calculated.put("vega", option.vega());

                                    final Map<String, Double> expected = new HashMap<String, Double>();
                                    if (value > spot.value() * 1.0e-5) {
                                        // perturb spot and get delta and gamma
                                        /* @Real */final double du = u * 1.0e-4;
                                        spot.setValue(u + du);
                                        /* @Real */double value_p = option.NPV();
                                        /* @Real */final double delta_p = option.delta();
                                        spot.setValue(u - du);
                                        /* @Real */double value_m = option.NPV();
                                        /* @Real */final double delta_m = option.delta();
                                        spot.setValue(u);
                                        expected.put("delta", (value_p - value_m) / (2 * du));
                                        expected.put("gamma", (delta_p - delta_m) / (2 * du));

                                        // perturb rates and get rho and dividend rho
                                        /* @Spread */final double dr = r * 1.0e-4;
                                        rRate.setValue(r + dr);
                                        value_p = option.NPV();
                                        rRate.setValue(r - dr);
                                        value_m = option.NPV();
                                        rRate.setValue(r);
                                        expected.put("rho", (value_p - value_m) / (2 * dr));

                                        /* @Spread */final double dq = q * 1.0e-4;
                                        qRate.setValue(q + dq);
                                        value_p = option.NPV();
                                        qRate.setValue(q - dq);
                                        value_m = option.NPV();
                                        qRate.setValue(q);
                                        expected.put("divRho", (value_p - value_m) / (2 * dq));

                                        // perturb volatility and get vega
                                        /* @Volatility */final double dv = v * 1.0e-4;
                                        vol.setValue(v + dv);
                                        value_p = option.NPV();
                                        vol.setValue(v - dv);
                                        value_m = option.NPV();
                                        vol.setValue(v);
                                        expected.put("vega", (value_p - value_m) / (2 * dv));

                                        // perturb date and get theta
                                        final Date yesterday = today.sub(1);
                                        final Date tomorrow = today.add(1);
                                        /* @Time */final double dT = dc.yearFraction(yesterday, tomorrow);
                                        new Settings().setEvaluationDate(yesterday);
                                        value_m = option.NPV();
                                        new Settings().setEvaluationDate(tomorrow);
                                        value_p = option.NPV();
                                        expected.put("theta", (value_p - value_m) / dT);
                                        new Settings().setEvaluationDate(today);
                                        // compare
                                        for (final Entry<String, Double> greek : calculated.entrySet()) {
                                            /* @Real */final double expct = expected.get(greek.getKey());
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