Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.VanillaOption$EngineImpl


                for (final int length : lengths) {
                    // option to check
                    final Date exDate = today.add( length );
                    final Exercise exercise = new EuropeanExercise(exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike2);
                    final VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic, 0, 0);

                    final GeneralizedBlackScholesProcess process = makeProcess(spot, qTS, rTS,volTS);

                    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);

                                    final double value = option.NPV();
                                    double implVol = 0.0; // just to remove a warning...
                                    if (value != 0.0) {
                                        // shift guess somehow
                                        vol.setValue(v*0.5);
                                        if (Math.abs(value-option.NPV()) <= 1.0e-12) {
                                            // flat price vs vol --- pointless (and
                                            // numerically unstable) to solve
                                            continue;
                                        }

                                        implVol = option.impliedVolatility(value, process, tolerance, maxEvaluations);

                                        if (Math.abs(implVol-v) > tolerance) {
                                            // the difference might not matter
                                            vol.setValue(implVol);
                                            final double value2 = option.NPV();
                                            final double error = Utilities.relativeError(value,value2,u);
                                            if (error > tolerance) {
                                                fail(
                                                        type + " option :\n"
                                                        + "    spot value:          " + u + "\n"
View Full Code Here


                    final Exercise exercise = new EuropeanExercise(exDate);

                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike3);

                    // reference option
                    final VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic, 0, 0);
                    // option to check
                    final VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS, engine, binomialSteps, samples);

                    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);

                                    expected.clear();
                                    calculated.clear();

                                    final double refNPV = refOption.NPV();
                                    final double optNPV = option.NPV();

                                    expected.put("value", refNPV);
                                    calculated.put("value", optNPV);

                                    if (testGreeks && option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
                                        calculated.put("theta", option.theta());
                                    }

                                    for (final Entry<String, Double> entry : calculated.entrySet()) {
                                        final String greek = entry.getKey();
                                        final double expct = expected.get(greek), calcl = calculated.get(greek), tol = tolerance.get(greek);
View Full Code Here

            default:
                throw new UnsupportedOperationException("unknown engine type: "+engineType);
        }

        final VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);
        return option;
    }
View Full Code Here

                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
                new Handle<BlackVolTermStructure>(volTS));
        final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);

        VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);

        if (error > tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing delta 2
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);
        if(error>tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing elasticity
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.elasticity();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("elasticity", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        // testing gamma 1
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.gamma();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("gamma", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        // testing gamma 2
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.gamma();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("gamma", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing vega 1
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.vega();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("vega", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing vega 2
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.vega();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("vega", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing theta
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.theta();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("theta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }


        //testing theta per day
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.thetaPerDay();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("theta per day", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }


        //testing rho
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.rho();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("rho", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

        //testing dividend rho
        i++;
        payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
        exDate = today.add(timeToDays(values[i].t));
        exercise = new EuropeanExercise(exDate);
        spot.setValue(values[i].s);
        qRate.setValue(values[i].q);
        rRate.setValue(values[i].r);
        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.dividendRho();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("dividend rho", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }
View Full Code Here

                    final Date exDate = today.add(length * 360);
                    final Exercise exercise = new EuropeanExercise(exDate);
                    final StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);

                    // reference option
                    final VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS, EngineType.Analytic,
                            Constants.NULL_INTEGER, Constants.NULL_INTEGER);

                    // option to check
                    final VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS, engine, binomialSteps, samples);

                    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);

                                    expected.clear();
                                    calculated.clear();

                                    // FLOATING_POINT_EXCEPTION
                                    expected.put("value", refOption.NPV());
                                    calculated.put("value", option.NPV());

                                    if (option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
                                        calculated.put("theta", option.theta());
                                    }
                                    for (final Map.Entry<String, Double> it : calculated.entrySet()) {

                                        final String greek = it.getKey();
                                        /* @Real */final double expct = expected.get(greek);
View Full Code Here

            break;
        default:
            throw new IllegalStateException("unknown engine type");
        }

        final VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);
        return option;
    }
View Full Code Here

                  final PricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);

                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);
                  ref_option.setPricingEngine(ref_engine);

                  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 calculated = option.NPV();
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value start limit",
                                                   payoff, exercise,
                                                   u, q, r, today, v,
View Full Code Here

                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
                  option.setPricingEngine(engine);

                  final VanillaOption ref_option = new VanillaOption(payoff, exercise);
                  ref_option.setPricingEngine(ref_engine);

                  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 calculated = option.NPV();
                                spot.setValue(u-dividendValue);
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value", payoff, exercise,
                                                   u, q, r, today, v,
                                                   expected, calculated,
View Full Code Here

                  final PricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);

                  final DividendVanillaOption option = new DividendVanillaOption(payoff, exercise,dividendDates, dividends);
                  option.setPricingEngine(engine);

                  final VanillaOption ref_option = new VanillaOption(refPayoff, exercise);
                  ref_option.setPricingEngine(ref_engine);

                  for (final double u : underlyings)
                    for (final double q : qRates)
                        for (final double r : rRates)
                            for (final double v : vols) {
                                /* @Volatility */ spot.setValue(u);
                                qRate.setValue(q);
                                rRate.setValue(r);
                                vol.setValue(v);

                                /* @Real */ final double calculated = option.NPV();
                                /* @Real */ final double expected = ref_option.NPV();
                                /* @Real */ final double error = Math.abs(calculated-expected);
                                if (error > tolerance)
                                    REPORT_FAILURE("value", payoff, exercise,
                                                   u, q, r, today, v,
                                                   expected, calculated,
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        final Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
        final Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
        final Payoff payoff = new PlainVanillaPayoff(type, strike);

        // European Options
        final VanillaOption europeanOption = new EuropeanOption(payoff, europeanExercise);

        // Bermundan options (can be thought as a collection of European Options)
        final VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise);

        // American Options
        final VanillaOption americanOption = new VanillaOption(payoff, americanExercise);

        // define line formatting
        //              "         0         1         2         3         4         5         6         7         8"
        //              "123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890"
        //              "Method                                       European      Bermudan      American      ";
View Full Code Here

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