Package org.jquantlib.termstructures

Examples of org.jquantlib.termstructures.BlackVolTermStructure


        final SimpleQuote spot = new SimpleQuote(0.0);
        final YieldTermStructure qTS = Utilities.flatRate(today, q, dc);
        final YieldTermStructure rTS = Utilities.flatRate(today, r, dc);

        final BlackVolTermStructure volTS = Utilities.flatVol(today, sigma, dc);

        final GeneralizedBlackScholesProcess stochProcess = new GeneralizedBlackScholesProcess(
                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
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Related Classes of org.jquantlib.termstructures.BlackVolTermStructure

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