Examples of blackVariance()

Examples of org.jquantlib.termstructures.volatilities.BlackVarianceCurve.blackVariance()

357
358
359
360
361
362
363
364
365
366
367
            System.out.println("Interpolated BlackForwardVolatility on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+forwardVolatility3);
        }


        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        final double variance = varianceCurve.blackVariance(date12.clone(), 20);
        final double impliedVariance = impliedVolTermStructure.blackVariance(date12.clone(), 20);
        if(variance == impliedVariance){
            System.out.println("Interpolated BlackVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackVariance(date12.clone(), 20));
        }
View Full Code Here

Examples of org.jquantlib.termstructures.volatilities.BlackVarianceCurve.blackVariance()

360
361
362
363
364
365
366
367
368
369
370
        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        final double variance = varianceCurve.blackVariance(date12.clone(), 20);
        final double impliedVariance = impliedVolTermStructure.blackVariance(date12.clone(), 20);
        if(variance == impliedVariance){
            System.out.println("Interpolated BlackVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackVariance(date12.clone(), 20));
        }

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        final double forwardVariance = varianceCurve.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
        final double impliedForwardVariance = impliedVolTermStructure.blackForwardVariance(date12.clone(), date16.clone(), 20, true);
View Full Code Here

Examples of org.jquantlib.termstructures.volatilities.BlackVarianceSurface.blackVariance()

296
297
298
299
300
301
302
303
304
305
306
        forwardVolatility3 = varianceSurface.blackForwardVol(date27.clone(), date35.clone(), 50, true);
        System.out.println("Interpolated BlackForwardVolatility on BlackVarianceSurface = "+forwardVolatility3);


        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        System.out.println("Interpolated BlackVariance on BlackVarianceSurface = "+varianceSurface.blackVariance(date12.clone(), 20));

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
        System.out.println("Interpolated BlackForwardVariance on BlackVarianceSurface = "+varianceSurface.blackForwardVariance(date12.clone(), date16.clone(), 20, true));

        System.out.println("//================================ImpliedVolTermStructure=============================");
View Full Code Here

Examples of org.jquantlib.termstructures.volatilities.ImpliedVolTermStructure.blackVariance()

358
359
360
361
362
363
364
365
366
367
368
        }


        //Calculating blackVariance using maturity as 12 days after today and strike as 20
        final double variance = varianceCurve.blackVariance(date12.clone(), 20);
        final double impliedVariance = impliedVolTermStructure.blackVariance(date12.clone(), 20);
        if(variance == impliedVariance){
            System.out.println("Interpolated BlackVariance on BlackVarianceCurve is same for varianceCurve and ImpliedVolTermStructure derived on it and = "+varianceCurve.blackVariance(date12.clone(), 20));
        }

        //Calculating blackForwardVariance between 12 days after today and 16 days after today with strike as 20
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.