List of blackVol() Examples

Examples of blackVol()

Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()

        //Calculating blackVolatility using maturity as 10 days after today and strike as 20
        Double volatility1 = constantVolatility.blackVol(date10.clone(), 20);
        System.out.println("BlackVolatility = "+volatility1);


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        Double volatility2 = constantVolatility.blackVol(date20.clone(), 30);
        System.out.println("BlackVolatility = "+volatility2);


        //Calculating blackVolatility using maturity as 30 days after today and strike as 40
        Double volatility3 = constantVolatility.blackVol(date30.clone(), 40);
        System.out.println("BlackVolatility = "+volatility3);

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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()

        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        Double volatility2 = constantVolatility.blackVol(date20.clone(), 30);
        System.out.println("BlackVolatility = "+volatility2);


        //Calculating blackVolatility using maturity as 30 days after today and strike as 40
        Double volatility3 = constantVolatility.blackVol(date30.clone(), 40);
        System.out.println("BlackVolatility = "+volatility3);


        //The volatilities calculated above are same as it's constant volatility termstructure
        if(volatility1.equals(volatility2) && volatility2.equals(volatility3)){
            System.out.println("All the volatilities calculated above are same and = "+volatility1);

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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()

        //and see the change getting reflected to all the calculations done above.
        volatilityQuote.setValue(0.04) ;
        constantVolatility = new BlackConstantVol(2,new UnitedStates(Market.NYSE),handleToVolatilityQuote, new Actual365Fixed());


        //Calculating blackVolatility using maturity as 10 days after today and strike as 20
        volatility1 = constantVolatility.blackVol(date10.clone(), 20);
        System.out.println("BlackVolatility = "+volatility1);


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        volatility2 = constantVolatility.blackVol(date20.clone(), 30);
        System.out.println("BlackVolatility = "+volatility2);

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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()

        //Calculating blackVolatility using maturity as 10 days after today and strike as 20
        volatility1 = constantVolatility.blackVol(date10.clone(), 20);
        System.out.println("BlackVolatility = "+volatility1);


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        volatility2 = constantVolatility.blackVol(date20.clone(), 30);
        System.out.println("BlackVolatility = "+volatility2);


        volatility3 = constantVolatility.blackVol(date30.clone(), 40);
        System.out.println("BlackVolatility = "+volatility3);

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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        volatility2 = constantVolatility.blackVol(date20.clone(), 30);
        System.out.println("BlackVolatility = "+volatility2);


        volatility3 = constantVolatility.blackVol(date30.clone(), 40);
        System.out.println("BlackVolatility = "+volatility3);


        //The volatilities calculated above are same as it's constant volatility termstructure
        if(volatility1.equals(volatility2) && volatility2.equals(volatility3)){
            System.out.println("All the volatilities calculated above are same and = "+volatility1);

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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()

        //Let's set the quoteValue = 0.05 and use the constantVolatility a BlackConstantVol
        volatilityQuote.setValue(0.05);
        final LocalVolTermStructure localConstantVolatility = new LocalConstantVol(2,new UnitedStates(Market.NYSE),handleToVolatilityQuote, new Actual365Fixed());


        //Calculating blackVolatility using maturity as 10 days after today and strike as 20
        if(constantVolatility.blackVol(date10.clone(), 20) == localConstantVolatility.localVol(date10.clone(), 20,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date10.clone(), 20,true));
        }


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        if(constantVolatility.blackVol(date20.clone(), 30) == localConstantVolatility.localVol(date20.clone(), 30,true)){

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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()

        if(constantVolatility.blackVol(date10.clone(), 20) == localConstantVolatility.localVol(date10.clone(), 20,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date10.clone(), 20,true));
        }


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        if(constantVolatility.blackVol(date20.clone(), 30) == localConstantVolatility.localVol(date20.clone(), 30,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date20.clone(), 30,true));
        }


        //Calculating blackVolatility using maturity as 30 days after today and strike as 40
        if(constantVolatility.blackVol(date30.clone(), 40) == localConstantVolatility.localVol(date30.clone(), 40,true)){

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Examples of org.jquantlib.termstructures.BlackVolatilityTermStructure.blackVol()

        if(constantVolatility.blackVol(date20.clone(), 30) == localConstantVolatility.localVol(date20.clone(), 30,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date20.clone(), 30,true));
        }


        //Calculating blackVolatility using maturity as 30 days after today and strike as 40
        if(constantVolatility.blackVol(date30.clone(), 40) == localConstantVolatility.localVol(date30.clone(), 40,true)){
            System.out.println("BlackVolatility and LocalVolatility are same and are = "+localConstantVolatility.localVol(date30.clone(), 40,true));
        }


        System.out.println("//================================LocalVolCurve==========================================");

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Examples of org.jquantlib.termstructures.volatilities.BlackConstantVol.blackVol()

            if (BlackConstantVol.class.isAssignableFrom(klass)) {
                // ok, the local volatility is constant too.
                final BlackConstantVol constVol = (BlackConstantVol) blackVolatility.currentLink();
                localVolatility.linkTo(new LocalConstantVol(
                        constVol.referenceDate(),
                        constVol.blackVol(/*@Time*/0.0, /*@Real*/x0.currentLink().value()), constVol.dayCounter()));
                updated = true;
                return localVolatility;
            }


            // ok, so it's not constant. Maybe it's strike-independent?

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Examples of org.jquantlib.termstructures.volatilities.BlackConstantVol.blackVol()

        final SimpleQuote volatilityQuote = new SimpleQuote(0.3);
        final RelinkableHandle<Quote>  handleToVolatilityQuote = new RelinkableHandle<Quote>(volatilityQuote);
        BlackVolatilityTermStructure constantVolatility = new BlackConstantVol(2,new UnitedStates(Market.NYSE),handleToVolatilityQuote, new Actual365Fixed());


        //Calculating blackVolatility using maturity as 10 days after today and strike as 20
        Double volatility1 = constantVolatility.blackVol(date10.clone(), 20);
        System.out.println("BlackVolatility = "+volatility1);


        //Calculating blackVolatility using maturity as 20 days after today and strike as 30
        Double volatility2 = constantVolatility.blackVol(date20.clone(), 30);
        System.out.println("BlackVolatility = "+volatility2);

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