Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.VanillaOption.NPV()

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        bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps-1));
        americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps-1, false));
        if (System.getProperty("EXPERIMENTAL") != null) {
            bNPV = bermudanOption.NPV();
        }
        System.out.printf(fmt, method, europeanOption.NPV(), bNPV, americanOption.NPV() );

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

        europeanOption.setPricingEngine(new AnalyticEuropeanEngine(stochasticProcess));

        return europeanOption.NPV();

}
public static void main(String args[]){
  System.out.println(europeanBlackScholes(30, 4030, 0.05, 0.2, 0.0, "put", 1, 1, 2011, 1, 2, 2011))   ;
}
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                                    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) {
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                                    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;
                                        }

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                                        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"
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                                    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) {
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                                    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());
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                                    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());
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                                    // 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());
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    final double expected = vars.faceAmount
        / 100.0
        * (vars.redemption
            * vars.riskFreeRate.currentLink().discount(
                vars.maturityDate) + vars.conversionRatio
            * euOption.NPV());
    final double error = Math.abs(euZero.NPV() - expected);
    if (error > tolerance) {
      fail("failed to reproduce plain-option price:"
          + "\n    calculated: " + euZero.NPV()
          + "\n    expected:   " + expected + "\n    error:      "
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