Package org.jquantlib.processes

Examples of org.jquantlib.processes.GeneralizedBlackScholesProcess.variance()


        //The standard deviation = volatility*sqrt(dt)
        System.out.println("The stdDeviation of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.stdDeviation(process.time(date18.clone()), handleToStockQuote.currentLink().value(), 0.01));

        //Calulating the variance of the process after time = 18th day from today with value of the stock as specified from the quote
        //The variance = volatility*volatility*dt
        System.out.println("The variance of the process after time = 18th day from today with value of the stock as specified from the quote = "+process.variance(process.time(date18.clone()), handleToStockQuote.currentLink().value(), 0.01));

        //Calulating the expected value of the stock quote after time = 18th day from today with the current value of the stock as specified from the quote
        //The expectedValue = intialValue*exp(drift*dt)-----can be obtained by integrating----->dx/x= drift*dt
        System.out.println("Expected value = "+process.expectation(process.time(date18.clone()), handleToStockQuote.currentLink().value(), 0.01));

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