org.jquantlib.instruments

Class DividendVanillaOption

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Option

org.jquantlib.instruments.OneAssetOption

org.jquantlib.instruments.VanillaOption

org.jquantlib.instruments.DividendVanillaOption

All Implemented Interfaces:

Observable, Observer

public class DividendVanillaOption
extends VanillaOption

Single-asset vanilla option (no barriers) with discrete dividends

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	DividendVanillaOption.ArgumentsImpl
static class	DividendVanillaOption.EngineImpl
static class	DividendVanillaOption.ResultsImpl

Nested classes/interfaces inherited from class org.jquantlib.instruments.VanillaOption

VanillaOption.Engine

Nested classes/interfaces inherited from class org.jquantlib.instruments.OneAssetOption

OneAssetOption.Arguments, OneAssetOption.Results

Nested classes/interfaces inherited from class org.jquantlib.instruments.Option

Option.Greeks, Option.GreeksImpl, Option.MoreGreeks, Option.MoreGreeksImpl, Option.Type

Constructor Summary

Constructors

Constructor and Description
DividendVanillaOption(Payoff payoff, Exercise exercise, java.util.List<Date> dates, java.util.List<java.lang.Double> dividends)

Method Summary

Modifier and Type	Method and Description
double	impliedVolatility(double price, GeneralizedBlackScholesProcess process) Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options.
double	impliedVolatility(double price, GeneralizedBlackScholesProcess process, double accuracy) Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options.
double	impliedVolatility(double price, GeneralizedBlackScholesProcess process, double accuracy, int maxEvaluations) Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options.
double	impliedVolatility(double price, GeneralizedBlackScholesProcess process, double accuracy, int maxEvaluations, double minVol) Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options.
double	impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy, int maxEvaluations, double minVol, double maxVol) Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options.
void	setupArguments(PricingEngine.Arguments args) Passes arguments to be used by a PricingEngine.

Methods inherited from class org.jquantlib.instruments.OneAssetOption

delta, deltaForward, dividendRho, elasticity, fetchResults, gamma, isExpired, itmCashProbability, rho, setupExpired, strikeSensitivity, theta, thetaPerDay, vega

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DividendVanillaOption

public DividendVanillaOption(Payoff payoff,
                             Exercise exercise,
                             java.util.List<Date> dates,
                             java.util.List<java.lang.Double> dividends)

Method Detail

impliedVolatility

public double impliedVolatility(double price,
                                GeneralizedBlackScholesProcess process)

Description copied from class: VanillaOption

Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give inconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Overrides:

impliedVolatility in class VanillaOption

impliedVolatility

public double impliedVolatility(double price,
                                GeneralizedBlackScholesProcess process,
                                double accuracy)

Description copied from class: VanillaOption

Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give inconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Overrides:

impliedVolatility in class VanillaOption

impliedVolatility

public double impliedVolatility(double price,
                                GeneralizedBlackScholesProcess process,
                                double accuracy,
                                int maxEvaluations)

Description copied from class: VanillaOption

Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give inconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Overrides:

impliedVolatility in class VanillaOption

impliedVolatility

public double impliedVolatility(double price,
                                GeneralizedBlackScholesProcess process,
                                double accuracy,
                                int maxEvaluations,
                                double minVol)

Description copied from class: VanillaOption

Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give inconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Overrides:

impliedVolatility in class VanillaOption

impliedVolatility

public double impliedVolatility(double targetValue,
                                GeneralizedBlackScholesProcess process,
                                double accuracy,
                                int maxEvaluations,
                                double minVol,
                                double maxVol)

Description copied from class: VanillaOption

Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give inconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Overrides:

impliedVolatility in class VanillaOption

setupArguments

public void setupArguments(PricingEngine.Arguments args)

Description copied from class: Instrument

Passes arguments to be used by a PricingEngine. When a derived argument structure is defined for an instrument, this method should be overridden to fill it.

See Also:

Instrument.Arguments, PricingEngine