org.jquantlib.instruments

Class VanillaOption

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Option

org.jquantlib.instruments.OneAssetOption

org.jquantlib.instruments.VanillaOption

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

DividendVanillaOption, EuropeanOption

public class VanillaOption
extends OneAssetOption

Vanilla option (no discrete dividends, no barriers) on a single asset

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	VanillaOption.Engine
static class	VanillaOption.EngineImpl Vanilla option engine base class

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

OneAssetOption.Arguments, OneAssetOption.ArgumentsImpl, OneAssetOption.Results, OneAssetOption.ResultsImpl

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
VanillaOption(Payoff payoff, Exercise exercise)

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 price, 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.

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

VanillaOption

public VanillaOption(Payoff payoff,
                     Exercise exercise)

Method Detail

impliedVolatility

public 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. 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.

impliedVolatility

public 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. 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.

impliedVolatility

public 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. 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.

impliedVolatility

public 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. 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.

impliedVolatility

public double impliedVolatility(double price,
                                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. 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.