Package org.drip.product.option

Class EuropeanCallPut

java.lang.Object

org.drip.product.option.EuropeanCallPut

public class EuropeanCallPut
extends java.lang.Object

EuropeanCallPut implements a simple European Call/Put Option, and its Black Scholes Price.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Options on Fixed Income Components

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
EuropeanCallPut(JulianDate dtMaturity, double dblStrike)	EuropeanCallPut constructor

Method Summary

Modifier and Type	Method	Description
java.util.Set<java.lang.String>	getMeasureNames()	Retrieve the Set of the Measure Names
double	implyVolatilityFromCallPrice(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, double dblCallPrice)	Imply the Option Volatility given the Call Price
double	implyVolatilityFromPutPrice(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, double dblPutPrice)	Imply the Option Volatility given the Put Price
JulianDate	maturity()	Retrieve the Option Maturity
double	strike()	Retrieve the Option Strike
CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, R1ToR1 auVolatility, FokkerPlanckGenerator fpg)	Generate the Measure Set for the Option

Methods inherited from class java.lang.Object

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

Constructor Details

EuropeanCallPut

public EuropeanCallPut(JulianDate dtMaturity,
double dblStrike)
                throws java.lang.Exception

EuropeanCallPut constructor

Parameters:

dtMaturity - Option Maturity

dblStrike - Option Strike

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

maturity

public JulianDate maturity()

Retrieve the Option Maturity

Returns:

The Option Maturity

strike

public double strike()

Retrieve the Option Strike

Returns:

The Option Strike

value

public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams,
double dblUnderlier,
boolean bIsForward,
MergedDiscountForwardCurve dc,
R1ToR1 auVolatility,
FokkerPlanckGenerator fpg)

Generate the Measure Set for the Option

Parameters:

valParams - The Valuation Parameters

dblUnderlier - The Underlier

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dc - Discount Curve

auVolatility - The Option Volatility Function

fpg - The Fokker Planck-based Option Pricer

Returns:

The Map of the Measures

implyVolatilityFromCallPrice

public double implyVolatilityFromCallPrice(ValuationParams valParams,
double dblUnderlier,
boolean bIsForward,
MergedDiscountForwardCurve dc,
double dblCallPrice)
                                    throws java.lang.Exception

Imply the Option Volatility given the Call Price

Parameters:

valParams - The Valuation Parameters

dblUnderlier - The Underlier

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dc - Discount Curve

dblCallPrice - The Option Call Price

Returns:

The Option's Implied Volatility

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

implyVolatilityFromPutPrice

public double implyVolatilityFromPutPrice(ValuationParams valParams,
double dblUnderlier,
boolean bIsForward,
MergedDiscountForwardCurve dc,
double dblPutPrice)
                                   throws java.lang.Exception

Imply the Option Volatility given the Put Price

Parameters:

valParams - The Valuation Parameters

dblUnderlier - The Underlier

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dc - Discount Curve

dblPutPrice - The Option Put Price

Returns:

The Option's Implied Volatility

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

getMeasureNames

public java.util.Set<java.lang.String> getMeasureNames()

Retrieve the Set of the Measure Names

Returns:

The Set of the Measure Names