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Java Convertible Bond Example

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rwc

Java Convertible Bond Example

Hi,

I took the ConvertibleBond.cpp example and created a Java example from that one. The one problem I am having is trying to run the Additive equiprobabilities method. Each time I do, I get the following exception. Since the method just requires the correct spelling of the method to be passed into the BinomialConvertibleEngine’s constructor, I am curious what it should be for Java API.

Thanks,

Rich

Exception in thread "main" java.lang.RuntimeException: unknown binomial engine type: additiveeqpbinomialtree

at org.quantlib.QuantLibJNI.new_BinomialConvertibleEngine(Native Method)

at org.quantlib.BinomialConvertibleEngine.<init>(BinomialConvertibleEngine.java:37)

at org.quantlib.examples.ConvertibleBonds.printNPV(ConvertibleBonds.java:226)

at org.quantlib.examples.ConvertibleBonds.main(ConvertibleBonds.java:180)

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Tito Ingargiola

Re: Java Convertible Bond Example

Hi,

Judging from the following chunk from options.i, "additiveeqpbinomialtree" or "eqp" should work...

            else if (s == "eqp" || s == "additiveeqpbinomialtree")
                return new BinomialVanillaEnginePtr(
                    new BinomialVanillaEngine<AdditiveEQPBinomialTree>(
                                                            bsProcess,steps));

Note also that in the EquityOption.java example, the following works fine:

        europeanOption.setPricingEngine(
             new BinomialVanillaEngine(stochasticProcess,
                                       "AdditiveEQPBinomialTree", timeSteps));

Perhaps you could share the troublesome code and I could see if it works in my environment? Regards,

    Tito.

"Rich Christy (Sky Road LLC)" <[hidden email]> wrote:

Hi,

I took the ConvertibleBond.cpp example and created a Java example from that one. The one problem I am having is trying to run the Additive equiprobabilities method. Each time I do, I get the following exception. Since the method just requires the correct spelling of the method to be passed into the BinomialConvertibleEngineâs constructor, I am curious what it should be for Java API.

Thanks,

Rich

Exception in thread "main" java.lang.RuntimeException: unknown binomial engine type: additiveeqpbinomialtree

                at org.quantlib.QuantLibJNI.new_BinomialConvertibleEngine(Native Method)

                at org.quantlib.BinomialConvertibleEngine.<init>(BinomialConvertibleEngine.java:37)

                at org.quantlib.examples.ConvertibleBonds.printNPV(ConvertibleBonds.java:226)

                at org.quantlib.examples.ConvertibleBonds.main(ConvertibleBonds.java:180)

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rwc

Re: Java Convertible Bond Example

Should I be using BinomialVanillaEngine or BinomialConvertibleEngine? The CPP example uses BinomialConvertibleEngine and that is what I used in the Java example, but the code you show below is BinomialVanillaEngine?

From: Tito Ingargiola [mailto:[hidden email]]
Sent: Tuesday, June 10, 2008 7:29 AM
To: Rich Christy (Sky Road LLC); [hidden email]
Subject: Re: [Quantlib-users] Java Convertible Bond Example

Hi,

I took the ConvertibleBond.cpp example and created a Java example from that one. The one problem I am having is trying to run the Additive equiprobabilities method. Each time I do, I get the following exception. Since the method just requires the correct spelling of the method to be passed into the BinomialConvertibleEngineâ€™s constructor, I am curious what it should be for Java API.

Thanks,

Rich

Exception in thread "main" java.lang.RuntimeException: unknown binomial engine type: additiveeqpbinomialtree

at org.quantlib.QuantLibJNI.new_BinomialConvertibleEngine(Native Method)

at org.quantlib.BinomialConvertibleEngine.<init>(BinomialConvertibleEngine.java:37)

at org.quantlib.examples.ConvertibleBonds.printNPV(ConvertibleBonds.java:226)

at org.quantlib.examples.ConvertibleBonds.main(ConvertibleBonds.java:180)

Sky Road LLC Email Disclaimer

This message and any attachment transmitted with it (collectively, this â€œEmailâ€) may contain confidential or privileged information. It is for the sole use of the intended recipient(s). Any unauthorized review, use or disclosure is prohibited. If you are not the intended recipient, please advise the sender by reply email and destroy all copies of this Email. The information in this Email is not intended to replace a recipientâ€™s own internal processes for evaluating a transaction. This Email should not be regarded as (i) a recommendation to buy or refrain from buying any security; (ii) an offer to sell or solicitation of an offer to buy any security; or (iii) an official confirmation of any transaction. Sky Road cannot guarantee that the transmission and content of this Email is secure or error-free. Sky Road does not represent that this Email is accurate, uncorrupted, or free of viruses or other harmful code.
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rwc

Re: Java Convertible Bond Example

Actually using EQP seems to work, thanks

From: [hidden email] [mailto:[hidden email]] On Behalf Of Rich Christy (Sky Road LLC)
Sent: Tuesday, June 10, 2008 7:59 AM
To: Tito Ingargiola; [hidden email]
Subject: Re: [Quantlib-users] Java Convertible Bond Example

Hi,

I took the ConvertibleBond.cpp example and created a Java example from that one. The one problem I am having is trying to run the Additive equiprobabilities method. Each time I do, I get the following exception. Since the method just requires the correct spelling of the method to be passed into the BinomialConvertibleEngineâ€™s constructor, I am curious what it should be for Java API.

Thanks,

Rich

Exception in thread "main" java.lang.RuntimeException: unknown binomial engine type: additiveeqpbinomialtree

at org.quantlib.QuantLibJNI.new_BinomialConvertibleEngine(Native Method)

at org.quantlib.BinomialConvertibleEngine.<init>(BinomialConvertibleEngine.java:37)

at org.quantlib.examples.ConvertibleBonds.printNPV(ConvertibleBonds.java:226)

at org.quantlib.examples.ConvertibleBonds.main(ConvertibleBonds.java:180)