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
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,
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 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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