Package org.jquantlib.helpers

Examples of org.jquantlib.helpers.CRREuropeanDividendOptionHelper


            QL.info("::::: " + this.getClass().getSimpleName() + " ::::: European Dividend Option :::::");
        }

        new Settings().setEvaluationDate(today);

        final CRREuropeanDividendOptionHelper option = new CRREuropeanDividendOptionHelper(
                type, underlying, strike, riskFreeRate, dividendYield, volatility,
                settlementDate, maturityDate,
                divDates, divAmounts,
                calendar, dc);

        final double value  = option.NPV();
        final double delta  = option.delta();
        final double gamma  = option.gamma();
        final double theta  = option.theta();
        final double vega   = option.vega(); //TODO
        final double rho    = option.rho()//TODO

        // market price: simply guess something 10% higher than theoretical
        // final double ivol = option.impliedVolatility(value*1.10);

        if (!quiet) {
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