List of delta() Examples

Examples of delta()

com.google.gwt.maeglin89273.game.mengine.physics.Point.delta()
org.elasticsearch.cluster.node.DiscoveryNodes.delta()
Returns the changes comparing this nodes to the provided nodes.
org.infinispan.atomic.DeltaAware.delta()
Extracts changes made to implementations, in an efficient format that can easily and cheaply be serialized and deserialized. This method will only be called once for each changeset as it is assumed that any implementation's internal changelog is wiped and reset after generating and submitting the delta to the caller. @return an instance of Delta
org.infinispan.atomic.impl.AtomicHashMap.delta()
org.jquantlib.helpers.CRRAmericanDividendOptionHelper.delta()
org.jquantlib.helpers.CRREuropeanDividendOptionHelper.delta()
org.jquantlib.helpers.FDAmericanDividendOptionHelper.delta()
org.jquantlib.helpers.FDEuropeanDividendOptionHelper.delta()
org.jquantlib.instruments.ContinuousAveragingAsianOption.delta()
org.jquantlib.instruments.DiscreteAveragingAsianOption.delta()
org.jquantlib.instruments.DividendVanillaOption.delta()
org.jquantlib.instruments.EuropeanOption.delta()
org.jquantlib.instruments.VanillaOption.delta()
org.jquantlib.pricingengines.BlackCalculator.delta()
Sensitivity to change in the underlying spot price.
org.waveprotocol.wave.model.testing.DeltaTestUtil.delta()
Wrap an op with a delta.
rationals.Automaton.delta()

Examples of org.jquantlib.instruments.DividendVanillaOption.delta()

                                if (value > spot.value()*1.0e-5) {
                                    // perturb spot and get delta and gamma
                                    /* @Real */ final double du = u*1.0e-4;
                                    spot.setValue(u+du);
                                    /* @Real */ double value_p = option.NPV();
                                    final double delta_p = option.delta();
                                    spot.setValue(u-du);
                                    /* @Real */ double value_m = option.NPV();
                                    final double delta_m = option.delta();
                                    spot.setValue(u);
                                    expected.put("delta", (value_p - value_m)/(2*du) );

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Examples of org.jquantlib.instruments.DividendVanillaOption.delta()

                                    spot.setValue(u+du);
                                    /* @Real */ double value_p = option.NPV();
                                    final double delta_p = option.delta();
                                    spot.setValue(u-du);
                                    /* @Real */ double value_m = option.NPV();
                                    final double delta_m = option.delta();
                                    spot.setValue(u);
                                    expected.put("delta", (value_p - value_m)/(2*du) );
                                    expected.put("gamma", (delta_p - delta_m)/(2*du) );


                                    // perturb risk-free /* @Rate */ double and get rho

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Examples of org.jquantlib.instruments.DividendVanillaOption.delta()

                                rRate.setValue(r);
                                vol.setValue(v);


                                // FLOATING_POINT_EXCEPTION
                                /* @Real */ final double value = option.NPV();
                                calculated.put("delta", option.delta() );
                                calculated.put("gamma", option.gamma() );
                                // calculated.put("theta", option.theta() );


                                if (value > spot.value()*1.0e-5) {
                                  // perturb spot and get delta and gamma

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Examples of org.jquantlib.instruments.DividendVanillaOption.delta()

                                if (value > spot.value()*1.0e-5) {
                                  // perturb spot and get delta and gamma
                                  /* @Real */ final double du = u*1.0e-4;
                                  spot.setValue(u+du);
                                  /* @Real */ final double value_p = option.NPV(),
                                       delta_p = option.delta();
                                  spot.setValue(u-du);
                                  /* @Real */ final double value_m = option.NPV(),
                                       delta_m = option.delta();
                                  spot.setValue(u);
                                  expected.put("delta", (value_p - value_m)/(2*du) );

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Examples of org.jquantlib.instruments.DividendVanillaOption.delta()

                                  spot.setValue(u+du);
                                  /* @Real */ final double value_p = option.NPV(),
                                       delta_p = option.delta();
                                  spot.setValue(u-du);
                                  /* @Real */ final double value_m = option.NPV(),
                                       delta_m = option.delta();
                                  spot.setValue(u);
                                  expected.put("delta", (value_p - value_m)/(2*du) );
                                  expected.put("gamma", (delta_p - delta_m)/(2*du) );


                                  // perturb date and get theta

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Examples of org.jquantlib.instruments.EuropeanOption.delta()

        final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);


        VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);


        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);


        if (error > tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);

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Examples of org.jquantlib.instruments.EuropeanOption.delta()

        vol.setValue(values[i].v);


        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);


        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);
        if(error>tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

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Examples of org.jquantlib.instruments.EuropeanOption.delta()

                                        qRate.setValue(q);
                                        rRate.setValue(r);
                                        vol.setValue(v);


                                        final double value = option.NPV();
                                        final double delta = option.delta();
                                        final double gamma = option.gamma();
                                        final double theta = option.theta();
                                        final double rho   = option.rho();
                                        final double drho  = option.dividendRho();
                                        final double vega  = option.vega();

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Examples of org.jquantlib.instruments.EuropeanOption.delta()

                                        if (value > spot.value()*1.0e-5) {
                                            // perturb spot and get delta and gamma
                                            final double du = u*1.0e-4;
                                            spot.setValue(u+du);
                                            double value_p = option.NPV();
                                            final double delta_p = option.delta();
                                            spot.setValue(u-du);


                                            double value_m = option.NPV();
                                            final double delta_m = option.delta();
                                            spot.setValue(u);

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Examples of org.jquantlib.instruments.EuropeanOption.delta()

                                            double value_p = option.NPV();
                                            final double delta_p = option.delta();
                                            spot.setValue(u-du);


                                            double value_m = option.NPV();
                                            final double delta_m = option.delta();
                                            spot.setValue(u);
                                            expected.put("delta", (value_p - value_m)/(2*du));
                                            expected.put("gamma", (delta_p - delta_m)/(2*du));


                                            // perturb rates and get rho and dividend rho

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