List of elasticity() Examples

Examples of elasticity()

org.jquantlib.instruments.EuropeanOption.elasticity()
org.jquantlib.instruments.VanillaOption.elasticity()
org.jquantlib.pricingengines.BlackCalculator.elasticity()
Sensitivity in percent to a percent change in the underlying spot price.

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

        vol.setValue(values[i].v);


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


        calculated = option.elasticity();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("elasticity", 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.elasticity()

        vol.setValue(values[i].v);


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


        calculated = option.elasticity();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("elasticity", 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.VanillaOption.elasticity()

        vol.setValue(values[i].v);


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


        calculated = option.elasticity();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("elasticity", 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.VanillaOption.elasticity()

        vol.setValue(values[i].v);


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


        calculated = option.elasticity();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("elasticity", 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.pricingengines.BlackCalculator.elasticity()

        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value                     = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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Examples of org.jquantlib.pricingengines.BlackCalculator.elasticity()

        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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Examples of org.jquantlib.pricingengines.BlackCalculator.elasticity()

            final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);


            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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Examples of org.jquantlib.pricingengines.BlackCalculator.elasticity()

            final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);


            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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Examples of org.jquantlib.pricingengines.BlackCalculator.elasticity()

        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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Examples of org.jquantlib.pricingengines.BlackCalculator.elasticity()

        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value                     = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();
            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();

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