Examples of gamma()

Examples of org.jquantlib.helpers.CRRAmericanDividendOptionHelper.gamma()

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                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
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Examples of org.jquantlib.helpers.CRREuropeanDividendOptionHelper.gamma()

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                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
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Examples of org.jquantlib.helpers.FDAmericanDividendOptionHelper.gamma()

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                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();
        final double rho   = option.rho();

        // market price: simply guess something 10% higher than theoretical
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Examples of org.jquantlib.helpers.FDEuropeanDividendOptionHelper.gamma()

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                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();
        final double rho    = option.rho();

        // market price: simply guess something 10% higher than theoretical
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Examples of org.jquantlib.instruments.ContinuousAveragingAsianOption.gamma()

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                                    vol.setValue(v);

                                    /* @Real */final double value = option.NPV();
                                    final Map<String, Double> calculated = new HashMap<String, Double>();
                                    calculated.put("delta", option.delta());
                                    calculated.put("gamma", option.gamma());
                                    calculated.put("theta", option.theta());
                                    calculated.put("rho", option.rho());
                                    calculated.put("divRho", option.dividendRho());
                                    calculated.put("vega", option.vega());

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Examples of org.jquantlib.instruments.DiscreteAveragingAsianOption.gamma()

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                                    vol.setValue(v);

                                    final double value = option.NPV();
                                    final Map<String, Double> calculated = new HashMap<String, Double>();
                                    calculated.put("delta", option.delta());
                                    calculated.put("gamma", option.gamma());
                                    calculated.put("theta", option.theta());
                                    calculated.put("rho", option.rho());
                                    calculated.put("divRho", option.dividendRho());
                                    calculated.put("vega", option.vega());
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Examples of org.jquantlib.instruments.DividendVanillaOption.gamma()

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

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

                                if (value > spot.value()*1.0e-5) {
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Examples of org.jquantlib.instruments.DividendVanillaOption.gamma()

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                                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
                                  /* @Real */ final double du = u*1.0e-4;
 
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Examples of org.jquantlib.instruments.EuropeanOption.gamma()

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        vol.setValue(values[i].v);

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

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

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        vol.setValue(values[i].v);

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

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