Package org.jquantlib.instruments

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

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