Package org.jquantlib.instruments

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

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                                qRate.setValue(q);
                                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());

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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();
                                    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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                                    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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                                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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                                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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                                  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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