Package org.jquantlib.instruments

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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                                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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