Package org.jquantlib.instruments

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

383
384
385
386
387
388
389
390
391
392
393
                                                    qRate.setValue(q);
                                                    rRate.setValue(r);
                                                    vol.setValue(v);

                                                    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("divRho", option.dividendRho());
                                                    calculated.put("vega", option.vega());
View Full Code Here
395
396
397
398
399
400
401
402
403
404
405
                                                    if (value > spot.value() * 1.0e-5) {
                                                        // perturb spot and get delta and gamma
                                                        final double du = u * 1.0e-5;
                                                        spot.setValue(u + du);
                                                        double value_p = option.NPV();
                                                        final double delta_p = option.delta();
                                                        spot.setValue(u - du);
                                                        double value_m = option.NPV();
                                                        final double delta_m = option.delta();
                                                        spot.setValue(u);
                                                        expected.put("delta", (value_p - value_m) / (2 * du));
 
View Full Code Here
398
399
400
401
402
403
404
405
406
407
408
                                                        spot.setValue(u + du);
                                                        double value_p = option.NPV();
                                                        final double delta_p = option.delta();
                                                        spot.setValue(u - du);
                                                        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 rates and get rho and dividend rho
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.