Package org.jquantlib.instruments

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

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                                        spot.setValue(u + du);
                                        final double value_p = option.NPV();
                                        final double delta_p = option.delta();
                                        spot.setValue(u - du);
                                        final 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));

                                        /*
 
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