Package org.jquantlib.instruments

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

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                                    if (testGreeks && option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
                                        calculated.put("theta", option.theta());
                                    }

                                    for (final Entry<String, Double> entry : calculated.entrySet()) {
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        final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);

        VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);

        if (error > tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
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        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);
        if(error>tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }
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                                    if (option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
                                        calculated.put("theta", option.theta());
                                    }
                                    for (final Map.Entry<String, Double> it : calculated.entrySet()) {

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        final PricingEngine engine = new AnalyticEuropeanEngine(stochProcess);

        VanillaOption option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);

        if (error > tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
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        vol.setValue(values[i].v);

        option = new EuropeanOption(payoff, exercise);
        option.setPricingEngine(engine);

        calculated = option.delta();
        error = Math.abs(calculated - values[i].result);
        if(error>tolerance) {
            REPORT_FAILURE("delta", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }
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                                    if (testGreeks && option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
                                        calculated.put("theta", option.theta());
                                    }

                                    for (final Entry<String, Double> entry : calculated.entrySet()) {
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                                    if (option.NPV() > spot.value() * 1.0e-5) {
                                        expected.put("delta", refOption.delta());
                                        expected.put("gamma", refOption.gamma());
                                        expected.put("theta", refOption.theta());
                                        calculated.put("delta", option.delta());
                                        calculated.put("gamma", option.gamma());
                                        calculated.put("theta", option.theta());
                                    }
                                    for (final Map.Entry<String, Double> it : calculated.entrySet()) {

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                                    qRate.setValue(q);
                                    rRate.setValue(r);
                                    vol.setValue(v);
                                    // FLOATING_POINT_EXCEPTION
                                    final double value = option.NPV();
                                    final double delta = option.delta();
                                    final double gamma = option.gamma();
                                    //final double theta = option.theta();

                                    calculated.put("delta", delta);
                                    calculated.put("gamma", gamma);
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                                    if (value > spot.value() * 1.0e-5) {
                                        // perturb spot and get delta and gamma
                                        final double du = u * 1.0e-4;
                                        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));
 
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