Package org.jquantlib.instruments

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

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                                        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()) {
                                        final String greek = entry.getKey();
                                        final double expct = expected.get(greek), calcl = calculated.get(greek), tol = tolerance.get(greek);
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        vol.setValue(values[i].v);

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

        calculated = option.theta();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("theta", 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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                                        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()) {

                                        final String greek = it.getKey();
                                        /* @Real */final double expct = expected.get(greek);
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        vol.setValue(values[i].v);

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

        calculated = option.theta();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("theta", 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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                                        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()) {
                                        final String greek = entry.getKey();
                                        final double expct = expected.get(greek), calcl = calculated.get(greek), tol = tolerance.get(greek);
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                                        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()) {

                                        final String greek = it.getKey();
                                        /* @Real */final double expct = expected.get(greek);
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