Package org.jquantlib.pricingengines

Examples of org.jquantlib.pricingengines.BlackCalculator.vega()

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            t = divdc.yearFraction(process.dividendYield().currentLink().referenceDate(), a.exercise.lastDate());
            greeks.dividendRho = black.dividendRho(t);

            t = voldc.yearFraction(process.blackVolatility().currentLink().referenceDate(), a.exercise.lastDate());
            greeks.vega        = black.vega(t);
            greeks.theta       = black.theta(spot, t);

            moreGreeks.thetaPerDay        = black.thetaPerDay(spot, t);
            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();
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