List of deltaForward() Examples

Examples of deltaForward()

org.jquantlib.pricingengines.BlackCalculator.deltaForward()
Sensitivity to change in the underlying forward price.

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


        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value                     = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();

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


        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();

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

            final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
            final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);


            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();

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

            final double /*@Real*/ forwardPrice = spot * dividendDiscount / riskFreeDiscount;
            final BlackCalculator black = new BlackCalculator(payoff, forwardPrice, Math.sqrt(variance), riskFreeDiscount);


            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();

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


        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value           = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();

View Full Code Here

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


        if (dividendDiscount>=1.0 && payoff.optionType()==Option.Type.Call) {
            // early exercise never optimal
            r.value                     = black.value();
            greeks.delta            = black.delta(spot);
            moreGreeks.deltaForward = black.deltaForward();
            moreGreeks.elasticity   = black.elasticity(spot);
            greeks.gamma            = black.gamma(spot);


            final DayCounter rfdc  = process.riskFreeRate().currentLink().dayCounter();
            final DayCounter divdc = process.dividendYield().currentLink().dayCounter();

View Full Code Here

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