List of dividendRho() Examples

Examples of dividendRho()

Examples of org.jquantlib.instruments.ContinuousAveragingAsianOption.dividendRho()

                                    final Map<String, Double> calculated = new HashMap<String, Double>();
                                    calculated.put("delta", option.delta());
                                    calculated.put("gamma", option.gamma());
                                    calculated.put("theta", option.theta());
                                    calculated.put("rho", option.rho());
                                    calculated.put("divRho", option.dividendRho());
                                    calculated.put("vega", option.vega());


                                    final Map<String, Double> expected = new HashMap<String, Double>();
                                    if (value > spot.value() * 1.0e-5) {
                                        // perturb spot and get delta and gamma

View Full Code Here

Examples of org.jquantlib.instruments.DiscreteAveragingAsianOption.dividendRho()

                                    final Map<String, Double> calculated = new HashMap<String, Double>();
                                    calculated.put("delta", option.delta());
                                    calculated.put("gamma", option.gamma());
                                    calculated.put("theta", option.theta());
                                    calculated.put("rho", option.rho());
                                    calculated.put("divRho", option.dividendRho());
                                    calculated.put("vega", option.vega());


                                    final Map<String, Double> expected = new HashMap<String, Double>();
                                    if (value > spot.value() * 1.0e-5) {
                                        // perturb spot and get delta and gamma

View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.dividendRho()

        vol.setValue(values[i].v);


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


        calculated = option.dividendRho();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("dividend rho", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.dividendRho()

                                        final double value = option.NPV();
                                        final double delta = option.delta();
                                        final double gamma = option.gamma();
                                        final double theta = option.theta();
                                        final double rho   = option.rho();
                                        final double drho  = option.dividendRho();
                                        final double vega  = option.vega();


                                        calculated.put("delta",  delta);
                                        calculated.put("gamma",  gamma);
                                        calculated.put("theta",  theta);

View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.dividendRho()

        vol.setValue(values[i].v);


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


        calculated = option.dividendRho();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("dividend rho", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.dividendRho()

                                        final double value = option.NPV();
                                        final double delta = option.delta();
                                        final double gamma = option.gamma();
                                        final double theta = option.theta();
                                        final double rho   = option.rho();
                                        final double drho  = option.dividendRho();
                                        final double vega  = option.vega();


                                        calculated.put("delta",  delta);
                                        calculated.put("gamma",  gamma);
                                        calculated.put("theta",  theta);

View Full Code Here

Examples of org.jquantlib.instruments.EuropeanOption.dividendRho()

                                                    final double value = option.NPV();
                                                    calculated.put("delta", option.delta());
                                                    calculated.put("gamma", option.gamma());
                                                    calculated.put("theta", option.theta());
                                                    calculated.put("rho", option.rho());
                                                    calculated.put("divRho", option.dividendRho());
                                                    calculated.put("vega", option.vega());


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

View Full Code Here

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

        vol.setValue(values[i].v);


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


        calculated = option.dividendRho();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("dividend rho", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

View Full Code Here

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

        vol.setValue(values[i].v);


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


        calculated = option.dividendRho();
        error = Math.abs(Math.abs(calculated - values[i].result));
        if(error>tolerance) {
            REPORT_FAILURE("dividend rho", payoff, exercise, values[i].s, values[i].q, values[i].r, today, values[i].v,
                    values[i].result, calculated, error, tolerance);
        }

View Full Code Here

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


        /*@Time*/ final double tDiv = divdc.yearFraction(
                process.dividendYield().currentLink().referenceDate(),
                a.exercise.lastDate());


        greeks.dividendRho = black.dividendRho(tDiv)*timeSum/(N*tDiv);
        moreGreeks.strikeSensitivity = black.strikeSensitivity();
        greeks.theta = greeks.blackScholesTheta(process, r.value, greeks.delta, greeks.gamma);
    }


}

View Full Code Here

0 1 2

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.