Package org.jquantlib.instruments

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

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                                                        final double dq = 1.0e-5;
                                                        qRate.setValue(q + dq);
                                                        value_p = option.NPV();
                                                        qRate.setValue(q - dq);
                                                        value_m = option.NPV();
                                                        qRate.setValue(q);
                                                        expected.put("divRho", (value_p - value_m) / (2 * dq));

                                                        // perturb volatility and get vega
                                                        final double dv = v * 1.0e-4;
 
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                                                        expected.put("divRho", (value_p - value_m) / (2 * dq));

                                                        // perturb volatility and get vega
                                                        final double dv = v * 1.0e-4;
                                                        vol.setValue(v + dv);
                                                        value_p = option.NPV();
                                                        vol.setValue(v - dv);
                                                        value_m = option.NPV();
                                                        vol.setValue(v);
                                                        expected.put("vega", (value_p - value_m) / (2 * dv));

 
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                                                        // perturb volatility and get vega
                                                        final double dv = v * 1.0e-4;
                                                        vol.setValue(v + dv);
                                                        value_p = option.NPV();
                                                        vol.setValue(v - dv);
                                                        value_m = option.NPV();
                                                        vol.setValue(v);
                                                        expected.put("vega", (value_p - value_m) / (2 * dv));

                                                        final Date yesterday = today.sub(1);
                                                        final Date tomorrow = today.add(1);
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                                                        final Date yesterday = today.sub(1);
                                                        final Date tomorrow = today.add(1);
                                                        final double dT = dc.yearFraction(yesterday, tomorrow);
                                                        new Settings().setEvaluationDate(yesterday);
                                                        value_m = option.NPV();
                                                        new Settings().setEvaluationDate(tomorrow);
                                                        value_p = option.NPV();
                                                        new Settings().setEvaluationDate(today);
                                                        expected.put("theta", (value_p - value_m) / dT);
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                                                        final Date tomorrow = today.add(1);
                                                        final double dT = dc.yearFraction(yesterday, tomorrow);
                                                        new Settings().setEvaluationDate(yesterday);
                                                        value_m = option.NPV();
                                                        new Settings().setEvaluationDate(tomorrow);
                                                        value_p = option.NPV();
                                                        new Settings().setEvaluationDate(today);
                                                        expected.put("theta", (value_p - value_m) / dT);

                                                        // compare
                                                        for (final Entry<String, Double> it : calculated.entrySet()) {
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