Package org.jquantlib.instruments

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

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        if (f.isUp()) {
            fail("implied volatility calculation triggered a change in another instrument");
        }

        option2.recalculate();
        if (Math.abs(option2.NPV() - refValue) >= 1.0e-8) {
            fail("implied volatility calculation changed the value "
                    + "of another instrument: \n"
                    + "previous value: " + refValue + "\n"
                    + "current value:  " + option2.NPV());
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1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
        if (f.isUp()) {
            fail("implied volatility calculation triggered a change in another instrument");
        }

        option2.recalculate();
        if (Math.abs(option2.NPV() - refValue) >= 1.0e-8) {
            fail("implied volatility calculation changed the value "
                    + "of another instrument: \n"
                    + "previous value: " + refValue + "\n"
                    + "current value:  " + option2.NPV());
View Full Code Here
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