Examples of dividendRho()

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

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        final BlackCalculator black = new BlackCalculator(payoff, forward, Math.sqrt(variance/3.0),riskFreeDiscount);
        r.value = black.value();
        greeks.delta = black.delta(spot);
        greeks.gamma = black.gamma(spot);
        greeks.dividendRho = black.dividendRho(t_q)/2.0;

        /*@Time*/ final double t_r = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(),
                a.exercise.lastDate());
        greeks.rho = black.rho(t_r) + 0.5 * black.dividendRho(t_q);

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

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        greeks.gamma = black.gamma(spot);
        greeks.dividendRho = black.dividendRho(t_q)/2.0;

        /*@Time*/ final double t_r = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(),
                a.exercise.lastDate());
        greeks.rho = black.rho(t_r) + 0.5 * black.dividendRho(t_q);

        /*@Time*/ final double t_v = voldc.yearFraction(
                process.blackVolatility().currentLink().referenceDate(),
                a.exercise.lastDate());
        greeks.vega = black.vega(t_v)/Math.sqrt(3.0) +
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Examples of org.jquantlib.pricingengines.BlackCalculator.dividendRho()

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        /*@Time*/ final double t_v = voldc.yearFraction(
                process.blackVolatility().currentLink().referenceDate(),
                a.exercise.lastDate());
        greeks.vega = black.vega(t_v)/Math.sqrt(3.0) +
        black.dividendRho(t_q)*volatility/6.0;

        try {
            greeks.theta = black.theta(spot, t_v);
        } catch (final ArithmeticException e) {
            greeks.theta = Constants.NULL_REAL;
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Examples of org.jquantlib.pricingengines.BlackCalculator.dividendRho()

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            double /*@Time*/ t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), a.exercise.lastDate());
            greeks.rho = black.rho(t);

            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);

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

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            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();
            double /*@Time*/ t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), a.exercise.lastDate());
            greeks.rho = black.rho(t);

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

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            double /* @Time */t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), a.exercise.lastDate());
            greeks.rho = black.rho(t);

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

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            double /* @Time */t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), a.exercise.lastDate());
            greeks.rho = black.rho(t);

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

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            final DayCounter voldc = process.blackVolatility().currentLink().dayCounter();
            double /*@Time*/ t = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(), a.exercise.lastDate());
            greeks.rho = black.rho(t);

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

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        /*@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);
    }

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

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        final BlackCalculator black = new BlackCalculator(payoff, forward, Math.sqrt(variance/3.0),riskFreeDiscount);
        r.value = black.value();
        greeks.delta = black.delta(spot);
        greeks.gamma = black.gamma(spot);
        greeks.dividendRho = black.dividendRho(t_q)/2.0;

        /*@Time*/ final double t_r = rfdc.yearFraction(process.riskFreeRate().currentLink().referenceDate(),
                a.exercise.lastDate());
        greeks.rho = black.rho(t_r) + 0.5 * black.dividendRho(t_q);

 
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