Examples of strikeSensitivity()

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

219
220
221
222
223
224
225
226
227
228
        /*@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

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

138
139
140
141
142
143
144
145
146
147
148
            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);
            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();
        } else {
            // early exercise can be optimal
            final CumulativeNormalDistribution cumNormalDist = new CumulativeNormalDistribution();
            final double /*@Real*/ tolerance = 1e-6;
View Full Code Here

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

137
138
139
140
141
142
143
144
145
146
147
            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);

            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();
        } else {
            // early exercise can be optimal
            final CumulativeNormalDistribution cumNormalDist = new CumulativeNormalDistribution();
            final NormalDistribution normalDist = new NormalDistribution();
View Full Code Here

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

210
211
212
213
214
215
216
217
218
219
220
            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);

            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();
        } else {
            // early exercise can be optimal - use approximation
            r.value = americanCallApproximation(spot,
                    strike,
View Full Code Here

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

210
211
212
213
214
215
216
217
218
219
220
            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);

            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();
        } else {
            // early exercise can be optimal - use approximation
            r.value = americanCallApproximation(spot,
                    strike,
View Full Code Here

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

137
138
139
140
141
142
143
144
145
146
147
            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);

            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();
        } else {
            // early exercise can be optimal
            final CumulativeNormalDistribution cumNormalDist = new CumulativeNormalDistribution();
            final NormalDistribution normalDist = new NormalDistribution();
View Full Code Here

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

219
220
221
222
223
224
225
226
227
228
        /*@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

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

138
139
140
141
142
143
144
145
146
147
148
            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);
            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();
        } else {
            // early exercise can be optimal
            final CumulativeNormalDistribution cumNormalDist = new CumulativeNormalDistribution();
            final double /*@Real*/ tolerance = 1e-6;
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
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.