List of vega() Examples

Examples of vega()

com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod.vega()
@param derivative An EquityIndexOption, the OG-Analytics form of the derivative @param marketData A StaticReplicationDataBundle, containing a BlackVolatilitySurface, forward equity and funding curves @return The simple vega, d(PV)/d(blackVol)
org.jquantlib.helpers.CRRAmericanDividendOptionHelper.vega()
org.jquantlib.helpers.CRREuropeanDividendOptionHelper.vega()
org.jquantlib.helpers.FDAmericanDividendOptionHelper.vega()
org.jquantlib.helpers.FDEuropeanDividendOptionHelper.vega()
org.jquantlib.instruments.ContinuousAveragingAsianOption.vega()
org.jquantlib.instruments.DiscreteAveragingAsianOption.vega()
org.jquantlib.instruments.DividendVanillaOption.vega()
org.jquantlib.instruments.EuropeanOption.vega()
org.jquantlib.instruments.VanillaOption.vega()
org.jquantlib.pricingengines.BlackCalculator.vega()
Sensitivity to volatility.

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

                                        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);
                                        calculated.put("rho",    rho);

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

        vol.setValue(values[i].v);


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


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

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

        vol.setValue(values[i].v);


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


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

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

                                        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);
                                        calculated.put("rho",    rho);

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

                                                    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;
                                                        spot.setValue(u + du);

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

        vol.setValue(values[i].v);


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


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

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

        vol.setValue(values[i].v);


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


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

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

        vol.setValue(values[i].v);


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


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

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

        vol.setValue(values[i].v);


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


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

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

        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) +
        black.dividendRho(t_q)*volatility/6.0;


        try {
            greeks.theta = black.theta(spot, t_v);
        } catch (final ArithmeticException e) {

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