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.pricingengines.BlackCalculator.vega()


            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);
            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();

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


            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);


            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();

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


            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);


            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();

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

        greeks.gamma = black.gamma(spot);


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


        double delta_theta = 0.0, delta_rho = 0.0;
        for (int i = 0; i < a.cashFlow.size(); i++) {
            final CashFlow cashflow = a.cashFlow.get(i);
            final Date d = cashflow.date();

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


            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);


            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();

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


            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);


            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();

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

        //TODO:boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(payoff_));
        final BlackCalculator black = new BlackCalculator(payoff_,forward,stdDev,rDiscount);


        System.out.println("Option value: " + black.value());
        // store option's vega, since Derman and Kamal's formula needs it
        vega_ = black.vega(maturity.doubleValue());
        System.out.println("Vega: " + vega_);
    }

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

        greeks.gamma = black.gamma(spot);


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


        double delta_theta = 0.0, delta_rho = 0.0;
        for (int i = 0; i < a.cashFlow.size(); i++) {
            final CashFlow cashflow = a.cashFlow.get(i);
            final Date d = cashflow.date();

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


            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);
            moreGreeks.strikeSensitivity  = black.strikeSensitivity();
            moreGreeks.itmCashProbability = black.itmCashProbability();

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