Message-ID: <687C862F-9467-42AD-A678-48D2AFFCFBD3@optonline.net>
Date: 2014-04-18T20:30:13Z
From: Krishna Kumar
Subject: RQuantLib - Options value at maturity
In-Reply-To: <CABN+XoQg00UWNqY4ayn_uK3Pw2wmEm4KOCT7OrXz5USbvn88-w@mail.gmail.com>
A workaround is instead of maturity =0, pass something very close to zero e.g. maturity=1e-14
Cheers
Krishna
> On Apr 17, 2014, at 8:54 AM, Pedro Baltazar <pedrobtz at gmail.com> wrote:
>
> Hello,
>
> why this package gives the value zero, and not (underlying - strike) =
> 50, at maturity?
>
>> EuropeanOption("call", underlying=150, strike=100, dividendYield=0.00, riskFreeRate=0.03, maturity=0.0,volatility=0.2)
> Concise summary of valuation for EuropeanOption
> value delta gamma vega theta rho divRho
> 0 0 0 0 0 0 0
>
> Thanks
>
> --
> Pedro Baltazar
>
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