RQuantLib - Options value at maturity

Theoretically greeks at maturity do not exist. If you want this, then you
could just write your own if statement: value = max(S-K,0), delta =
ifelse(S>K,1,0), gamma = ifelse(S=K, Inf, 0), vega = 0, theta =0?, rho = 0,
divRho = 0


Kind regards,
--
Dominykas Grigonis

On Thursday, 17 April 2014 at 14:14, Pedro Baltazar wrote:

The "theoretical" value of a call option at maturity is max(S-K,0).

So, I am wondering if there is any a implementation justification not
to put an some extra "if"s to check this corner cases

Also, when using this function to calibrate other quantitities (where
maturity is a variable) the fact that it gives zero for maturity=0,
might have impact in finding max ou min.

Thanks

On Thu, Apr 17, 2014 at 2:04 PM, Ryan Abbate <ryan.abbate at gmail.com> wrote:

The reason is that you define the maturity date as zero, even though this
particular option is otherwise in-the-money. Try entering maturity = 1 and
you'll have values that are intuitive.

Hope this helps.
-Ryan


On Thu, 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