[R-SIG-Finance] RQuantLib - Options value at maturity

Pedro Baltazar pedrobtz at gmail.com
Thu Apr 17 15:14:43 CEST 2014


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
>>
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>
>



-- 
Pedro Baltazar



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