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

[Pedro Baltazar]

If they don't exists the function should return NA, right?

On Thu, Apr 17, 2014 at 2:38 PM, Dominykas Grigonis
<dominykasgrigonis at gmail.com> wrote:
> 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
>
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>
> --
> Pedro Baltazar
>
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-- 
Pedro Baltazar