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

[Kris]

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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