webcab.lib.finance.options
Class EuropeanDelta

java.lang.Object
  |
  +--webcab.lib.finance.options.EuropeanDelta

All Implemented Interfaces:

Serializable

public class EuropeanDelta

extends Object

implements Serializable

Within this class we consider the evaluation of the Delta of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.

Recall that the Delta of an option contract is the rate of change (i.e. the 1st derivative) of the option price with respect to changes of the underlying asset price.

See Also:

Serialized Form

Constructor Summary

EuropeanDelta()
Creates a new instance.

Method Summary

double	callDelta(double stockPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) This method calculates the delta of a European call option on a non-dividend paying equity investment.
double	callDelta(double stockPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) This method calculates the delta of a European call option on a non-dividend paying equity investment.
double	callDeltaOnCurrency(double foreignRate, double exchangeRate, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the delta of a European call option on a currency.
double	callDeltaOnCurrency(double foreignRate, double exchangeRate, double strike, double riskFreeRate, double volatility, double timeToMaturity) Returns the delta of a European call option on a currency.
double	callDeltaOnFutures(double futuresPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the delta of a European call option on a (stock) futures contract.
double	callDeltaOnFutures(double futuresPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) Returns the delta of a European call option on a (stock) futures contract.
double	callDeltaOnIndex(double yield, double indexValue, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluates the Delta of a European call option on an index.
double	callDeltaOnIndex(double yield, double indexValue, double strike, double riskFreeRate, double volatility, double timeToMaturity) Evaluates the Delta of a European call option on an index.
double	callDeltaWithYield(double yield, double assetPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) This method calculates the delta of a European call option on an asset which has a continuous yield.
double	callDeltaWithYield(double yield, double assetPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) This method calculates the delta of a European call option on an asset which has a continuous yield.
double	deltaOfPortfolio(double[] numberOfOptions, double[] deltaOfOptions) Evaluates the Delta of a portfolio of options is calculated when the number of each option held within the portfolio and the delta of each option is known.
double	putDelta(double stockPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) This method calculates the delta of a European put option on a non-dividend paying stock.
double	putDelta(double stockPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) This method calculates the delta of a European put option on a non-dividend paying stock.
double	putDeltaOnCurrency(double foreignRate, double exchangeRate, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the delta of a European put option on a currency.
double	putDeltaOnCurrency(double foreignRate, double exchangeRate, double strike, double riskFreeRate, double volatility, double timeToMaturity) Returns the delta of a European put option on a currency.
double	putDeltaOnFutures(double futuresPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the delta of a European put option on a (stock) futures contract.
double	putDeltaOnFutures(double futuresPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) Returns the delta of a European put option on a (stock) futures contract.
double	putDeltaOnIndex(double yield, double indexValue, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) The delta of a European put option on an index.
double	putDeltaOnIndex(double yield, double indexValue, double strike, double riskFreeRate, double volatility, double timeToMaturity) The delta of a European put option on an index.
double	putDeltaWithYield(double yield, double assetPrice, double strike, double riskFreeRate, double volatility, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) This method calculates the delta of a European put option on an asset which has a continuous yield.
double	putDeltaWithYield(double yield, double assetPrice, double strike, double riskFreeRate, double volatility, double timeToMaturity) This method calculates the delta of a European put option on an asset which has a continuous yield.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

EuropeanDelta

public EuropeanDelta()

Creates a new instance.

Method Detail

callDelta

public double callDelta(double stockPrice,
                        double strike,
                        double riskFreeRate,
                        double volatility,
                        Date evaluationDate,
                        Date maturityDate,
                        BusinessCalendar businessCalendar)
                 throws EuropeanDeltaDemoException

This method calculates the delta of a European call option on a non-dividend paying equity investment.

Parameters:

volatility - volatility of the underlying asset

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

evaluationDate - the date when the delta of the European call option is evaluated

maturityDate - the maturity date of the call option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

callDelta

public double callDelta(double stockPrice,
                        double strike,
                        double riskFreeRate,
                        double volatility,
                        double timeToMaturity)
                 throws EuropeanDeltaDemoException

This method calculates the delta of a European call option on a non-dividend paying equity investment.

Parameters:

volatility - volatility of the underlying asset

timeToMaturity - the time (in years) until the option matures

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

EuropeanDeltaDemoException

putDelta

public double putDelta(double stockPrice,
                       double strike,
                       double riskFreeRate,
                       double volatility,
                       Date evaluationDate,
                       Date maturityDate,
                       BusinessCalendar businessCalendar)
                throws EuropeanDeltaDemoException

This method calculates the delta of a European put option on a non-dividend paying stock.

Parameters:

stockPrice - the stock price at the point of evaluation

volatility - volatility of the underlying asset

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

evaluationDate - the date when the delta of the European put option is evaluated

maturityDate - the maturity date of the put option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

putDelta

public double putDelta(double stockPrice,
                       double strike,
                       double riskFreeRate,
                       double volatility,
                       double timeToMaturity)
                throws EuropeanDeltaDemoException

This method calculates the delta of a European put option on a non-dividend paying stock.

Parameters:

stockPrice - the stock price at the point of evaluation

volatility - volatility of the underlying asset

timeToMaturity - time to the maturity of the option (in years)

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

EuropeanDeltaDemoException

callDeltaWithYield

public double callDeltaWithYield(double yield,
                                 double assetPrice,
                                 double strike,
                                 double riskFreeRate,
                                 double volatility,
                                 Date evaluationDate,
                                 Date maturityDate,
                                 BusinessCalendar businessCalendar)
                          throws EuropeanDeltaDemoException

This method calculates the delta of a European call option on an asset which has a continuous yield.

Parameters:

assetPrice - the stock (index or currency) price at the point of evaluation

volatility - volatility of the underlying asset

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

yield - the continuous yield of the underlying asset during the life of the option contract

evaluationDate - the date when the delta of the European call option is evaluated

maturityDate - the maturity date of the call option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

callDeltaWithYield

public double callDeltaWithYield(double yield,
                                 double assetPrice,
                                 double strike,
                                 double riskFreeRate,
                                 double volatility,
                                 double timeToMaturity)
                          throws EuropeanDeltaDemoException

This method calculates the delta of a European call option on an asset which has a continuous yield.

Parameters:

assetPrice - the stock (index or currency) price at the point of evaluation

volatility - volatility of the underlying asset

timeToMaturity - time to the maturity of the option (in years)

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

yield - the continuous yield of the underlying asset during the life of the option contract

EuropeanDeltaDemoException

putDeltaWithYield

public double putDeltaWithYield(double yield,
                                double assetPrice,
                                double strike,
                                double riskFreeRate,
                                double volatility,
                                Date evaluationDate,
                                Date maturityDate,
                                BusinessCalendar businessCalendar)
                         throws EuropeanDeltaDemoException

This method calculates the delta of a European put option on an asset which has a continuous yield.

Parameters:

assetPrice - the stock (index or currency) price at the point of evaluation

volatility - volatility of the underlying asset

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

yield - the continuous yield of the underlying asset during the life of the option contract

evaluationDate - the date when the delta of the European put option is evaluated

maturityDate - the maturity date of the put option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

putDeltaWithYield

public double putDeltaWithYield(double yield,
                                double assetPrice,
                                double strike,
                                double riskFreeRate,
                                double volatility,
                                double timeToMaturity)
                         throws EuropeanDeltaDemoException

This method calculates the delta of a European put option on an asset which has a continuous yield.

Parameters:

assetPrice - the stock (index or currency) price at the point of evaluation

volatility - volatility of the underlying asset

timeToMaturity - time (in years) until the option matures

strike - the strike of the European call option

riskFreeRate - the continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

yield - the continuous yield of the underlying asset during the life of the option contract

EuropeanDeltaDemoException

deltaOfPortfolio

public double deltaOfPortfolio(double[] numberOfOptions,
                               double[] deltaOfOptions)
                        throws OptionsException,
                               EuropeanDeltaDemoException

Evaluates the Delta of a portfolio of options is calculated when the number of each option held within the portfolio and the delta of each option is known.

Parameters:

numberOfOptions - this is an array for which numberOfOptions[i], corresponds to the number of the i+1th option within the portfolio

deltaOfOptions - this is an array for which deltaOfOptions[i], corresponds to the delta of the i+1th option

OptionsException

EuropeanDeltaDemoException

callDeltaOnIndex

public double callDeltaOnIndex(double yield,
                               double indexValue,
                               double strike,
                               double riskFreeRate,
                               double volatility,
                               Date evaluationDate,
                               Date maturityDate,
                               BusinessCalendar businessCalendar)
                        throws EuropeanDeltaDemoException

Evaluates the Delta of a European call option on an index.

Parameters:

yield - the continuous yield of the index

indexValue - the value of the index

strike - the value of the index at which the option can be exercised

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the index

evaluationDate - the date when the delta of the European call option is evaluated

maturityDate - the maturity date of the call option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

callDeltaOnIndex

public double callDeltaOnIndex(double yield,
                               double indexValue,
                               double strike,
                               double riskFreeRate,
                               double volatility,
                               double timeToMaturity)
                        throws EuropeanDeltaDemoException

Evaluates the Delta of a European call option on an index.

Parameters:

yield - the continuous yield of the index

indexValue - the value of the index

strike - the value of the index at which the option can be exercised

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the index

timeToMaturity - the time (in years) until the option matures

EuropeanDeltaDemoException

putDeltaOnIndex

public double putDeltaOnIndex(double yield,
                              double indexValue,
                              double strike,
                              double riskFreeRate,
                              double volatility,
                              Date evaluationDate,
                              Date maturityDate,
                              BusinessCalendar businessCalendar)
                       throws EuropeanDeltaDemoException

The delta of a European put option on an index.

Parameters:

yield - the continuous yield of the index

indexValue - the value of the index

strike - the strike of the option contract. Here the strike represents the price at which the underlying index can be purchased

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the index

evaluationDate - the date when the delta of the European put option is evaluated

maturityDate - the maturity date of the put option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

putDeltaOnIndex

public double putDeltaOnIndex(double yield,
                              double indexValue,
                              double strike,
                              double riskFreeRate,
                              double volatility,
                              double timeToMaturity)
                       throws EuropeanDeltaDemoException

The delta of a European put option on an index.

Parameters:

yield - the continuous yield of the index

indexValue - the value of the index

strike - the strike of the option contract. Here the strike represents the price at which the underlying index can be purchased

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the index

timeToMaturity - the time (in years) until the maturity of the option contract

EuropeanDeltaDemoException

callDeltaOnCurrency

public double callDeltaOnCurrency(double foreignRate,
                                  double exchangeRate,
                                  double strike,
                                  double riskFreeRate,
                                  double volatility,
                                  Date evaluationDate,
                                  Date maturityDate,
                                  BusinessCalendar businessCalendar)
                           throws EuropeanDeltaDemoException

Returns the delta of a European call option on a currency.

Parameters:

foreignRate - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the present exchange rate

strike - the exchange rate at which the option can be exercised

riskFreeRate - the risk free interest rate in the base currency expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the exchange rate

evaluationDate - the date when the delta of the European call option is evaluated

maturityDate - the maturity date of the call option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

callDeltaOnCurrency

public double callDeltaOnCurrency(double foreignRate,
                                  double exchangeRate,
                                  double strike,
                                  double riskFreeRate,
                                  double volatility,
                                  double timeToMaturity)
                           throws EuropeanDeltaDemoException

Returns the delta of a European call option on a currency.

Parameters:

foreignRate - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the present exchange rate

strike - the exchange rate at which the option can be exercised

riskFreeRate - the risk free interest rate in the base currency expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the exchange rate

timeToMaturity - the time (in years) until the option matures

EuropeanDeltaDemoException

putDeltaOnCurrency

public double putDeltaOnCurrency(double foreignRate,
                                 double exchangeRate,
                                 double strike,
                                 double riskFreeRate,
                                 double volatility,
                                 Date evaluationDate,
                                 Date maturityDate,
                                 BusinessCalendar businessCalendar)
                          throws EuropeanDeltaDemoException

Returns the delta of a European put option on a currency.

Parameters:

foreignRate - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the present exchange rate

strike - the exchange rate at which the option can be exercised

riskFreeRate - the risk free interest rate in the base currency expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the exchange rate

evaluationDate - the date when the delta of the European put option is evaluated

maturityDate - the maturity date of the put option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

putDeltaOnCurrency

public double putDeltaOnCurrency(double foreignRate,
                                 double exchangeRate,
                                 double strike,
                                 double riskFreeRate,
                                 double volatility,
                                 double timeToMaturity)
                          throws EuropeanDeltaDemoException

Returns the delta of a European put option on a currency.

Parameters:

foreignRate - the continuously compounded risk free interest rate in the foreign currency

exchangeRate - the present exchange rate

strike - the exchange rate at which the option can be exercised

riskFreeRate - the risk free interest rate in the base currency expressed in decimal format (i.e. 1 percent = 0.01)

volatility - the volatility of the exchange rate

timeToMaturity - the time (in years) until the option matures

EuropeanDeltaDemoException

callDeltaOnFutures

public double callDeltaOnFutures(double futuresPrice,
                                 double strike,
                                 double riskFreeRate,
                                 double volatility,
                                 Date evaluationDate,
                                 Date maturityDate,
                                 BusinessCalendar businessCalendar)
                          throws EuropeanDeltaDemoException

Returns the delta of a European call option on a (stock) futures contract.

Parameters:

futuresPrice - the futures price at time zero

strike - the strike of the options contract. Here the strike is the price at which the futures contract underlying the options contrct can be purchased on the option can be exercised

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - volatility of the futures contract

evaluationDate - the date when the delta of the European call option is evaluated

maturityDate - the maturity date of the call option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

callDeltaOnFutures

public double callDeltaOnFutures(double futuresPrice,
                                 double strike,
                                 double riskFreeRate,
                                 double volatility,
                                 double timeToMaturity)
                          throws EuropeanDeltaDemoException

Returns the delta of a European call option on a (stock) futures contract.

Parameters:

futuresPrice - the futures price at time zero

strike - the strike of the options contract. Here the strike is the price at which the futures contract underlying the options contrct can be purchased on the option can be exercised

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - volatility of the futures contract

timeToMaturity - in time (in years) until the option matures

EuropeanDeltaDemoException

putDeltaOnFutures

public double putDeltaOnFutures(double futuresPrice,
                                double strike,
                                double riskFreeRate,
                                double volatility,
                                Date evaluationDate,
                                Date maturityDate,
                                BusinessCalendar businessCalendar)
                         throws EuropeanDeltaDemoException

Returns the delta of a European put option on a (stock) futures contract.

Parameters:

strike - the value of the futures contract at which option can be exercised

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - volatility of the futures contract

evaluationDate - the date when the delta of the European put option is evaluated

maturityDate - the maturity date of the put option

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

EuropeanDeltaDemoException

putDeltaOnFutures

public double putDeltaOnFutures(double futuresPrice,
                                double strike,
                                double riskFreeRate,
                                double volatility,
                                double timeToMaturity)
                         throws EuropeanDeltaDemoException

Returns the delta of a European put option on a (stock) futures contract.

Parameters:

strike - the value of the futures contract at which option can be exercised

riskFreeRate - the risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01)

volatility - volatility of the futures contract

timeToMaturity - time to maturity of the option (in years)

EuropeanDeltaDemoException