{"action":"created","issue":{"url":"https://api.github.com/repos/eddelbuettel/rquantlib/issues/10","labels_url":"https://api.github.com/repos/eddelbuettel/rquantlib/issues/10/labels{/name}","comments_url":"https://api.github.com/repos/eddelbuettel/rquantlib/issues/10/comments","events_url":"https://api.github.com/repos/eddelbuettel/rquantlib/issues/10/events","html_url":"https://github.com/eddelbuettel/rquantlib/issues/10","id":55612518,"number":10,"title":"Unexpected behaviour with option pricing","user":{"login":"kismsu","id":5910477,"avatar_url":"https://avatars.githubusercontent.com/u/5910477?v=3","gravatar_id":"","url":"https://api.github.com/users/kismsu","html_url":"https://github.com/kismsu","followers_url":"https://api.github.com/users/kismsu/followers","following_url":"https://api.github.com/users/kismsu/following{/other_user}","gists_url":"https://api.github.com/users/kismsu/gists{/gist_id}","starred_url":"https://api.github.com/users/kismsu/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/kismsu/subscriptions","organizations_url":"https://api.github.com/users/kismsu/orgs","repos_url":"https://api.github.com/users/kismsu/repos","events_url":"https://api.github.com/users/kismsu/events{/privacy}","received_events_url":"https://api.github.com/users/kismsu/received_events","type":"User","site_admin":false},"labels":[],"state":"closed","locked":false,"assignee":null,"milestone":null,"comments":2,"created_at":"2015-01-27T12:37:39Z","updated_at":"2015-11-28T16:26:13Z","closed_at":"2015-01-27T14:31:36Z","body":"Hi, I's testing my own version of Black-Scholes using your package as a point of reference and noticed something strange.\r\n```{r}\r\nmaturity <- 1/365\r\nunderlying <- 111.205\r\nstrike <- 111\r\nEuropeanOption(\"call\", underlying = underlying , strike = strike, div = 0.0, \r\n                                riskFree = 0.0, maturity = maturity , vol =0.00001)\r\n```\r\nThis is a call option with one day to expiry with no uncertainty and 0.205 intrinsic. The price should be 0.205, so it is\r\n```\r\nConcise summary of valuation for EuropeanOption \r\n  value   delta   gamma    vega   theta     rho  divRho \r\n 0.2050  1.0000  0.0000  0.0000  0.0000  0.3083 -0.3089 \r\n```\r\nBut, if we have only 0.5 days left\r\n```{r}\r\nmaturity <- 0.5/365\r\nunderlying <- 111.205\r\nstrike <- 111\r\nEuropeanOption(\"call\", underlying = underlying , strike = strike, div = 0.0, \r\n                                riskFree = 0.0, maturity = maturity , vol =0.00001)\r\n```\r\nPrice shouldn't change, but it does\r\n```\r\nConcise summary of valuation for EuropeanOption \r\n value  delta  gamma   vega  theta    rho divRho \r\n     0      0      0      0      0      0      0\r\n```\r\nIt looks like something going wrong with very small values of maturity. Any ideas?"},"comment":{"url":"https://api.github.com/repos/eddelbuettel/rquantlib/issues/comments/160316499","html_url":"https://github.com/eddelbuettel/rquantlib/issues/10#issuecomment-160316499","issue_url":"https://api.github.com/repos/eddelbuettel/rquantlib/issues/10","id":160316499,"user":{"login":"eddelbuettel","id":673121,"avatar_url":"https://avatars.githubusercontent.com/u/673121?v=3","gravatar_id":"","url":"https://api.github.com/users/eddelbuettel","html_url":"https://github.com/eddelbuettel","followers_url":"https://api.github.com/users/eddelbuettel/followers","following_url":"https://api.github.com/users/eddelbuettel/following{/other_user}","gists_url":"https://api.github.com/users/eddelbuettel/gists{/gist_id}","starred_url":"https://api.github.com/users/eddelbuettel/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/eddelbuettel/subscriptions","organizations_url":"https://api.github.com/users/eddelbuettel/orgs","repos_url":"https://api.github.com/users/eddelbuettel/repos","events_url":"https://api.github.com/users/eddelbuettel/events{/privacy}","received_events_url":"https://api.github.com/users/eddelbuettel/received_events","type":"User","site_admin":false},"created_at":"2015-11-28T16:26:13Z","updated_at":"2015-11-28T16:26:13Z","body":"This is now in the master branch of RQuantLib.  It requires QuantLib (>= 1.7) with `--enable-intraday`. "}}