Tried [ql.Settings.instance().includeReferenceDateEvents = True] and it works for the calculation of NPV using intrinsic value of the option.

But Delta is nan for an in-the-money option. I understand that greeks mean nothing on the expiration date. But should the delta of an in-the-money option be 100%?

Are there any global settings to handle this delta-behavior on expirations?


  • $\begingroup$ If by date you mean time (ie date plus time), then you will have Greeks up until expiry, and then at expiry the option ceases to exist, so prices aren't necessarily defined, it will be implementation specific, a feature. How would you define Greeks at expiry? $\endgroup$
    – will
    Apr 25 '18 at 20:23
  • $\begingroup$ for options delta, 100% if in the money and 0% if out of the money. Know of any specific setting for this behavior? thanks $\endgroup$
    – Rayzola
    May 4 '18 at 6:33

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