2nd/3rd order Greeks available?

[L Hollyfeld]

I'm a novice QuantLib user sticking to QuantLibXL so far.  Is there
any way to calculate 2nd and 3rd order greeks such as Vanna, Vomma,
Charm, Color, Speed, and Ultima?

Since no such functions seem to exist, I'm fearful I'd have to delve
into C++ to attempt to create them, which is a daunting prospect for
my skill level, unless there is some simplistic way to do so. High
degree of accuracy is not required.

Thanks!

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

Hello,

    apologies for the delay.  If you don't want to change the underlying C++ code, missing Greeks can be calculated numerically by perturbing the inputs.  See <https://www.youtube.com/watch?v=MgUlBB59Ll0> for a quick introduction.

Luigi

On Sun, Feb 5, 2017 at 5:47 PM L Hollyfeld <[hidden email]> wrote:

I'm a novice QuantLib user sticking to QuantLibXL so far.  Is there
any way to calculate 2nd and 3rd order greeks such as Vanna, Vomma,
Charm, Color, Speed, and Ultima?

Since no such functions seem to exist, I'm fearful I'd have to delve
into C++ to attempt to create them, which is a daunting prospect for
my skill level, unless there is some simplistic way to do so. High
degree of accuracy is not required.

Thanks!

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users