Calculating greeks for a quanto vanilla option with Quantlib

[Pedro Milet]

Hello all,

 

I recently started using quantlib and I’m trying to calculate values for a quanto vanilla option (price, delta, vegas w.r.t to volatilities of asset and of fx rate, etc) – I could not find much information about quantlib quanto classes online.

 

I’m using a SWIG compilation of quantlib with C#. I instantiated a QuantoVanillaOption class together with a QuantoEuropeanEngine on a GeneralizedBlackScholesProcess. It yields the correct price with the .NPV() method, however I cannot get it to calculate the normal greeks (.vega(), .delta(), .gamma(), .dividendrho()) – it throws an exception; only q-greeks – namely qrho, qvega, qlambda – calculate without exception, although I confess I don’t know exactly that they are (are they rho and vega with respect to the foreign rate and foreign vol?).

 

What am I doing wrong? How can I calculate the normal greeks for a quanto vanilla option with quantlib?

 

Many thanks,

Pedro Milet

 

 

 

 

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[Luigi Ballabio]

Hello Pedro,

    apologies for the delay.  The other greeks should be calculated as well.  May you send a self-contained program that reproduces the problem?

As a workaround, in the meantime, you can calculate greeks numerically by bumping the inputs and repricing as in <https://youtu.be/MgUlBB59Ll0>.

Later,

    Luigi

On Tue, Oct 18, 2016 at 10:54 PM Pedro Milet <[hidden email]> wrote:

Hello all,

 

I recently started using quantlib and I’m trying to calculate values for a quanto vanilla option (price, delta, vegas w.r.t to volatilities of asset and of fx rate, etc) – I could not find much information about quantlib quanto classes online.

 

I’m using a SWIG compilation of quantlib with C#. I instantiated a QuantoVanillaOption class together with a QuantoEuropeanEngine on a GeneralizedBlackScholesProcess. It yields the correct price with the .NPV() method, however I cannot get it to calculate the normal greeks (.vega(), .delta(), .gamma(), .dividendrho()) – it throws an exception; only q-greeks – namely qrho, qvega, qlambda – calculate without exception, although I confess I don’t know exactly that they are (are they rho and vega with respect to the foreign rate and foreign vol?).

 

What am I doing wrong? How can I calculate the normal greeks for a quanto vanilla option with quantlib?

 

Many thanks,

Pedro Milet

 

 

 

 

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[Pedro Milet]

Hello Luigi,

 

Thank you for your reply.

 

I ended up calculating the greeks numerically as you suggested.

Based on your reply, I’m guessing it has to do with the particular SWIG compilation I’m using. I don’t have time to look into that right now, but the numerical greeks do fulfill my current needs.

 

Thanks again for your help,

 

 

Pedro Milet XP Investimentos (11) 3526-0169 | www.xpi.com.br

 

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De: Luigi Ballabio [mailto:[hidden email]]
Enviada em: quinta-feira, 10 de novembro de 2016 14:05
Para: Pedro Milet <[hidden email]>; [hidden email]
Assunto: Re: [Quantlib-users] Calculating greeks for a quanto vanilla option with Quantlib

 

Hello Pedro,

    apologies for the delay.  The other greeks should be calculated as well.  May you send a self-contained program that reproduces the problem?

 

As a workaround, in the meantime, you can calculate greeks numerically by bumping the inputs and repricing as in <https://youtu.be/MgUlBB59Ll0>.

 

Later,

    Luigi

 

 

On Tue, Oct 18, 2016 at 10:54 PM Pedro Milet <[hidden email]> wrote:

Hello all,

 

I recently started using quantlib and I’m trying to calculate values for a quanto vanilla option (price, delta, vegas w.r.t to volatilities of asset and of fx rate, etc) – I could not find much information about quantlib quanto classes online.

 

I’m using a SWIG compilation of quantlib with C#. I instantiated a QuantoVanillaOption class together with a QuantoEuropeanEngine on a GeneralizedBlackScholesProcess. It yields the correct price with the .NPV() method, however I cannot get it to calculate the normal greeks (.vega(), .delta(), .gamma(), .dividendrho()) – it throws an exception; only q-greeks – namely qrho, qvega, qlambda – calculate without exception, although I confess I don’t know exactly that they are (are they rho and vega with respect to the foreign rate and foreign vol?).

 

What am I doing wrong? How can I calculate the normal greeks for a quanto vanilla option with quantlib?

 

Many thanks,

Pedro Milet

 

 

 

 

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