On Fri, Feb 24, 2012 at 10:52 AM, Paolo Tenconi <
[hidden email]> wrote:
> could anyone tell me if is it possibile to get a delta greek on a quanto
> barrier option in Quantlib?
> I'm just a qlXL user, in that case I'll try to include this feature.
No, I don't think so. Even in the C++ library, and even neglecting
the quanto feature, most engines for the barrier option don't provide
the delta. From a cursory look, I think the only one that does if the
finite-difference Heston engine, but you'd probably have a hard time
exporting that.
Luigi
------------------------------------------------------------------------------
Keep Your Developer Skills Current with LearnDevNow!
The most comprehensive online learning library for Microsoft developers
is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
Metro Style Apps, more. Free future releases when you subscribe now!
http://p.sf.net/sfu/learndevnow-d2d_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
