Things didn't change much. The finite-difference American engine
(that would be the FDAmericanEngine class in C++, I'm not sure if it's
exported to Excel) provides only Delta and Gamma. The binomial engine
(BinomialVanillaEngine) provides Delta, Gamma and Theta. Other engines
still don't provide Greeks.
Luigi
On Sun, May 26, 2013 at 1:40 AM, wood.vi <
[hidden email]> wrote:
> In
http://thread.gmane.org/gmane.comp.lang.r.finance/9397 (2012-Feb-09) cites
> release from notes Release 0.1.8 (~2003-Nov)
>
http://lists.r-forge.r-project.org/pipermail/rquantlib-commits/2010-August/000117.html> "/Note that under the new pricing framework used in QuantLib, binary pricers
> do not provide analytics for 'Greeks'. This is expected to be addressed in
> future releases of QuantLib./"
>
> from
>
http://stackoverflow.com/questions/10074480/r-rquantlib-not-calculating-greeks> (2012-Apr-9)
> "/the stubs are there because QL used to provided (numerical) greeks for
> American options, but stopped doing so many years ago./"
>
> As it happens, I'm getting #NUM! out of QuantLibXL when calculating American
> options' Delta, Gamma, Vega, Theta & Rho. I'm getting these numbers for
> European options. ohRangeRetrieveError() remains silent on the subject. Is
> that a limitation of QuantLib, of QuantLibXL, or should I keep trying?
>
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Current-Status-of-Greeks-for-American-Options-in-QuantLibXl-tp14282.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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