-------- Original message --------
Date: 11/4/2015 5:17 AM (GMT-05:00)
Subject: Re: [Quantlib-users] 答复: Quantlib methods for option pricing
The file Examples/EquityOption/EquityOption.cpp shows how to price a European option with a number of methods, including binomial trees; you can plug in your parameters and see what happens.
However, the results from the binomial model should be about the same as the one you can get from the analytic Black-Scholes formula, so I would check against those first (either with QuantLib, or with any other Black-Scholes calculator you're comfortable with) to verify that your inputs are correct. Two things you might want to check:
- how to convert the days to expiration into a time to plug in the formula (actual/360? actual/365?)
- what to use as the underlying value in the formula. I guess it should be the futures values, which means the forward value of the underlying at expiry, not the spot. Does your system give you that?
Hope this helps,
Luigi
On Tue, Nov 3, 2015 at 12:25 PM Luigi Ballabio <
[hidden email]> wrote:
The BinomialVanillaEngine class also works with American and Bermudan options. You can use that one if you want to price the option on a tree.
Luigi
Hi chandu,
As I see there is no binomial option engine for American option in QL
recently, I think you can't find a direct map for CQG pricing model in QL.
However you can try the FDAmericanEngine as a relative choice. Finite
difference and binomial tree both are lattice based method and often give
similar result.
The using case I think can be found in test-suite folder.
Regards,
Cheng
-----邮件原件-----
发件人: chandu123 [mailto:[hidden email]]
发送时间: 2015年11月2日 19:45
收件人: [hidden email]
主题: [Quantlib-users] Quantlib methods for option pricing
Hi,
I want to use QuantLib for valuation of CME option symbol LNEF6 C3500, which
QL methods should I use to match the values below?
I need to match values obtained by my trader using CQG which uses a binomial
options model.
LNEF6 C3500 is a European call option on JAN16 natural gas futures with a
3.5 strike. On Sep 23rd 2015, the option price was valued at 0.0745
with a delta of 22.85 and gamma of 0.047. These values were obtained using
the CQG platform by Global Futures
(http://www.globalfutures.com/index.asp?refid=fscqg)
The parameters are:
double volatility = 0.4251;
double strike = 3.5;
double underlyingPrice = 2.919;
double daysToExpiration = 96.12;
double ir = 0.015; // 1.5% interest rate String optionType = call;
Which QL method can I call to match the option price, delta and gamma?
Thanks,
chandu
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