How do I get delta, gamma , theta from Swaption BlackSwaptionEngine

[imachabeli]

How do I get delta, gamma , theta from Swaption(BlackSwaptionEngine)?
Does BlackSwaptionEngine has formulas for greeks implemented?
additionalResults does not seem to have include them.

[Luigi Ballabio]

Currently, the engine only provides the vega.  You'll have to
calculate the other Greeks numerically (or extend the engine).

Luigi

On Wed, Oct 16, 2013 at 10:35 PM, imachabeli <[hidden email]> wrote:

> How do I get delta, gamma , theta from Swaption(BlackSwaptionEngine)?
> Does BlackSwaptionEngine has formulas for greeks implemented?
> additionalResults does not seem to have include them.
>
>
>
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