How to obtain the Greeks

[Ibrahim El-Fayoumi]

Hello Luigi
When I tried to use the example with package to obtain the greeks,
I did the following:
......
         // options
        VanillaOption europeanOption(payoff, europeanExercise);
        VanillaOption bermudanOption(payoff, bermudanExercise);
        VanillaOption americanOption(payoff, americanExercise);

        // Analytic formulas:

        // Black-Scholes for European
        method = "Black-Scholes";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                                     new AnalyticEuropeanEngine(bsmProcess)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << "N/A"
                  << std::endl;
        std::cout << europeanObtion.delta();


...

This did not work, what I am missing?

Thanks
ibrahim



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[Luigi Ballabio]

On Wed, 2008-01-09 at 13:34 +0000, Ibrahim El-Fayoumi wrote:

> Hello Luigi
> When I tried to use the example with package to obtain the greeks,
> I did the following:
> ......
> // options
>         VanillaOption europeanOption(payoff, europeanExercise);
>         VanillaOption bermudanOption(payoff, bermudanExercise);
>         VanillaOption americanOption(payoff, americanExercise);
>
>         // Analytic formulas:
>
>         // Black-Scholes for European
>         method = "Black-Scholes";
>         europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
>                                      new AnalyticEuropeanEngine(bsmProcess)));
>         std::cout << std::setw(widths[0]) << std::left << method
>                   << std::fixed
>                   << std::setw(widths[1]) << std::left << europeanOption.NPV()
>                   << std::setw(widths[2]) << std::left << "N/A"
>                   << std::setw(widths[3]) << std::left << "N/A"
>                   << std::endl;
> std::cout << europeanObtion.delta();
>
>
> ...
>
> This did not work, what I am missing?

Hi Ibrahim,
        "did not work" as in "compilation error" or "runtime error"? In any
case, what does the error message say exactly?

Luigi


--

The Feynman Problem Solving Algorithm:
1) Write down the problem.
2) Think very hard.
3) Write down the solution.



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[Ibrahim ElFayoumi]

Hello Luigi
I got exception, not with the analytic European option but rather the binomial american option

My question whether the greeks are available for all options calculation or not?
I mean, delta, vega, gamma, theta, and rho...

Regards
Ibrahim

On Wed, 2008-01-09 at 13:34 +0000, Ibrahim El-Fayoumi wrote:
> Hello Luigi
> When I tried to use the example with package to obtain the greeks, 
> I did the following:
> ......
> 	 // options
>         VanillaOption europeanOption(payoff, europeanExercise);
>         VanillaOption bermudanOption(payoff, bermudanExercise);
>         VanillaOption americanOption(payoff, americanExercise);
> 
>         // Analytic formulas:
> 
>         // Black-Scholes for European
>         method = "Black-Scholes";
>         europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
>                                      new AnalyticEuropeanEngine(bsmProcess)));
>         std::cout << std::setw(widths[0]) << std::left << method
>                   << std::fixed
>                   << std::setw(widths[1]) << std::left << europeanOption.NPV()
>                   << std::setw(widths[2]) << std::left << "N/A"
>                   << std::setw(widths[3]) << std::left << "N/A"
>                   << std::endl;
> 	std::cout << europeanObtion.delta();
> 
> 
> ...
> 
> This did not work, what I am missing?

Hi Ibrahim,
	"did not work" as in "compilation error" or "runtime error"? In any
case, what does the error message say exactly?

Luigi

Ibrahim El-Fayoumi
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[Luigi Ballabio]

On Thu, 2008-01-10 at 09:07 +0900, Ibrahim El-Fayoumi wrote:
> Hello Luigi
> I got exception, not with the analytic European option but rather the
> binomial american option
>
> My question whether the greeks are available for all options
> calculation or not?
> I mean, delta, vega, gamma, theta, and rho...

Oh, I see. No, not all greeks are available for all engines. Let me
check the source... yes, the binomial engine only provides delta, gamma
and theta. If you need the other greeks, you'll have to perturb the
input values and calculate them numerically.

Luigi


--

The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes



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[Ibrahim El-Fayoumi]

Luigi
I see, also, the errorEstimate() does not work at all, so I guess it is the
same story.
Thanks
Ibrahim

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Thursday, January 10, 2008 6:18 PM
To: Ibrahim El-Fayoumi
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-dev] How to obtain the Greeks

On Thu, 2008-01-10 at 09:07 +0900, Ibrahim El-Fayoumi wrote:
> Hello Luigi
> I got exception, not with the analytic European option but rather the
> binomial american option
>
> My question whether the greeks are available for all options
> calculation or not?
> I mean, delta, vega, gamma, theta, and rho...

Oh, I see. No, not all greeks are available for all engines. Let me
check the source... yes, the binomial engine only provides delta, gamma
and theta. If you need the other greeks, you'll have to perturb the
input values and calculate them numerically.

Luigi


--

The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes



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