Here is an easy way to get Rho and Vega for American
options using QuantLibXL in Excel. It doesn't look
like any of the pricing engines have this built in, so
this workaround is a quick fix.
For Rho, you just create an additional two objects in
Excel (this assumes the original objects are "amer"
and "blackscholes1"):
=qlVanillaOption("amer2",BLACK_SCHOLES2,$B$44,B40,C37)
=qlGeneralizedBlackScholesProcess("blackscholes2",B46,B12,B48,B49,(B18+0.0001%),B50)
then calculate Rho using:
=qlInstrumentNPV(amer2)-amer1)/0.0001%
For Vega, you create an additional three objects:
=qlVanillaOption("amer3",BLACK_SCHOLES3,$B$44,B40,C37)
=qlGeneralizedBlackScholesProcess("blackscholes3",E46,B12,B48,B49,B18,B50)
=qlBlackConstantVol("blackvol2",B49,(B17+0.0001%),B48)
then calculate Vega using:
=qlInstrumentNPV(amer3)-amer1)/0.0001%
Hope this is helpful for some out there that need
American option greeks.
Matt Slezak
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