QuantLib › quantlib-users

Pricing American Option with discrete dividends with quantlibXL.

Classic

List

Threaded

4 messages Options

Paulo Roberto Lagrotta

Pricing American Option with discrete dividends with quantlibXL.

Hi all,

I’m using QuantLibXL ans the function qlDividendVanillaOption to price American Option with discrete dividends but I’m not sure if pricing engine is working. All pricing engine returns error “wrong engine type”.

Anyone could help me?

Tkanks in advanced,

PRL.

------------------------------------------------------------------------------
Infragistics Professional
Build stunning WinForms apps today!
Reboot your WinForms applications with our WinForms controls.
Build a bridge from your legacy apps to the future.
http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Luigi Ballabio

Re: Pricing American Option with discrete dividends with quantlibXL.

Hello,
I'm sorry I won't be able to help (I'm not working on Windows).
However, may you post a minimal spreadsheet that reproduces the
example? It might help other diagnose the problem.

Luigi

On Mon, Aug 4, 2014 at 7:15 PM, Paulo Roberto Lagrotta
<[hidden email]> wrote:

> Hi all,
>
>
>
> I’m using QuantLibXL ans the function qlDividendVanillaOption to price
> American Option with discrete dividends but I’m not sure if pricing engine
> is working. All pricing engine returns error “wrong engine type”.
>
>
>
> Anyone could help me?
>
> Tkanks in advanced,
>
>
>
> PRL.
>
>
>
>
> ------------------------------------------------------------------------------
> Infragistics Professional
> Build stunning WinForms apps today!
> Reboot your WinForms applications with our WinForms controls.
> Build a bridge from your legacy apps to the future.
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
Infragistics Professional
Build stunning WinForms apps today!
Reboot your WinForms applications with our WinForms controls.
Build a bridge from your legacy apps to the future.
http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Paulo Roberto Lagrotta

Re: Pricing American Option with discrete dividends with quantlibXL.

Hello,
See attached the minimal spreadsheet. There are two examples.
First example is pricing correctly using "VannilaOption" model, just to show the correct price.
The second example is using "DividendVanillaOption" model and reproduces the error.

Thanks in advance,
PRL.

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Thursday, August 7, 2014 6:29 AM
To: Paulo Roberto Lagrotta
Cc: QuantLib users
Subject: Re: [Quantlib-users] Pricing American Option with discrete dividends with quantlibXL.

Hello,
I'm sorry I won't be able to help (I'm not working on Windows).
However, may you post a minimal spreadsheet that reproduces the example? It might help other diagnose the problem.

Luigi

On Mon, Aug 4, 2014 at 7:15 PM, Paulo Roberto Lagrotta <[hidden email]> wrote:

> Hi all,
>
>
>
> I’m using QuantLibXL ans the function qlDividendVanillaOption to price
> American Option with discrete dividends but I’m not sure if pricing
> engine is working. All pricing engine returns error “wrong engine type”.
>
>
>
> Anyone could help me?
>
> Tkanks in advanced,
>
>
>
> PRL.
>
>
>
>
> ----------------------------------------------------------------------
> --------
> Infragistics Professional
> Build stunning WinForms apps today!
> Reboot your WinForms applications with our WinForms controls.
> Build a bridge from your legacy apps to the future.
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.
> clktrk _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

qlxl-american-option_example.xlsx (17K) Download Attachment

Luigi Ballabio

Re: Pricing American Option with discrete dividends with quantlibXL.

Ok, I see what you're trying to do. The binomial engine doesn't
support dividend options. In C++ you would use the
FDDividendAmericanEngine class (which uses finite differences) but I
don't think it's exported to Excel. If you want to get your hands
dirty with the wrapper code, you can export it to Excel; otherwise,
you'll have to approximate the option value in some other way (for
instance, converting the dividends into a dividend yield and using a
regular vanill option might be a possibility).

Luigi

On Thu, Aug 7, 2014 at 2:08 PM, Paulo Roberto Lagrotta
<[hidden email]> wrote:

> Hello,
> See attached the minimal spreadsheet. There are two examples.
> First example is pricing correctly using "VannilaOption" model, just to show the correct price.
> The second example is using "DividendVanillaOption" model and reproduces the error.
>
> Thanks in advance,
> PRL.
>
> -----Original Message-----
> From: Luigi Ballabio [mailto:[hidden email]]
> Sent: Thursday, August 7, 2014 6:29 AM
> To: Paulo Roberto Lagrotta
> Cc: QuantLib users
> Subject: Re: [Quantlib-users] Pricing American Option with discrete dividends with quantlibXL.
>
> Hello,
> I'm sorry I won't be able to help (I'm not working on Windows).
> However, may you post a minimal spreadsheet that reproduces the example? It might help other diagnose the problem.
>
> Luigi
>
> On Mon, Aug 4, 2014 at 7:15 PM, Paulo Roberto Lagrotta <[hidden email]> wrote:
>> Hi all,
>>
>>
>>
>> I’m using QuantLibXL ans the function qlDividendVanillaOption to price
>> American Option with discrete dividends but I’m not sure if pricing
>> engine is working. All pricing engine returns error “wrong engine type”.
>>
>>
>>
>> Anyone could help me?
>>
>> Tkanks in advanced,
>>
>>
>>
>> PRL.
>>
>>
>>
>>
>> ----------------------------------------------------------------------
>> --------
>> Infragistics Professional
>> Build stunning WinForms apps today!
>> Reboot your WinForms applications with our WinForms controls.
>> Build a bridge from your legacy apps to the future.
>> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.
>> clktrk _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>