Hello,
> Hi all,
>
> I would like to price an American Vanilla option with discrete dividends in
> Quantlib XL, but I am not sure there is any pricing engine that has been
> implemented for that in the excel version of Quantlib.
>
> I am using the qlDividendVanillaOption object to define the option. CRR
> pricing engine won't work, for example(error = wrong engine type), and I
> believe the Finite Differences Dividend American engine has not been
> implemented in excel. Anyone could help me with that ?
The short answer is, I'm afraid not :(
I haven't looked at the QuantLibXL options implementation in a long
time and can't check it now as I'm writing this from my linux machine.
But it's certain that QuantLibXL supports only a subset of the
options functionality in QuantLib, so if you looked for a particular
model and didn't find it then there's probably nothing more to say.
If anyone cares to contribute the relevant enhancement it would be
gratefully received.
Regards,
Eric
------------------------------------------------------------------------------
Come build with us! The BlackBerry® Developer Conference in SF, CA
is the only developer event you need to attend this year. Jumpstart your
developing skills, take BlackBerry mobile applications to market and stay
ahead of the curve. Join us from November 9-12, 2009. Register now!
http://p.sf.net/sfu/devconf_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
