Problem with greeks

[gilles herzog]

Gut afternoon,
I want to compute the greeks of a barrier option for example but when i do :
option.delta() it seems to be not provided ? How can I do to compute theses
greels ?
Another Question :
The options down in and down out can not be computed but the upin and upout
don't cause any problem . How can I do ?
Thank you very much

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[Luigi Ballabio]

On 2/17/06, gilles herzog <[hidden email]> wrote:
> I want to compute the greeks of a barrier option for example but when i do :
> option.delta() it seems to be not provided ? How can I do to compute theses
> greels ?

In order to provide them, you would have to differentiate the closed
formula used for the value and find the corresponding formulas for the
greeks. Once you have them, you can code them into the engine.


> Another Question :
> The options down in and down out can not be computed but the upin and upout
> don't cause any problem . How can I do ?

Can you provide an example so that I can reproduce the problem?

Thanks,
    Luigi