On Thu, 2010-07-15 at 12:07 +0200, Circo Giuseppe (DAM) wrote:
> I would like to compute greeks of a given swaption with
> qlInstrumentResults
>
> The only value a can extract is vega. Others (theta, gamma, delta) are
> not provided. Could someone enumerate what is result type is available
> and if needed how to find other greeks?
For most swaption engines, all you get is the value.
For the Black engine, you can see what results are available in
<ql/pricingengines/swaption/blackswaptionengine.cpp> (look for anything
that is stored in the results_ structure and its additionalResults data
member. If you don't have the library sources, you can look at
<
http://quantlib.svn.sourceforge.net/viewvc/quantlib/trunk/QuantLib/ql/pricingengines/swaption/blackswaptionengine.cpp?revision=HEAD&view=markup>.
Luigi
--
Skinner's Constant (or Flannagan's Finagling Factor):
That quantity which, when multiplied by, divided by, added to,
or subtracted from the answer you got, gives you the answer you
should have gotten.
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