Hi ,
I am new to QuantLib library. When we try to
calculate the American Option Greeks with AnalyticalDigitalAmericanEngine, it
returns some unacceptable values as option price and option greeks. Here is the
details.
Active Test Case No = 1
Using 0.3.7-debug
option type =
call
underlying 90
strike 100
dividendYield
0.1
riskFreeRate 0.1
volatility 0.15
todaysDate
12/09/2004
settlementDate 12/14/2004 // Plan
to settle
exerciseDate 01/15/2005
//Date of Expiry
Time to maturity 0.0876712
OptionType
Call
EngineType Call American
//AnalyticalDigitalAmericanEngine
Calculated Opt Price
-1.54148e+060
Calculated Opt Delta -1.05275e+060
Calculated Opt
Gamma -6.19998e+059
Calculated Opt Rho
-7.16467e+060
Expected results = 0.0206
Greek cal failed
within 2 decimal accuracy
calculatedOption price
-1.54148e+060
with a variation of 1.54148e+060
Accepted
Tolerance Set +/-
0.05
************************************************
All other Pricing Engines returns Option Price
properly but does not return option greeks values.
In case of European Options both option price
calculation and Option Greeks calculation is working properly.
Could anyone help me, how to proceed in calculating
American Option Greeks with QuantLib library.
Thanks in advance
Manoj
Locked
