Hi,
I want to use QuantLib for valuation of CME option symbol LNEF6 C3500, which QL methods should I use to match the values below?
I need to match values obtained by my trader using CQG which uses a binomial options model.
LNEF6 C3500 is a European call option on JAN16 natural gas futures with a 3.5 strike. On Sep 23rd 2015, the option price was valued at 0.0745
with a delta of 22.85 and gamma of 0.047. These values were obtained using the CQG platform by Global Futures
(
http://www.globalfutures.com/index.asp?refid=fscqg)
The parameters are:
double volatility = 0.4251;
double strike = 3.5;
double underlyingPrice = 2.919;
double daysToExpiration = 96.12;
double ir = 0.015; // 1.5% interest rate
String optionType = call;
Which QL method can I call to match the option price, delta and gamma?
Thanks,
chandu
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