Quantlib methods for option pricing
Locked
 
|
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 |
|
|
Hi chandu,
As I see there is no binomial option engine for American option in QL recently, I think you can't find a direct map for CQG pricing model in QL. However you can try the FDAmericanEngine as a relative choice. Finite difference and binomial tree both are lattice based method and often give similar result. The using case I think can be found in test-suite folder. Regards, Cheng -----邮件原件----- 发件人: chandu123 [mailto:[hidden email]] 发送时间: 2015年11月2日 19:45 收件人: [hidden email] 主题: [Quantlib-users] Quantlib methods for option pricing 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 -- View this message in context: http://quantlib.10058.n7.nabble.com/Quantlib-methods-for-option-pricing-tp17 019.html Sent from the quantlib-users mailing list archive at Nabble.com. ---------------------------------------------------------------------------- -- _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: 答复: Quantlib methods for option pricing
|
|
The BinomialVanillaEngine class also works with American and Bermudan options. You can use that one if you want to price the option on a tree. Luigi On Tue, Nov 3, 2015 at 12:18 PM cheng li <[hidden email]> wrote: Hi chandu, -- <http://leanpub.com/implementingquantlib> ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: 答复: Quantlib methods for option pricing
|
|
The file Examples/EquityOption/EquityOption.cpp shows how to price a European option with a number of methods, including binomial trees; you can plug in your parameters and see what happens. However, the results from the binomial model should be about the same as the one you can get from the analytic Black-Scholes formula, so I would check against those first (either with QuantLib, or with any other Black-Scholes calculator you're comfortable with) to verify that your inputs are correct. Two things you might want to check: - how to convert the days to expiration into a time to plug in the formula (actual/360? actual/365?) - what to use as the underlying value in the formula. I guess it should be the futures values, which means the forward value of the underlying at expiry, not the spot. Does your system give you that? Hope this helps, Luigi On Tue, Nov 3, 2015 at 12:25 PM Luigi Ballabio <[hidden email]> wrote:
-- <http://leanpub.com/implementingquantlib> ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Quantlib methods for option pricing
|
|
In reply to this post by chandu123
Chandu
I am not sure if you had a resolution to your question. Some remarks on your question: Since the option you have is a European Call, you don't need binomial tree at all. Secondly, this is an option on commodity futures contract. This is usually priced using the Black formula (slightly different from the Black-Scholes formula). This can easily be done using the BlackCalculator. I added your example case to my post on valuing options on commodity futures. You will see the values are close enough to what you have (except for some scaling in the greeks): Option Price : 0.0789 Delta : 0.2347 Gamma : 0.4822 Theta : -0.3711 Vega : 0.4600 Rho : 0.1597 Hope this helps. Goutham |
«
Return to quantlib-users
|
1 view|%1 views
| Free forum by Nabble | Edit this page |