Sensitivity analysis for equity basket

Hello
I would like to know if there is any example which performs the greeks
computation for equity basket such as himalaya or everest...
thank you
P

------------------------------------------------------------------------------
Increase Visibility of Your 3D Game App & Earn a Chance To Win $500!
Tap into the largest installed PC base & get more eyes on your game by
optimizing for Intel(R) Graphics Technology. Get started today with the
Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs.
http://p.sf.net/sfu/intelisp-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Thu, 2010-12-02 at 15:22 +0100, [hidden email] wrote:
> I would like to know if there is any example which performs the greeks
> computation for equity basket such as himalaya or everest...

No, I don't think so.  But the idea is the same used in a few cases in
the test suite (such as EuropeanOptionTest::testGreeks() in
<test-suite/europeanoption.cpp>; look for "// perturb spot and get delta
and gamma" in the source.)  You can change the values inside the passed
quotes and calculate numerical derivatives.

Luigi


--

Everything that can be invented has been invented.
-- Charles Duell, Director of U.S. Patent Office, 1899



------------------------------------------------------------------------------
Lotusphere 2011
Register now for Lotusphere 2011 and learn how
to connect the dots, take your collaborative environment
to the next level, and enter the era of Social Business.
http://p.sf.net/sfu/lotusphere-d2d
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users