can i access option greeks from excel addin

[m z-2]

I have downloaded and built the latest quantlib and add-in. I am planning to use it in an excel spreadsheet to show value and greeks for vanilla options. Now, can I access the options greeks (delta, gamma, vega, theta etc) through the excel add-in? So far, without digging too much into the documents, it seems that the only fields I can get access to are "NPV" and "ENGINE". And if I could, are there any examples and tutorials for accessing option greeks with the excel add-in? Thanks very much for your help ahead of time.

 

-Mike

[eric ehlers]

Hi Mike,

Option greeks aren't available in 0.3.12 but have been implemented in
the development environment for release in 0.3.13.

> So far, without digging too much into the documents, it
> seems that the only fields I can get access to are "NPV" and "ENGINE".

True.  In fact this "fields" functionality
(ohPropertyNames/ohPropertyValue) as implemented in 0.3.12 isn't very
useful - this feature has been completely revamped for 0.3.13.  For
now you may find qlNPV() is more convenient for getting the NPV.

> if I could, are there any examples and tutorials for accessing option greeks
> with the excel add-in?

For the upcoming release the options.xls example spreadsheet has been
revised to demonstrate all of the greeks functions.

Regards,
Eric

[artella]

=====

Hi,

Is there an Excel spreadsheet with a non - trivial volatility surface, which will allow me to price (and obtain the greeks) for european options?

I had a look at option.xls in QuantLibXL\Workbooks\StandaloneExamples but that didnt contain what I was looking for.

Thanks

=====

eric ehlers wrote

Hi Mike,

Option greeks aren't available in 0.3.12 but have been implemented in
the development environment for release in 0.3.13.

> So far, without digging too much into the documents, it
> seems that the only fields I can get access to are "NPV" and "ENGINE".

True.  In fact this "fields" functionality
(ohPropertyNames/ohPropertyValue) as implemented in 0.3.12 isn't very
useful - this feature has been completely revamped for 0.3.13.  For
now you may find qlNPV() is more convenient for getting the NPV.

> if I could, are there any examples and tutorials for accessing option greeks
> with the excel add-in?

For the upcoming release the options.xls example spreadsheet has been
revised to demonstrate all of the greeks functions.

Regards,
Eric