greeks for american options

[Paul Laderoute]

Hi,

 

I'm a software developer, and a new QuantLib user.  Could someone please tell me whether any pricing engine can calculate greeks (including theta, vega, rho) for american options?

 

The BaroneAdesiWhaleyApproximationEngine, and BjerksundStenslandApproximationEngine provide greeks for Call options only.  All other engines I have looked at throw exceptions when their greeks are accessed.

 

Is the functionality not yet implemented, or am I missing something?

 

Thanks in advance for any help.

 

Best regards,
Paul Laderoute

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[Luigi Ballabio]

On 04/21/2006 05:36:39 PM, Paul Laderoute wrote:
> I'm a software developer, and a new QuantLib user.  Could someone
> please tell me whether any pricing engine can calculate greeks
> (including theta, vega, rho) for american options?

The finite-difference engines provide delta and gamma. For the other  
Greeks, you can either take the Barone-Adesi-Whaley and/or the  
Bjerksund-Stensland engine, differentiate the analytic formulas they  
implement, and add the corresponding greeks (in which case I'd be  
grateful for a patch) or take any engine and calculate the Greeks  
numerically (calculate, change an input slightly, recalculate, take the  
difference.)

Later,
        Luigi


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