On 2004.03.06 05:42, Wry Boy wrote:
> ../PricingEngines/binomialvanillaengine.cpp
>
> any plans to add greeks to this pricing engine? why
> does such a rich library omit the relatively basic
> feature of being able to provide greeks for american
> options using e.g. CRR binomial model.....
Phil,
greeks are not omitted by design. The simple reason is that
being QuantLib a volunteer project, one can only add features when more
mundane cares (such as one's real job and family) allow one to do so.
Oh, and I hope I don't sound too harsch in writing this---I'm not
rebuking you, just stating a fact. Had I wanted to rebuke you, I would
have said "it's an open source project---you can implement them" :)
> net present value is great but i gotta have those partials too....
For the time being, you can obtain them numerically---get the NPV for
your current underlying value, perturb it, get the NPV again, there's
your delta. This said, you're welcome to add greeks to the feature
request tracker at
http://sourceforge.net/tracker/?group_id=12740&atid=362740so that we remember to consider them when we have some time on our
hands. And of course, were you to give it a try, the bit about
contributing them would apply too...
Regards,
Luigi
Locked
