On Thu, 2009-08-06 at 10:39 -0500, Reagan Ammann wrote:
> Looks like qlVega is not supported for American options (“qlVega -
> vega not provided“). Any particular reason? Nationalistic
> discrimination?
No discrimination :)
It's just that while European options have a closed-form solution and
the vega can be calculated by taking the derivative, Americans are
usually calculated with finite difference or tree methods and the vega
is more difficult to retrieve from those (in fact, you'll have the same
message for European options if you use a tree or FD engine instead of
the analytic one.)
Luigi
--
feature, n:
A surprising property of a program. Occasionally documented.
To call a property a feature sometimes means the author did not
consider that case, and the program makes an unexpected, though
not necessarily wrong response. See BUG. "That's not a bug,
it's a feature!" A bug can be changed to a feature by
documenting it.
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