Bugs item #1776593, was opened at 2007-08-17 14:20
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1776593&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: No Vega or Rho under American Option Pricing Engines
Initial Comment:
I cannot get qlVega or qlRho to calculate Vega and Rho for an American option. I have used all of the pricing engines (CRR, JOSHI, etc.) and none work. However, the European and Asian option pricing engines work with qlVega and qlRho.
If anyone can fix this, please keep me posted. I am using it in QuantLibXL in Excel 2003.
Matt Slezak
[hidden email]
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1776593&group_id=12740-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems? Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>
http://get.splunk.com/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
