Feature Requests item #1776593, was opened at 2007-08-17 23:20
Message generated for change (Comment added) made by ericehlers
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=362740&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: Closed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Eric Ehlers (ericehlers)
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]
----------------------------------------------------------------------
>Comment By: Eric Ehlers (ericehlers)
Date: 2007-09-07 22:29
Message:
Logged In: YES
user_id=1143221
Originator: NO
Hi Matt,
Unfortunately I'm not aware of plans to add the requested functionality
(nor the feasibility thereof). Contributions are welcome.
If you have a copy of the source code you can at least identify which
pricing engines support vega/rho by searching for those terms in *.cpp
files in directory ql/pricingengines and its subdirectories.
Regards,
Eric
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1776593&group_id=12740-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2005.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
