Feature Requests item #910972, was opened at 2004-03-06 23:41
Message generated for change (Comment added) made by steve_affine
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Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Add Greeks to Binomial Vanilla Engine
Initial Comment:
delta, gamma, theta, vega, rho, etc. ought to be added
to the binomial vanilla engine. many would consider
this "core" functionality of any serious library. if i can
find the time, i will look into it myself as Luigi and others
have suggested. phil k. (
[hidden email])
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Comment By: steve_affine (steve_affine)
Date: 2007-04-11 17:32
Message:
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I have added Delta, Gamma and Theta to the latest release (0.8), as they
can be derived directly from the binomial tree. Other greeks (primarily
Rho, Vega) can only really be derived by running the calculation twice for
slightly different rates/volatilities, but this is trivial to do.
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