Feature Requests item #910972, was opened at 2004-03-06 16:41
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=910972&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: 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])
----------------------------------------------------------------------
>Comment By: Luigi Ballabio (lballabio)
Date: 2007-04-19 17:00
Message:
Logged In: YES
user_id=75450
Originator: NO
Steve's code is now in the repository.
----------------------------------------------------------------------
Comment By: steve_affine (steve_affine)
Date: 2007-04-11 11:32
Message:
Logged In: YES
user_id=1758990
Originator: NO
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.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=910972&group_id=12740-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
