Re: american options delta leads to seg.fault.

Posted by Dirk Eddelbuettel on
URL: http://quantlib.414.s1.nabble.com/american-options-delta-leads-to-seg-fault-tp10543p10545.html

Luigi,

On Mon, Apr 05, 2004 at 01:07:28PM +0200, Luigi Ballabio wrote:
> and the segfault will go away. What happens is that the current  
> implementation of binomial engines do not provide greeks, and QuantLib  

Ah.

> signals it by throwing an exception when delta() is called.

Ok, thanks. Do any of the other engines provide greeks? Would be nice to
still provide them for American options as I used to before 0.3.5.

Dirk

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The relationship between the computed price and reality is as yet unknown.  
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