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-tp10543p10547.html

Nando,

On Mon, Apr 05, 2004 at 05:10:25PM +0200, Ferdinando Ametrano wrote:
> >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.
>
> The (old) Finite Difference pricers provide greeks. Unfortunately they
> haven't been upgraded to the (new) pricing engine framework yet.

Could we possibly settle on an understanding that while they are net yet
available in the new framework, we do not nuke the old one?

As you had gently nudged me to convert my few functions to the new pricers
(which I did, and I can live with barrieroptions without greeks), I would
prefer to release the American option code with greeks. Which requires the
old pricer.

Dirk

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