Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Partial-greeks-calculation-for-MonteCarloed-basket-options-tp11436p11437.html
On Tue, 2007-11-27 at 13:40 +0100, "Frank Hövermann" wrote:
> Hi there!
> What is the most general way to calculate (partial) greeks for a
> MultiAssetOption or a BasketOption? Does anyone ever had the chance to
> implement something like this? E.g., in the case of delta at least I
> am not able move the spot of the underlying StochasticProcess within
> the option's class. Any hints are more than welcome.
You have to move the spot from outside the class. See for instance
EuropeanOption::testGreeks() in test-suite/europeanoption.cpp; you can
look at the part where the "expected" map is filled.
This said, as Simon mentioned, you'll have to be careful of numerical
artifacts in the results if you're using Monte Carlo.
Luigi
--
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For every action, there is an equal and opposite criticism.
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