Posted by
Ibrahim El-Fayoumi on
URL: http://quantlib.414.s1.nabble.com/How-to-obtain-the-Greeks-tp11547.html
Hello Luigi
When I tried to use the example with package to obtain the greeks,
I did the following:
......
// options
VanillaOption europeanOption(payoff, europeanExercise);
VanillaOption bermudanOption(payoff, bermudanExercise);
VanillaOption americanOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new AnalyticEuropeanEngine(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
std::cout << europeanObtion.delta();
...
This did not work, what I am missing?
Thanks
ibrahim
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