Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/How-to-obtain-the-Greeks-tp11547p11548.html
On Wed, 2008-01-09 at 13:34 +0000, Ibrahim El-Fayoumi wrote:
> 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?
Hi Ibrahim,
"did not work" as in "compilation error" or "runtime error"? In any
case, what does the error message say exactly?
Luigi
--
The Feynman Problem Solving Algorithm:
1) Write down the problem.
2) Think very hard.
3) Write down the solution.
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