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
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Ibrahim El-Fayoumi Senior Software Engineer IWL Limited ABN 53 078 119 212 Level 7, 141 St Georges Terrace Perth WA Australia 6000 Phone: +61 8 9282 8430 Fax: +61 8 9321 1553 Mobile: 0402 817 354 Email: Ibrahim.El-Fayoumi@iwl.com.au Visit our corporate website:www.iwl.com.au This e-mail and any files transmitted with it are confidential and are only for the use of the person to whom they are addressed. If you are not the intended recipient, you are hereby notified that any use, dissemination, forwarding, printing, copying or dealing in any way whatsoever with this e-mail is strictly prohibited. If you have received this e-mail in error, please reply to us immediately and delete the document. It is the recipient's duty to virus scan and otherwise test the enclosed information before using the information or loading attached files onto any computer system. IWL Limited does not warrant that the information contained in this e-mail is free from viruses, defects, errors, interception or interference. Any views expressed in this message are those of the individual sender, except where that sender specifically states them to be the views of IWL Limited. |
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