Posted by
Ibrahim El-Fayoumi on
URL: http://quantlib.414.s1.nabble.com/How-to-obtain-the-Greeks-tp11547p11551.html
Luigi
I see, also, the errorEstimate() does not work at all, so I guess it is the
same story.
Thanks
Ibrahim
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Thursday, January 10, 2008 6:18 PM
To: Ibrahim El-Fayoumi
Cc:
[hidden email];
[hidden email]
Subject: Re: [Quantlib-dev] How to obtain the Greeks
On Thu, 2008-01-10 at 09:07 +0900, Ibrahim El-Fayoumi wrote:
> Hello Luigi
> I got exception, not with the analytic European option but rather the
> binomial american option
>
> My question whether the greeks are available for all options
> calculation or not?
> I mean, delta, vega, gamma, theta, and rho...
Oh, I see. No, not all greeks are available for all engines. Let me
check the source... yes, the binomial engine only provides delta, gamma
and theta. If you need the other greeks, you'll have to perturb the
input values and calculate them numerically.
Luigi
--
The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes
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