Re: 2nd/3rd order Greeks available?
Posted by
Luigi Ballabio on
Feb 15, 2017; 8:41am
URL: http://quantlib.414.s1.nabble.com/2nd-3rd-order-Greeks-available-tp18058p18085.html
Hello,
apologies for the delay. If you don't want to change the underlying C++ code, missing Greeks can be calculated numerically by perturbing the inputs. See <
https://www.youtube.com/watch?v=MgUlBB59Ll0> for a quick introduction.
Luigi
I'm a novice QuantLib user sticking to QuantLibXL so far. Is there
any way to calculate 2nd and 3rd order greeks such as Vanna, Vomma,
Charm, Color, Speed, and Ultima?
Since no such functions seem to exist, I'm fearful I'd have to delve
into C++ to attempt to create them, which is a daunting prospect for
my skill level, unless there is some simplistic way to do so. High
degree of accuracy is not required.
Thanks!
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