Re: Finite Difference Pricing Engine

Posted by Neil P Firth on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533p2540.html

Hi,

Are these approximations coded up in the Pricing Engine framework? I could
code up another approximation, that shouldn't be too hard. Any
suggestions? What is the timetable for checking in the approximations to
CVS?

For the greeks I guess the simplest solution would be to bump the inputs
and do a simple finite difference, it would slow things down though. If
someone wants to do the calculus they can check the result against the
finite differences ;)

Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
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