Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533p2541.html
Hi Neil,
Taking the finite difference for greeks is the least solution.
Maybe a new method to apply "practical greeks" at the portfolio level is a
good enhancement for risk managers but there's a close formula to deduce
delta and gamma in the case of Geske Johnson approximation (continous
dividend).
I don't know yet if the same thing has already been given for other
approximation but it's certainly not too hard to find.
Xavier
Neil P Firth
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[hidden email] Subject: Re: [Quantlib-users] Finite Difference Pricing Engine
eforge.net
20/05/2003 15:47
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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