Re: VanillaOptions : theta from ql vs other pricers

Posted by Ferdinando M. Ametrano-3 on Mar 01, 2010; 3:21pm
URL: http://quantlib.414.s1.nabble.com/VanillaOptions-theta-from-ql-vs-other-pricers-tp331p332.html

On Mon, Mar 1, 2010 at 10:50 AM, iosif ziman <[hidden email]> wrote:

> I am looking at matching greeks between quantlib and alternative pricers. I

> found that I manage to match delta, gamma, vega, rho but NOT theta.

mmm... if you match value, delta, and gamma then theta is fixed by Black-Scholes equation...

with your data this is what I get (see the attached QLXL spreadsheet)

TimeToExpiry 0.0740

vol         40.00%

RiskFreeRate 8.0000%

DividendRate 0.0000%

Spot         11543.73

Strike         11800.00

Value 416.97

Delta 0.46294

Gamma 0.00032

Theta -3766.04

in the spreadsheet I've replicated that Theta value using both Black/Scholes and numerically by finite differences, so it's correct

Beware that different definition of Theta are available, the one I'm referring to is the derivative of value with respect to time with inverted sign (and so it depends on how you measure time). Another common definition is ThetaPerDay = Theta/365

ciao -- Nando

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