On 06/23/2005 06:55:26 PM, Daniel J. Duffy wrote:
> Maybe
you could modify Quantlib FDM schemes to handle greeks. It's
>
fairly easy. Just take divided diference of price to get delta. I
>
have done it and its OK.
That is a possibility---and indeed, delta and
gamma are calculated in
this way in all finite-difference engines---but
one would have to write
a FD engine for Barrier options first, which is
missing at this time.
As to the current analytic engine, one could write
down the implemented
formula and derive it; it's a bit of tedious work,
but possible. After
one's done that, one'd just assign the
corresponding variable, as in:
results_.value = C(1,1) + E(1); //
an existing switch case
results_.delta = (the expression one
found);
in every switch and if clause.
Alternatively, a numerical
estimate can be obtained by calculating the
analytic prices P1 and P2
for underlying prices (u0 - du) and (u0 +
du), respectively, where du
is a small increment and approximate delta
as (P2-P1)/(2*du). (Daniel,
was this what you were
suggesting?)
Later,
Luigi
----------------------------------------
Prediction is very
difficult, especially if it's about the future.
-- Niels
Bohr
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