Correct classes for options on commodity futures?
Posted by Ken Anderson-2 on
URL: http://quantlib.414.s1.nabble.com/Correct-classes-for-options-on-commodity-futures-tp4612.html
I need to generate greeks and implied volatilities for options on
commodity futures. Right now, I'm using BlackScholesProcess and
VanillaOption. Is that correct? I would like to use Black-76, but
I'm not sure if I'm getting that this way or not...
Thanks,
Ken