Re: Option price not NPV()d ?

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Option-price-not-NPV-d-tp4751p4752.html

On 04/27/2006 08:01:28 PM, Ken Anderson wrote:
> The VanillaOption class has a method, NPV(), which calculates the net  
> present value for the option (the value of the option multiplied by  
> the discounting factor).
>
> I'm using these classes to compute exchange traded commodity options,  
> and therefore, should not have the price NPV()d.  Is there a way to  
> get the value without NPV ?

Not at this time. If you have to mix such options with other  
instruments, you could inherit from VanillaOption and redefine the  
calculate() method in your derived class as

void calculate() const {
     VanillaOption::calculate();
     // find the discount factor
     NPV_ /= discount;
}

Luigi



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