Re: Option price not NPV()d ?

Posted by Ken Anderson-2 on
URL: http://quantlib.414.s1.nabble.com/Option-price-not-NPV-d-tp4751p4753.html

Thanks Luigi - that will work great!

Ken

On May 5, 2006, at 11:25 AM, Luigi Ballabio wrote:

>
> 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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