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Re: Delta and Gamma of FD american Option

Posted by Luigi Ballabio on Mar 03, 2010; 1:13pm
URL: http://quantlib.414.s1.nabble.com/Delta-and-Gamma-of-FD-american-Option-tp6478p6480.html

On Wed, 2010-03-03 at 08:02 -0500, Tawanda Gwena wrote:
> I'm using the 1.0 engine. From how I understand this program, all
> calls for greeks are going through the file oneassetoption.cpp. This
> oneassetoption calls calculate(), and the fdamericanengine doesn't
> have this calculate function().

It does. It's inherited from FDStepConditionEngine. See
<ql/pricingengines/vanilla/fdstepconditionengine.hpp>

Luigi


--

Don't say "yes" until I finish talking.
-- Darryl F. Zanuck



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