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Re: Delta and Gamma of FD american Option

Posted by Tawanda Gwena on Mar 03, 2010; 1:20pm
URL: http://quantlib.414.s1.nabble.com/Delta-and-Gamma-of-FD-american-Option-tp6478p6481.html

Thanks, I hadn't seen that. So why are greeks not computed?

On Mar 3, 2010, at 8:13 AM, Luigi Ballabio wrote:

> 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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