Posted by
Luigi Ballabio on
Mar 08, 2010; 2:16pm
URL: http://quantlib.414.s1.nabble.com/Delta-and-Gamma-of-FD-american-Option-tp6478p6482.html
On Wed, 2010-03-03 at 08:20 -0500, Tawanda Gwena wrote:
> Thanks, I hadn't seen that. So why are greeks not computed?
Delta and Gamma are computed. Theta is not, but it's probably an
oversight. If you have some time, you could add theta calculation to
FDStepConditionEngine (which would take one line of code) and test it
(which might take a bit longer. You should re-enable the calculations
currently commented out in <test-suite/americanoption.cpp>.)
Luigi
> 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
> >
> >
>
--
Don't say "yes" until I finish talking.
-- Darryl F. Zanuck
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