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Re: Beginner tutorial in progress

Posted by Luigi Ballabio on Mar 16, 2010; 8:01am
URL: http://quantlib.414.s1.nabble.com/Beginner-tutorial-in-progress-tp7306p7307.html

On Mon, 2010-03-15 at 22:49 -0400, Tawanda Gwena wrote:
> I am working on a beginner tutorial for quantlib. I don't want other  
> people to go through the torture I did. At the moment it's very  
> preliminary and full of mistakes (and downright lies). However I would  
> like your feedback as I work on it over the next few weeks.

Great---let me know when you think I can put a link to it on the
QuantLib site.

A piece of feedback: you don't need to create a new process (and a new
engine) to change the underlying value. That's what quotes are about.
You create a process and set the engine once, with:

uQuote = SimpleQuote(underlying)
underlyingH = QuoteHandle(uQuote)
...
bsmProcess = BlackScholesMertonProcess(underlyingH,
                                       dividendYield,
                                       flatTermStructure,
                                       flatVolTS)
europeanOption.setPricingEngine(AnalyticEuropeanEngine(bsmProcess))

after which, you just change the value in the quote and the option
recalculates automatically:

for x in range(20,60):
    uQuote.setValue(x)
    value = europeanOption.NPV()

Luigi



--

The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes



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