Re: Beginner tutorial in progress
Posted by
Tawanda Gwena on
Mar 16, 2010; 3:56pm
URL: http://quantlib.414.s1.nabble.com/Beginner-tutorial-in-progress-tp7306p7308.html
Thanks for the feedback Luigi. I've changed the code.
On Mar 16, 2010, at 4:01 AM, Luigi Ballabio wrote:
> 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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