Re: Greeks
Posted by
Sumit Gupta-5 on
Mar 21, 2009; 4:30am
URL: http://quantlib.414.s1.nabble.com/Greeks-tp7342p7344.html
The values for Eurpoean (BlackScholes) options and greeks being calculated perfectly and matching to the 4th decimal point with ASX. Also for bionomial (American) the value of option is matching perfectly too. BUT Greeks are not matching at all and not even with close approximation. I am using the same input as provided to ASX options in the example EquityOption.cs.
Also, FYI, the EquityOption I changed variable settlementDate with todayDate variable in the code as it was bug there and once i did tht I started getting the perfect values.
ASX calculator can be accessed with the link below. Select the option you want to calculate:
Thanks for your help in advance.
Regards,
Sumit Gupta
On Fri, Mar 20, 2009 at 9:00 PM, Luigi Ballabio
<[hidden email]> wrote:
On Thu, 2009-03-19 at 13:21 +1100, Sumit Gupta wrote:
> I am trying to get my hands on Options. I am trying to use the
> QuantLib C# code for calculating Options (single and multiple) and
> also to evaluate Greeks and Marginal Values. In the solution I have
> seen an example of calculating options but the values there is not
> matching with
www.asx.com.au calculator.
Luigi
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