Vega and Rho calculation for European and American Options using Finite Difference Method

Posted by ravi agrawal-2 on
URL: http://quantlib.414.s1.nabble.com/Vega-and-Rho-calculation-for-European-and-American-Options-using-Finite-Difference-Method-tp7925.html

Hi,
Am trying to implement Vega and Rho calculator using FD method but am not able to decide the level at which it should be implemented. Also since it requires construction of temporary grid using perturbed value of volatility/RiskFree rate, I would like it to do so only when .vega is asked by the testfile (equityoption.cpp in present case) + it will be an infinite loop if it tries to calculate vega for every option.  Kindly let me know the files I should tamper for a clean implementation.

Thanks in advance.

Ravi

------------------------------------------------------------------------------
This SF.Net email is sponsored by the Verizon Developer Community
Take advantage of Verizon's best-in-class app development support
A streamlined, 14 day to market process makes app distribution fast and easy
Join now and get one step closer to millions of Verizon customers
http://p.sf.net/sfu/verizon-dev2dev 
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users