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

Posted by Andrew Kolesnikov on
URL: http://quantlib.414.s1.nabble.com/Vega-and-Rho-calculation-for-European-and-American-Options-using-Finite-Difference-Method-tp7925p7926.html


Hi, Ravi
As u can see QL architecture doesnt allow u to calculate vega/rho by perturbation within corresponding method of OneAssetOption class, cause itsn't possible to create a clone object with shift vol/rate parameter. My suggestion is to develop your own Instrument class which also inherenced from LazyObject class and additionally have shiftedNPV(variable, value) function with NPV calculation of shifted clone object. Maybe this way also requires you to create Underlying class with clone interface (vol, rate, etc), so to change in some way QL architecture.