Re: 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-tp7925p7927.html
Hi,
I am trying to calculate greeks from the FD framework. Presently
I moved to using wrapper for vega and rho. Also I notice that Theta is
being calculated in FD framework by using black scholes equation using
the values of FD delta and gamma. I wanted to calculate it by grid
method but am searching for grid and value 2-d array where I could get
call option value which has expiry some grid times less that the
present option. Could anyone tell me where I can find this value 2 d
grid and price 2d grid?
Thanks Andrew, i was thinking something in this direction.
Regards
Ravi On Fri, Jan 15, 2010 at 5:14 AM, Andrew Kolesnikov
<[hidden email]> wrote:
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.
--
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