Posted by
Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Vega-and-Rho-calculation-for-European-and-American-Options-using-Finite-Difference-Method-tp7925p7929.html
On Wed, Jan 13, 2010 at 12:01 AM, ravi agrawal <
[hidden email]> wrote:
> 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.
Are you trying to calculate Greeks in the tree or FD framework?
While I don't feel comfortable about providing directions (and that's
why I didn't tackle the issue before), I suggest you look into the
possibility of solving the Vega/Rho PDE equation instead of the "brute
force" perturbed grid approach.
ciao -- Nando
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