[Quantlib-dev] [ quantlib-Bugs-1776593 ] No Vega or Rho under American Option Pricing Engines

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Bugs item #1776593, was opened at 2007-08-17 14:20
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: No Vega or Rho under American Option Pricing Engines

Initial Comment:
I cannot get qlVega or qlRho to calculate Vega and Rho for an American option.  I have used all of the pricing engines (CRR, JOSHI, etc.) and none work.  However, the European and Asian option pricing engines work with qlVega and qlRho.

If anyone can fix this, please keep me posted.  I am using it in QuantLibXL in Excel 2003. 

Matt Slezak
noc...@ya...

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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1776593&group_id=12740