Re: [Quantlib-users] Binomial Engines - Greeks

[Toyin A. <toy...@ho...>]

Also,

If this methodology is correct, then I'm sure the ConvertibleBond framework 
can also benefit from this change...

Toy out...


>From: "Toyin Akin" <toy...@ho...>
>To: lui...@gm...
>CC: qua...@li...,qua...@li...
>Subject: [Quantlib-users] Binomial Engines - Greeks
>Date: Wed, 21 Jun 2006 15:22:13 +0100
>
>
>Hi Luigi,
>
>Normally pricing American options is done accurately via a tree and it's
>hard to believe that Quantlib (well I think this is the case) does not
>provide greeks for this common option type.
>
>Any ideas or suggestions on the best way of enabling the BinomialEngine
>class to ouput the greek results?
>
> >From my 10 minute inspection one idea would be to obtain the process 
>object
>(within the calculate() method of the BinomialEngine.hpp file), extracting
>out the relevant parameter from the process object, bumping the parameter,
>constructing a new process object and then pricing.
>
>In fact the manipulation that I suggest above is already done for normal
>pricing. Thus this would just be a case of repeated construction of more
>(bumped) process objects, repricing and then deducting from the base value.
>
>Do you see a neater way to go about this? (Apart from doing all this
>manipulation at the user level (ie - manipulate the parameters and repeat
>all the calls at the testsuite level).
>
>If the approach I mention is the way to go how soon do you think it can 
>make
>it into QuantLib (that is if this enhancement is also in QuantLibs
>interest)?
>
>Best Regards,
>Toy out...
>
>
>
>
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