Re: [Quantlib-dev] How to obtain the Greeks

[Luigi B. <lui...@gm...>]

On Wed, 2008-01-09 at 13:34 +0000, Ibrahim El-Fayoumi wrote:
> Hello Luigi
> When I tried to use the example with package to obtain the greeks, 
> I did the following:
> ......
> 	 // options
>         VanillaOption europeanOption(payoff, europeanExercise);
>         VanillaOption bermudanOption(payoff, bermudanExercise);
>         VanillaOption americanOption(payoff, americanExercise);
> 
>         // Analytic formulas:
> 
>         // Black-Scholes for European
>         method = "Black-Scholes";
>         europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
>                                      new AnalyticEuropeanEngine(bsmProcess)));
>         std::cout << std::setw(widths[0]) << std::left << method
>                   << std::fixed
>                   << std::setw(widths[1]) << std::left << europeanOption.NPV()
>                   << std::setw(widths[2]) << std::left << "N/A"
>                   << std::setw(widths[3]) << std::left << "N/A"
>                   << std::endl;
> 	std::cout << europeanObtion.delta();
> 
> 
> ...
> 
> This did not work, what I am missing?

Hi Ibrahim,
	"did not work" as in "compilation error" or "runtime error"? In any
case, what does the error message say exactly?

Luigi


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