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

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

On Thu, 2008-01-10 at 09:07 +0900, Ibrahim El-Fayoumi wrote:
> Hello Luigi
> I got exception, not with the analytic European option but rather the
> binomial american option
> 
> My question whether the greeks are available for all options
> calculation or not?
> I mean, delta, vega, gamma, theta, and rho... 

Oh, I see. No, not all greeks are available for all engines. Let me
check the source... yes, the binomial engine only provides delta, gamma
and theta. If you need the other greeks, you'll have to perturb the
input values and calculate them numerically.

Luigi


-- 

The young man knows the rules, but the old man knows the exceptions. 
-- O. W. Holmes