Re: [Quantlib-dev] 答复: Binomial American Options with Discrete Dividends & Greeks

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

In the test suite,
https://github.com/lballabio/quantlib/blob/master/QuantLib/test-suite/dividendoption.cpp#L677

The lines from 694 to 725 initialize the option and its market data. Those
from 741 to 757 calculates the value and the greeks, and compares the
available greeks with those calculated by bumping the data (e.g., to
calculate the delta modify thevalue of the underlying, recalculate, and see
how much the value has changed; the same approach can be  used for all the
other greeks). For an American option, you'll need to specify an American
exercise: see line 827.

Luigi


On Tue, Nov 3, 2015 at 11:32 AM jamesquant <jam...@ho...> wrote:

> Hi. Do you have an example of how to do this?
>
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