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

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

Hello,
    I don't think QL.NET provides intraday pricing (given that QuantLib
itself only did in the latest release, and as an optional feature) so
setting the time back one hour won't work.  One thing you can try: if you
have the price, delta and gamma (that is, P, dP/du and d^2P/du^2) you might
plug them in the Black-Scholes equation and get dP/dt (i.e., the theta).

Luigi


On Fri, Mar 11, 2016 at 12:12 PM jamesquant <jam...@ho...> wrote:

> Hi Luigi,
>
> Your solution worked well of bumping the data to calculate the greeks apart
> from theta, the issue is I was +1 day however when expiry was tomorrow then
> it would hit the expiry date and crash.
>
>  // perturb date and get theta
>
> Settings.setEvaluationDate(pToday.InnerDateTime.AddHours(1));
>                 value_p = option.NPV();
>                 Settings.setEvaluationDate(pToday);
>
>                 res[3, 0] = pHeaders ? "Theta" : res[3, 0] = value_p -
> option.NPV();
>                 if (pHeaders) res[3, 1] = value_p - option.NPV();
>
> I then tried to plus +1 hour but this wasnt successful, because even with 1
> hour before expiry then same issue would happen,
>
> Is the answer to Theta to use a closed formula instead of bumping the data?
> or is there a better way to manage the datetime issue in QLNET?
>
> Best Regards,
> James
>
>
>
>
>
> --
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> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
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