[Quantlib-users] FD Greeks computation when the calculated NPV value is too close to the spot value

[Prasanna K. <pk...@ku...>]

Hello,
In the European and American options test suite, there are tests for validating the computation of FD Greeks.  In the tests there is this condition:
 "if(value > spot->value() * 1.0e-5)”

The goal of this condition seems to be to skip the computation/testing of FD greeks when the computed option NPV is too close to the spot price.   The computed greeks in this scenario have errors that are more than the acceptable tolerance.

Does this mean no analytical greeks can be computed when the option NPV is too close to the spot price?  Is there a way around this limitation?

Thanks.