[Quantlib-users] Error in getting Greeks for Put under BaroneAdesiWhaleyEngine

[Ashish B. <ash...@gm...>]

Hi,

I am analyzing BaroneAdesiWhaleyEngine for pricing the American option to
replace old FDAmericanEngine we are using. I am getting the price and
greeks when passing the call option in this engine but when I pass a put
trade, I get <greek> not provided error for all greeks including Delta or
Gamma.

Is put not supported in BaroneAdesiWhaleyEngine?

I noticed that the release notes suggested
using FdBlackScholesVanillaEngine but that provides a price farther than
the BAW engine which is closer to the FD American engine.

Thanks
Ashish