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

[Jonathan S. <sw...@gm...>]

Hi Ashish,

The code[1] treats calls with a dividend discount of at least 1 the same as
European, so that's probably why you're seeing greeks for calls only.

There was a similar question[2] on github recently and the suggestion was
to calculate a numerical delta by bumping spot up and down and repricing.
The other benefit of this approach is that it will incorporate the effect
of the smile into your delta if you switch to a non-BS vol model one day.

[1]
https://github.com/sweemer/QuantLib/blob/master/ql/pricingengines/vanilla/baroneadesiwhaleyengine.cpp#L162-L165
[2]
https://github.com/lballabio/QuantLib/issues/1398#issuecomment-1146073964

On Tue, Jun 14, 2022 at 7:39 PM Ashish Bansal <ash...@gm...>
wrote:

> 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
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