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

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

Not sure why is dividend discount is treated for Call only. I am running
this for commodities where the dividend is 0. Although passing some
dividend also gave the same error.

Anyways, thanks for your help around it. Greatly appreciated.

Regards,
Ashish

On Tue, 14 Jun 2022 at 16:29, Jonathan Sweemer <sw...@gm...> wrote:

> 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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>