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

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

Dividend discount = 1 is a weird way to say that the dividend rate is 0,
that is, there are no dividends.

An American call on a stock with no dividends is the same as a European
call, so the engine falls back to the Black-Scholes formula for European
options (which also provides Greeks).  An American put (or an American call
on a stock with dividends) is not the same, so in that case the engine uses
the approximation formula and Greeks are not available.

Luigi



On Tue, Jun 14, 2022 at 3:16 PM Ashish Bansal <ash...@gm...>
wrote:

> 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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