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

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

Ok, understood. so you are saying even with DD=1 for a call it is anyways
falling to BS model. I would rather use that.

Could you also explain in short what is the difference between FDAmerican
engine vs FD Black Scholes engine that I am getting difference in prices?
Is there a way I could equate those?

Ashish

On Tue, 14 Jun 2022 at 18:53, Luigi Ballabio <lui...@gm...>
wrote:

> 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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