Re: [Quantlib-users] Testing of new changes in Python

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

Hi Ashish,

The FdBlackScholesAsianEngine calculates greeks by bumping the spot and
repricing[1] so you should be able to do the same in your code.

I’m actually not convinced it’s a good idea to always include the greeks in
the result. In the case of FdBlackScholesAsianEngine it means the solver is
called six times - once for the price, twice for the delta, and three times
for the gamma. Perhaps there should be a way to tell the engine only to
return the price to avoid the overhead of calculating the greeks for people
who don’t need them.

[1]
https://github.com/lballabio/QuantLib/blob/cf8524b6d4004cb08fc5468524769e37984d8047/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp#L53

2022년 6월 27일 (월) 21:54, Ashish Bansal <ash...@gm...>님이 작성:

> Hi
>
> Including Partha from my team who is trying to install it and test 1.27.
>
> Luigi,
>
> I looked at the code and noticed that the *turnbullwakemanasianengine.cpp*
> doesn't include the Delta or Gamma in the results. Could including the
> solver for Delta and Gamma work, how it is included
> in fdblackscholesasianengine.cpp?
>         results_.delta = solver->deltaAt(spot, avg, spot*0.01);
>         results_.gamma = solver->gammaAt(spot, avg, spot*0.01);
>
> Regards,
> Ashish
>
> On Fri, 24 Jun 2022 at 11:38, Ashish Bansal <ash...@gm...>
> wrote:
>
>> I can understand. You are doing great work for the community by
>> maintaining this library. Thanks for it.
>>
>> Let me try building using SWIG as per instructions on this page. Thanks
>> again for info.
>>
>> Regards,
>> Ashish
>>
>> On Thu, 23 Jun 2022 at 19:36, Luigi Ballabio <lui...@gm...>
>> wrote:
>>
>>> Hello Ansish,
>>>     no, I can not commit to a date for the release.  Other issues at my
>>> job might take priority over the release.
>>>
>>> You can try the changes before the release by checking out the code from
>>> GitHub and following the instructions at <
>>> https://www.quantlib.org/install.shtml> to compile it.
>>>
>>> Hope this helps,
>>>     Luigi
>>>
>>>
>>> On Thu, Jun 23, 2022 at 11:17 AM Ashish Bansal <ash...@gm...>
>>> wrote:
>>>
>>>> Hi,
>>>>
>>>> We want to test the TurnbullWakemanAsianEngine using Python. How can we
>>>> test the new changes through Python SWIG?
>>>>
>>>> Could v1.27 be released a little early, say by 10th July, if possible?
>>>>
>>>> Regards
>>>> Ashish Bansal
>>>> _______________________________________________
>>>> QuantLib-users mailing list
>>>> Qua...@li...
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>>
>>> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>