From: Ferdinando A. <fer...@am...> - 2001-07-25 16:01:42
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Hi all Maxim wrote: >To start with I'll write two examples: > >BSM European Option Test: > Goal: tests errors of the solutions using different methods. > >Computes and compares European call value using BSM formula, Monte-Carlo >and Finite-Differences method, displays relative error. >Tests put-call parity. > >Hedging error example: >Goals: shows usage of the QL for experimental study. > >Computes profit/loss of the short European option position due to >discrete hedging. I've seen you committed these two examples to the QuantLib CVS. Thank you. >It would be nice to receive your example ideas. You may take a look at the QuantLib-Python test suite (http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib-Python/QuantLib/test/). Even if you're not familiar with Python the code is quite readable. ciao -- Nando |