[Quantlib-dev] Binomial Engines - Greeks

[Toyin A. <toy...@ho...>]

Hi Luigi,

Normally pricing American options is done accurately via a tree and it's 
hard to believe that Quantlib (well I think this is the case) does not 
provide greeks for this common option type.

Any ideas or suggestions on the best way of enabling the BinomialEngine 
class to ouput the greek results?

>From my 10 minute inspection one idea would be to obtain the process object 
(within the calculate() method of the BinomialEngine.hpp file), extracting 
out the relevant parameter from the process object, bumping the parameter, 
constructing a new process object and then pricing.

In fact the manipulation that I suggest above is already done for normal 
pricing. Thus this would just be a case of repeated construction of more 
(bumped) process objects, repricing and then deducting from the base value.

Do you see a neater way to go about this? (Apart from doing all this 
manipulation at the user level (ie - manipulate the parameters and repeat 
all the calls at the testsuite level).

If the approach I mention is the way to go how soon do you think it can make 
it into QuantLib (that is if this enhancement is also in QuantLibs 
interest)?

Best Regards,
Toy out...