Re: [Quantlib-dev] Binomial Engines - Greeks

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

On Jun 21, 2006, at 4:22 PM, Toyin Akin wrote:
> 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?

Toyin,
	apologies for the delay.  Usually we tend not to provide numerical 
greeks, as the user can bump parameters himself---and moreover, he 
could bump them of the quantity he likes instead of the one we though 
sensible.

Instead, I think an often used trick for calculating Greeks on trees is 
to move the tree origin a bit back in time so that the tree has three 
nodes at today's date, the central one corresponding to the spot value. 
Delta and Gamma can then be calculated by a difference formula. This is 
an approach I'd like to have in the library if someone contributed it 
(hint, hint...)

Later,
	Luigi