Re: [Quantlib-dev] Greeks for vanilla binomial - implementation

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

On Mon, 2007-04-02 at 00:21 -0700, steve.affine wrote:
> Concerning the FR to add Greeks
> (http://sourceforge.net/tracker/index.php?func=detail&aid=910972&group_id=12740&atid=362740),
> I have looked at this today and implemented most of them.
> 
> My suggestion is to use points on the binomial tree as per Odergaard
> (http://finance-old.bi.no/~bernt/gcc_prog/recipes/recipes.pdf).

Steve,
	looks ok to me. May you send a patch?

Thanks,
	Luigi

P.S. Is the Nabble archive a public one? If so, I'll link it from the
mailing list page on the QuantLib site.


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