Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [10251] trunk/QuantLib

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

On Thu, 2007-04-19 at 19:25 +0200, Ferdinando Ametrano wrote:
> On 4/19/07, lba...@us...
> <lba...@us...> wrote:
> > Delta, gamma and theta added to binomial engine for vanilla options (thanks to Steve Cook.)
> > Theta is currently not close enough to analytic values. Investigation would be needed.
> 
> why theta isn't just deduced from Delta and Gamma using Black
> equation? This approach is used elsewhere in QuantLib.

Yes, I can try that.

Later,
	Luigi


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