[Quantlib-dev] [ quantlib-Feature Requests-1776593 ] No Vega or Rho under American Option Pricing Engines

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Feature Requests item #1776593, was opened at 2007-08-17 23:20
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Category: None
Group: None
>Status: Open
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Nobody/Anonymous (nobody)
Summary: No Vega or Rho under American Option Pricing Engines

Initial Comment:
I cannot get qlVega or qlRho to calculate Vega and Rho for an American option.  I have used all of the pricing engines (CRR, JOSHI, etc.) and none work.  However, the European and Asian option pricing engines work with qlVega and qlRho.

If anyone can fix this, please keep me posted.  I am using it in QuantLibXL in Excel 2003. 

Matt Slezak
noc...@ya...

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Comment By: Eric Ehlers (ericehlers)
Date: 2007-09-07 22:29

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Hi Matt,

Unfortunately I'm not aware of plans to add the requested functionality
(nor the feasibility thereof).  Contributions are welcome.

If you have a copy of the source code you can at least identify which
pricing engines support vega/rho by searching for those terms in *.cpp
files in directory ql/pricingengines and its subdirectories.

Regards,
Eric

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