Re: [Quantlib-users] Problem with greeks

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

On 2/17/06, gilles herzog <gil...@ho...> wrote:
> I want to compute the greeks of a barrier option for example but when i d=
o :
> option.delta() it seems to be not provided ? How can I do to compute thes=
es
> greels ?

In order to provide them, you would have to differentiate the closed
formula used for the value and find the corresponding formulas for the
greeks. Once you have them, you can code them into the engine.


> Another Question :
> The options down in and down out can not be computed but the upin and upo=
ut
> don't cause any problem . How can I do ?

Can you provide an example so that I can reproduce the problem?

Thanks,
    Luigi