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From: Ibrahim El-F. <elf...@gm...> - 2008-01-09 14:05:15
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Hello Luigi
When I tried to use the example with package to obtain the greeks,
I did the following:
......
// options
VanillaOption europeanOption(payoff, europeanExercise);
VanillaOption bermudanOption(payoff, bermudanExercise);
VanillaOption americanOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new AnalyticEuropeanEngine(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
std::cout << europeanObtion.delta();
...
This did not work, what I am missing?
Thanks
ibrahim
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From: Luigi B. <lui...@gm...> - 2008-01-09 14:16:01
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On Wed, 2008-01-09 at 13:34 +0000, Ibrahim El-Fayoumi wrote: > Hello Luigi > When I tried to use the example with package to obtain the greeks, > I did the following: > ...... > // options > VanillaOption europeanOption(payoff, europeanExercise); > VanillaOption bermudanOption(payoff, bermudanExercise); > VanillaOption americanOption(payoff, americanExercise); > > // Analytic formulas: > > // Black-Scholes for European > method = "Black-Scholes"; > europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>( > new AnalyticEuropeanEngine(bsmProcess))); > std::cout << std::setw(widths[0]) << std::left << method > << std::fixed > << std::setw(widths[1]) << std::left << europeanOption.NPV() > << std::setw(widths[2]) << std::left << "N/A" > << std::setw(widths[3]) << std::left << "N/A" > << std::endl; > std::cout << europeanObtion.delta(); > > > ... > > This did not work, what I am missing? Hi Ibrahim, "did not work" as in "compilation error" or "runtime error"? In any case, what does the error message say exactly? Luigi -- The Feynman Problem Solving Algorithm: 1) Write down the problem. 2) Think very hard. 3) Write down the solution. |
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From: Ibrahim El-F. <Ibr...@au...> - 2008-01-10 00:07:25
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Hello Luigi I got exception, not with the analytic European option but rather the binomial american option My question whether the greeks are available for all options calculation or not? I mean, delta, vega, gamma, theta, and rho... Regards Ibrahim > On Wed, 2008-01-09 at 13:34 +0000, Ibrahim El-Fayoumi wrote: > > Hello Luigi > > When I tried to use the example with package to obtain the greeks, > > I did the following: > > ...... > > // options > > VanillaOption europeanOption(payoff, europeanExercise); > > VanillaOption bermudanOption(payoff, bermudanExercise); > > VanillaOption americanOption(payoff, americanExercise); > > > > // Analytic formulas: > > > > // Black-Scholes for European > > method = "Black-Scholes"; > > europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>( > > new AnalyticEuropeanEngine(bsmProcess))); > > std::cout << std::setw(widths[0]) << std::left << method > > << std::fixed > > << std::setw(widths[1]) << std::left << europeanOption.NPV() > > << std::setw(widths[2]) << std::left << "N/A" > > << std::setw(widths[3]) << std::left << "N/A" > > << std::endl; > > std::cout << europeanObtion.delta(); > > > > > > ... > > > > This did not work, what I am missing? > > Hi Ibrahim, > "did not work" as in "compilation error" or "runtime error"? In any > case, what does the error message say exactly? > > Luigi > > Ibrahim El-Fayoumi Senior Software Engineer IWL Limited ABN 53 078 119 212 Level 7, 141 St Georges Terrace Perth WA Australia 6000 Phone: +61 8 9282 8430 Fax: +61 8 9321 1553 Mobile: 0402 817 354 Email: Ibr...@iw... Visit our corporate website:www.iwl.com.au This e-mail and any files transmitted with it are confidential and are only for the use of the person to whom they are addressed. If you are not the intended recipient, you are hereby notified that any use, dissemination, forwarding, printing, copying or dealing in any way whatsoever with this e-mail is strictly prohibited. If you have received this e-mail in error, please reply to us immediately and delete the document. It is the recipient's duty to virus scan and otherwise test the enclosed information before using the information or loading attached files onto any computer system. IWL Limited does not warrant that the information contained in this e-mail is free from viruses, defects, errors, interception or interference. Any views expressed in this message are those of the individual sender, except where that sender specifically states them to be the views of IWL Limited. This e-mail and any files transmitted with it are confidential and are only for the use of the person to whom they are addressed. If you are not the intended recipient, you are hereby notified that any use, dissemination, forwarding, printing, copying or dealing in any way whatsoever with this e-mail is strictly prohibited. If you have received this e-mail in error, please reply to us immediately and delete the document. It is the recipient's duty to virus-scan and otherwise test the enclosed information before using the information or loading attached files onto any computer system. Australian Investment Exchange Ltd does not warrant that the information contained in this e-mail is free from viruses, defects, errors, interception or interference. Australian Investment Exchange Ltd, and each of its related companies each reserve the right to monitor all e-mail communications through its networks. Any views expressed in this message are those of the individual sender, except where that sender specifically states them to be the views of Australian Investment Exchange Ltd. Your private information is only used and disclosed for the intention which you have provided it for. This information is not disclosed or used unless your consent has been provided or in the case that Australian Investment Exchange Ltd permitted to do so under the Privacy Act of 1988. |
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From: Luigi B. <lui...@gm...> - 2008-01-10 09:18:54
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On Thu, 2008-01-10 at 09:07 +0900, Ibrahim El-Fayoumi wrote: > Hello Luigi > I got exception, not with the analytic European option but rather the > binomial american option > > My question whether the greeks are available for all options > calculation or not? > I mean, delta, vega, gamma, theta, and rho... Oh, I see. No, not all greeks are available for all engines. Let me check the source... yes, the binomial engine only provides delta, gamma and theta. If you need the other greeks, you'll have to perturb the input values and calculate them numerically. Luigi -- The young man knows the rules, but the old man knows the exceptions. -- O. W. Holmes |
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From: Ibrahim El-F. <elf...@gm...> - 2008-01-10 11:54:32
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Luigi I see, also, the errorEstimate() does not work at all, so I guess it is the same story. Thanks Ibrahim -----Original Message----- From: Luigi Ballabio [mailto:lui...@gm...] Sent: Thursday, January 10, 2008 6:18 PM To: Ibrahim El-Fayoumi Cc: elf...@gm...; qua...@li... Subject: Re: [Quantlib-dev] How to obtain the Greeks On Thu, 2008-01-10 at 09:07 +0900, Ibrahim El-Fayoumi wrote: > Hello Luigi > I got exception, not with the analytic European option but rather the > binomial american option > > My question whether the greeks are available for all options > calculation or not? > I mean, delta, vega, gamma, theta, and rho... Oh, I see. No, not all greeks are available for all engines. Let me check the source... yes, the binomial engine only provides delta, gamma and theta. If you need the other greeks, you'll have to perturb the input values and calculate them numerically. Luigi -- The young man knows the rules, but the old man knows the exceptions. -- O. W. Holmes |
