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I do not manage to get Delta/Gamma/Vega/Theta using the simplified AmericanOption function from RQuantLib:

AmericanOption(
          type="call",
          underlying = 287.97,
          strike = 294,
          dividendYield = 0.0196 + 0.0028,
          riskFreeRate = 0.02185,
          maturity = 8 / 365,
          volatility = 0.156
)

Concise summary of valuation for AmericanOption:

value   delta  gamma   vega  theta    rho  divRho 
0.6897     NA     NA     NA     NA     NA      NA
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If you check the quantlib documentation you can find, that greeks for american options are only supported if you use a numerical pricing engine and not BAW (which is the default option).

Documentation: "Note that under the new pricing framework used in QuantLib, pricers do not provide analytics for all 'Greeks'. When “CrankNicolson” is selected, then at least delta, gamma and vega are available. With the default pricing engine of “BaroneAdesiWhaley”, no greeks are returned."

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  • $\begingroup$ Only value, delta and gamma are available; is it possible to get the remaining greeks with RQuantLib? ie vega, theta, rho? $\endgroup$
    – pam
    Commented Aug 9, 2019 at 10:00
  • $\begingroup$ The question was about RQuantLib, but your answer referred to QuantLib. Does your answer apply to both? In general, I understand that RQuantLib may be thought of as a subset of QuantLib, but how those boundaries are defined is not clear to me. Any comment? @pam, I have been able to get other greeks using RQuantLib, but for european options. $\endgroup$
    – W Barker
    Commented Nov 10, 2022 at 0:49

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