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I have been playing around with QuantLib in Python and have been struggling with couple of simple tasks I would like to share and hopefully get help from the community

debugging:

The fact that it's c++ in the background makes any simple debugging exercises quite hard

Example: I created a simple BlackScholesMertonProcess, I couldn't find a way to look into the interest rate, dividendyield or volatility used to create that process.

conventions:

another simple case, I created a ql.VanillaOption, priced greeks with a BlackScholesMertonProcess. I don't know the conventions used and can't find any docs explaining this. Delta seems to be dV/dS, vega [V(sig+1)-V(sig)]/1, gamma I couldn't figure out etc

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  • $\begingroup$ You can screen the source code at github. The conventions used when calculating greeks are not seldomly quite different from shop to shop, so it really is up to the modeler, unfortunately. $\endgroup$ Apr 12 at 6:22
  • $\begingroup$ Thx, I guess I have no other choice than getting back to c++. But I don't think there is any documentation as well for c++, the only doc seems to be the code itself $\endgroup$
    – sam shaft
    Apr 20 at 6:33
  • $\begingroup$ Yep, that's my understanding as well. Good luck, though! $\endgroup$ Apr 20 at 6:55

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