On 9 February 2012 at 17:06, J Toll wrote: | Hi, | | I'd like to calculate sensitivities on American options. I was hoping | somebody might be able to summarize of the current state of that | functionality within the various R packages. It's my understanding | that the fOptions package can calculate greeks for European options | but not American. RQuantLib appears to have had the ability to | calculate greeks for American options at one point, but it appears | that functionality was removed in Release 0.1.8 sometime around | 2003-11-28.
... because that functionality was removed upstream by QuantLib. | | http://lists.r-forge.r-project.org/pipermail/rquantlib-commits/2010-August/000117.html | | Additionally, from RQuantLib ?AmericanOptions says, | | "Note that under the new pricing framework used in QuantLib, binary | pricers do not provide analytics for 'Greeks'. This is expected to be | addressed in future releases of QuantLib." | | I haven't found any other packages for calculating option | sensitivities. Are there any other packages? | | Regarding RQuantLib, is the issue that that functionality hasn't been | implemented in R yet, or is it QuantLib that's broken? There is a third door behind which you find the price: "numerical shocks". Evaluate your american option, then shift the various parameters (spot, vol, int.rate, time to mat, ...) each by a small amount and calculate the change in option price -- voila for the approximate change in option value for change input. You can also compute twice at 'x - eps' and 'x + eps' etc. Dirk | | Thanks for any clarification. | | Best, | | | James | | _______________________________________________ | R-SIG-Finance@r-project.org mailing list | https://stat.ethz.ch/mailman/listinfo/r-sig-finance | -- Subscriber-posting only. If you want to post, subscribe first. | -- Also note that this is not the r-help list where general R questions should go. -- "Outside of a dog, a book is a man's best friend. Inside of a dog, it is too dark to read." -- Groucho Marx _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.