Teach Engine to compute greeks

[antoscha]

Hello!

I found that calling option.delta() having BjerksundStenslandApproximationEngine used as the pricing engine causing RuntimeError: delta not provided although the main code in bjerksundstenslandengine.cpp is seemed to provide this result. Can I ask you to implement greeks into pricing engines in the Python interface please?

Anton K.

[antoscha]

In the case if it's not possible please consider using this method as an appropriate fallback for an american option.

[lballabio]

I'm moving the issue to the C++ repo the relevant calculations are in the underlying C++ code.

The code currently provides Greeks only when the option is equivalent to a European one, not when actually using the approximation. It's probably possible to provide a formula for the derivative of the approximation formula, but it doesn't look trivial. In the meantime, you can calculate Greeks by bumping the underlying variable and repricing.

[boring-cyborg[bot]]

Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.

[PaulXiCao]

There seems to have been work done by @klausspanderen in 1b66279eb2d8363be27364843afedcc68ce67604 . Greeks are supported and tested for European and American options. Is there still more to do?

[lballabio]

Nope—thanks for noticing.