Python for Finance Cookbook

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QuantLib also allows us to use variance reduction techniques such as antithetic values or control variates.

Now that we have completed the preceding steps, we can calculate Greeks. Greeks (from the letters of the Greek alphabet) represent the sensitivity of the price of derivatives (for example, the option premium) to a change in one of the underlying parameters (such as the price of the underlying asset, time to expiry, volatility, the interest rate, and so on). When there is an analytical formula available for the Greeks (when the QuantlLib engine is using analytical formulas), we could just access it by running, for example, option.delta(). However, in cases such as valuations using binomial trees or simulations, there ...