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Black-Scholes implementation question

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Mitch Gann

Black-Scholes implementation question

Hello all,

I am new to the QuantLib community and was hoping to eventually contribute to the code base. I see that the homepage of QuantLib states that "Black-Scholes, still lack a public robust implementation", therefore I though it would be worth helping with the Black-Scholes model in QuantLib.

However upon looking in the code repository under quantlib/testsuite/ there is blackdeltacalculator.cpp and blackformula.cpp and the code within looks to be handling the model already.

So my questions are;

Has the Black-Scholes model been taken care of within QuantLib using that code?

If the first answer is No, my follow up question, is that code simply not "robust" enough and need improving or does the Black-Scholes model need to be created from scratch?

Thanks everyone,

Mitch

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Luigi Ballabio

Re: Black-Scholes implementation question

Hello Mitch,
I'm afraid we forgot to update the main page every decade or so.

That text was written at the beginning of the project and was saying: "there's no public implementation of financial models, and that's why we're launching QuantLib". We're well past that stage now :)

Thanks for pointing it out! We'll try updating it to something more relevant.

Cheers,
Luigi

On Wed, Nov 23, 2016, 21:01 Mitch Gann <[hidden email]> wrote:

Hello all,

I am new to the QuantLib community and was hoping to eventually contribute to the code base. I see that the homepage of QuantLib states that "Black-Scholes, still lack a public robust implementation", therefore I though it would be worth helping with the Black-Scholes model in QuantLib.

However upon looking in the code repository under quantlib/testsuite/ there is blackdeltacalculator.cpp and blackformula.cpp and the code within looks to be handling the model already.

So my questions are;
Has the Black-Scholes model been taken care of within QuantLib using that code?

If the first answer is No, my follow up question, is that code simply not "robust" enough and need improving or does the Black-Scholes model need to be created from scratch?

Thanks everyone,
Mitch

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Peter Caspers-4

Re: Black-Scholes implementation question

Off topic, this seems to be the initial project site from 2001

https://web.archive.org/web/20010627124159/http://quantlib.org/index.html

Most of the links are still working … an interesting read :-)

On 23 Nov 2016, at 21:11, Luigi Ballabio <[hidden email]> wrote:

Hello Mitch,
I'm afraid we forgot to update the main page every decade or so.
That text was written at the beginning of the project and was saying: "there's no public implementation of financial models, and that's why we're launching QuantLib". We're well past that stage now :)
Thanks for pointing it out! We'll try updating it to something more relevant.
Cheers,
Luigi

On Wed, Nov 23, 2016, 21:01 Mitch Gann <[hidden email]> wrote:
Hello all,

I am new to the QuantLib community and was hoping to eventually contribute to the code base. I see that the homepage of QuantLib states that "Black-Scholes, still lack a public robust implementation", therefore I though it would be worth helping with the Black-Scholes model in QuantLib.

However upon looking in the code repository under quantlib/testsuite/ there is blackdeltacalculator.cpp and blackformula.cpp and the code within looks to be handling the model already.

So my questions are;
Has the Black-Scholes model been taken care of within QuantLib using that code?

If the first answer is No, my follow up question, is that code simply not "robust" enough and need improving or does the Black-Scholes model need to be created from scratch?

Thanks everyone,
Mitch

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