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Hi all,
I just fixed in CVS a serious bug in the impliedVolatility()
method of all classes derived from OneAssetOption (you can check the
documentation to see the affected classes) which slipped through the
test suite and could cause wrong results to be returned if a certain
sequence of actions were performed. We might consider releasing
QuantLib 0.3.6 sooner than we thought. In the meantime, here is the way
to avoid triggering the bug:
a) if you mean to call the impliedVolatility() method on such an
option, do not pass it a Handle<StochasticProcess> you already passed
(or intend to pass) to another instrument. Create a new Handle
containing a newly-allocated process.
b) impliedVolatility() will return the right result. However, after
calling impliedVolatility(), the option is broken. You might as well
throw it away and instantiate a new one.
Sorry for the inconvenience,
Luigi
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