Implied Volatility

[jason.x.strimpel]

All:

I have built and run the vanilla option example and am exploring the methods within the class. I am new to C++ and struggling to understand how to use the impliedVolatility method. Can someone provide a quick example?

I have the europeanOption object created and can return europeanOption.NPV() but the program fails at runtime when I try to return europeanOption.impliedVolatility(arg1,arg2, ...argn)

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[Luigi Ballabio]

On Tue, 2009-01-06 at 13:20 -0500, [hidden email] wrote:
> I have built and run the vanilla option example and am exploring the
> methods within the class. I am new to C++ and struggling to understand
> how to use the impliedVolatility method. Can someone provide a quick
> example?
>
> I have the europeanOption object created and can return
> europeanOption.NPV() but the program fails at runtime when I try to
> return europeanOption.impliedVolatility(arg1,arg2, ...argn)

You can look at the EuropeanOptionTest::testImpliedVol() test case in
test-suite/europeanoption.cpp.  If that doesn't help, please post an
example of the inputs you're using and the error message you get.

Luigi


--

Every solution breeds new problems.
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