Implied volatility surface

[Sebastián Miranda]

Hi,

I'm implementing a service that retrieves a file from an information provider with option's strike, term and price.
On the other side, I have the yield curve and the discrete dividends paid by the asset. With all this, I need to get the implied volatility surface using Black76...

I'm new with QuantLib and I'm stuck whit documentation because a can't get examples using the libraries....
So, please,  any tip about what class to use ( DividendVanillaOption , YieldTermStructure ??? ) will be really appreciated !!!
 
Thanks a lot.
 
Sebastián Miranda


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[Luigi Ballabio]

On Mon, 2007-11-05 at 13:43 +0100, Sebastián Miranda wrote:
> I'm implementing a service that retrieves a file from an information
> provider with option's strike, term and price.
> On the other side, I have the yield curve and the discrete dividends
> paid by the asset. With all this, I need to get the implied volatility
> surface using Black76...

You can use the DividendVanillaOption class and its impliedVolatility()
method. An example is in test-suite/europeanoption.cpp; it's done with
VanillaOption, i.e., without discrete dividends, but you can adapt it to
an option with dividends.

Luigi


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