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Pricing Engine: IntegralEngine not working?

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Paul Buettiker

Pricing Engine: IntegralEngine not working?

Dear all

When I run the QuantLib example EquityOption.cpp (http://quantlib.org/reference/_equity_option_8cpp-example.html) compiled with QuantLib-1.4.1 (or QuantLib-1.4), I get the error message "forward (0) must be positive" when pricing an equity option using the PricingEngine IntegralEngine:

===================== Terminal Output ============================

orca@linux-r2kn:/tmp> ./EquityOption

Option type = Put
Maturity = May 17th, 1999
Underlying price = 36
Strike = 40
Risk-free interest rate = 6.000000 %
Dividend yield = 0.000000 %
Volatility = 20.000000 %

Method                             European      Bermudan      American
Black-Scholes                      3.844308      N/A           N/A
Heston semi-analytic               3.844306      N/A           N/A
Bates semi-analytic                3.844306      N/A           N/A
Barone-Adesi/Whaley                N/A           N/A           4.459628
Bjerksund/Stensland                N/A           N/A           4.453064
Integral                           forward (0) must be positive

==================================================================

The same happens when running quantlib-test-suite.

I do NOT get this error when working with QuantLib-1.3.

The compiler used is from the new Intel Parallel Studio XE 15 (64-bit), icc 15.0.0.0090.

Anybody else who observed this? Does someone know a solution?

Many thanks and kind regards,

Paul.

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Luigi Ballabio

Re: Pricing Engine: IntegralEngine not working?

This is odd. The error seems to come from the BlackCalculator class, but the IntegralEngine class shouldn't use it.

Can you attach a debugger to the program and get a traceback from the error?

Luigi

On Sat, Nov 22, 2014 at 11:06 PM, Paul Buettiker <[hidden email]> wrote:

Dear all

When I run the QuantLib example EquityOption.cpp (http://quantlib.org/reference/_equity_option_8cpp-example.html) compiled with QuantLib-1.4.1 (or QuantLib-1.4), I get the error message "forward (0) must be positive" when pricing an equity option using the PricingEngine IntegralEngine:

=====================     Terminal Output    ============================

orca@linux-r2kn:/tmp> ./EquityOption

Option type = Put
Maturity = May 17th, 1999
Underlying price = 36
Strike = 40
Risk-free interest rate = 6.000000 %
Dividend yield = 0.000000 %
Volatility = 20.000000 %

Method                             European      Bermudan      American
Black-Scholes                      3.844308      N/A           N/A
Heston semi-analytic               3.844306      N/A           N/A
Bates semi-analytic                3.844306      N/A           N/A
Barone-Adesi/Whaley                N/A           N/A           4.459628
Bjerksund/Stensland                N/A           N/A           4.453064
Integral                           forward (0) must be positive

==================================================================
The same happens when running quantlib-test-suite.

I do NOT get this error when working with QuantLib-1.3.

The compiler used is from the new Intel Parallel Studio XE 15 (64-bit), icc 15.0.0.0090.

Anybody else who observed this? Does someone know a solution?

Many thanks and kind regards,
Paul.

------------------------------------------------------------------------------
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from Actuate! Instantly Supercharge Your Business Reports and Dashboards
with Interactivity, Sharing, Native Excel Exports, App Integration & more
Get technology previously reserved for billion-dollar corporations, FREE
http://pubads.g.doubleclick.net/gampad/clk?id=157005751&iu=/4140/ostg.clktrk
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