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dragomir nedeltchev

QuantLibXL

Hi All,

Could someone send me the downloads of the 6th version of the Excel Add-in? I would like to run the framework. The site does not provide earlier versions.

Thanks in advance.

BR
Dragomir Nedeltchev

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iosif ziman

EquityOption impliedVol calc root not bracketed

What am I doing: calculating European EquityOptions impliedVolatility using GeneralizedBlackScholesProcess

Sample parameters:

Underlying=798.0
Warrant=2.0
CP=Call
Strike=800

Error returned = root not bracketed: f[0.0001,4] -> [3.480794e+001,7.600756e+002]

While I am debugging I would appreciate a quick explanation as I am sure I am missing something pretty obvious.

Regards

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iosif ziman

Re: EquityOption impliedVol calc root not bracketed

I missed mentioning I am using

riskfreerate = 0.05

dividendYield = 0.0

maturity = 365 days;

From: Ziman, Iosif
Sent: Tuesday, February 09, 2010 10:43 AM
To: [hidden email]
Subject: [Quantlib-users] EquityOption impliedVol calc root not bracketed

What am I doing: calculating European EquityOptions impliedVolatility using GeneralizedBlackScholesProcess

Sample parameters:

Underlying=798.0
Warrant=2.0
CP=Call
Strike=800

Error returned = root not bracketed: f[0.0001,4] -> [3.480794e+001,7.600756e+002]

While I am debugging I would appreciate a quick explanation as I am sure I am missing something pretty obvious.

Regards

Eric Ehlers-2

Re: QuantLibXL

In reply to this post by dragomir nedeltchev

Hello,

> Hi All,
>
> Could someone send me the downloads of the 6th version of the Excel
> Add-in? I would like to run the framework. The site does not provide
> earlier versions.

The QuantLibXL Excel VBA Framework
(http://quantlib.org/quantlibxl/framework.html) is included in
QuantLibXL release 0.9.6 which is available from the SourceForge
downloads page.

Regards,
Eric

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