Quantlib

[Ibrahim ElFayoumi]

Hello

I am trying to write a wrapper around quantlib to do various simple things. I wanted to be able to use black school formulae to calculate the call Primium at a given date given the various Required values, like underlying, strike, volatility and rate…

Why I get zero at the end?

 

 

#include "QuantlibWrapper.h"

 

// the only header you need to use QuantLib

#define BOOST_LIB_DIAGNOSTIC

#  include <ql/quantlib.hpp>

#undef BOOST_LIB_DIAGNOSTIC

 

#ifdef BOOST_MSVC

/* Uncomment the following lines to unmask floating-point

   exceptions. Warning: unpredictable results can arise...

 

   See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481

   Is there anyone with a definitive word about this?

*/

// #include <float.h>

// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }

#endif

 

#include <boost/timer.hpp>

#include <iostream>

#include <iomanip>

 

using namespace QuantLib;

 

#if defined(QL_ENABLE_SESSIONS)

namespace QuantLib {

 

    Integer sessionId() { return 0; }

 

}

#endif

 

 

double QuantlibWrapper::BlackScholesCall(double underlying, double strike, double volatility, double riskFreeRate, double DaysToMature)

{

        double ret = 0;

 

        try

        {

                QL_IO_INIT

 

                boost::timer timer;

                std::cout << std::endl;

 

                // our options

                Option::Type type(Option::Call);

                Spread dividendYield = 0.00;

 

 

                Date todaysDate = Date::todaysDate();

                Date settlementDate = todaysDate + (int) DaysToMature;

                Settings::instance().evaluationDate() = todaysDate;

 

                Date maturity = todaysDate + (int) DaysToMature;

                DayCounter dayCounter = Actual365Fixed();

 

 

                std::string method;

 

                std::vector<Date> exerciseDates;

                exerciseDates.push_back(settlementDate);

 

                boost::shared_ptr<Exercise> europeanExercise(

                        new EuropeanExercise(maturity));

 

                Handle<Quote> underlyingH(

                        boost::shared_ptr<Quote>(new SimpleQuote(underlying)));

 

                // bootstrap the yield/dividend/vol curves

                Handle<YieldTermStructure> flatTermStructure(

                        boost::shared_ptr<YieldTermStructure>(

                        new FlatForward(settlementDate, riskFreeRate, dayCounter)));

                Handle<YieldTermStructure> flatDividendTS(

                        boost::shared_ptr<YieldTermStructure>(

                        new FlatForward(settlementDate, dividendYield, dayCounter)));

                Handle<BlackVolTermStructure> flatVolTS(

                        boost::shared_ptr<BlackVolTermStructure>(

                        new BlackConstantVol(settlementDate, volatility, dayCounter)));

 

                boost::shared_ptr<StrikedTypePayoff> payoff(

                        new PlainVanillaPayoff(type, strike));

 

                boost::shared_ptr<StochasticProcess> stochasticProcess(

                        new BlackScholesMertonProcess(underlyingH, flatDividendTS,

                        flatTermStructure, flatVolTS));

 

                // options

 

                VanillaOption europeanOption(stochasticProcess, payoff,

                        europeanExercise);

 

                // Analytic formulas:

 

                // Black-Scholes for European

                method = "Black-Scholes";

                europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(

                        new AnalyticEuropeanEngine));

                ret = europeanOption.NPV();

        }

        catch (std::exception& e)

        {

        std::cout << e.what() << std::endl;

        return 1;

    }

        catch (...)

        {

        std::cout << "unknown error" << std::endl;

        return 1;

    }

 

        return ret;

}

 

 

I get zero for any pricing I use..

Can you please help how to use Quantlib?

Please send reply to : [hidden email]

Regards

Ibrahim

 

 

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[Luigi Ballabio]

On Tue, 2007-03-20 at 18:24 +1100, Ibrahim ElFayoumi wrote:

> I am trying to write a wrapper around quantlib to do various simple
> things. I wanted to be able to use black school formulae to calculate
> the call Primium at a given date given the various Required values,
> like underlying, strike, volatility and rate…
>
> Why I get zero at the end?
>
>                 Date settlementDate = todaysDate + (int) DaysToMature;
>
>                 Date maturity = todaysDate + (int) DaysToMature;

The settlement date is the date to which the option value is discounted
to get its NPV---depending on where you are based, it might be today's
date or a couple of days from today. Setting it to be the same as the
maturity is probably causing the option to be seen as expired.

Luigi


----------------------------------------

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