[QuantlibXL] Why qlBlackCalculator does not need valuation date and expire date?

[Leon Tan]

Hi everybody.

I'm a new to Quantlib. I'm trying to calculate option value in Excel with QuantlibXL. As in the attached file, I created a qlBlackCalculator2 object and calculated the call value using qlBlackCalculatorValue. But I realized that I have not put valuation date or expire date anywhere. Could somebody help and tell me what I am missing and where to set those parameters?

Thank you very much for your help!

--
Leon Tan, MBA, FRM


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[Luigi Ballabio]

On Wed, 2011-02-16 at 17:32 +0800, Leon Tan wrote:
> I'm a new to Quantlib. I'm trying to calculate option value in Excel
> with QuantlibXL. As in the attached file, I created a
> qlBlackCalculator2 object and calculated the call value using
> qlBlackCalculatorValue. But I realized that I have not put valuation
> date or expire date anywhere. Could somebody help and tell me what I
> am missing and where to set those parameters?

Besides the payoff, you're passing a forward value, std deviation, and
discount factor.  Their values already take into account the expiration
date, so that's not needed.  As for the valuation date, you can set it
with qlSettingsSetEvaluationDate.

Luigi


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