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Solving for Implied Volatility

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alex

Solving for Implied Volatility

Hi,

I've linked my code [0].

I expect to get an implied volatility of about 0.351. Instead, I get 0.180. I am wondering if something is wrong with how I set up the option.

[0] https://gist.github.com/aml3/70a14f8c81dcc3d92ef5

Thanks,

Alex Lamana

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Peter Caspers-4

Re: Solving for Implied Volatility

since it is an option with one day time to expiry I wonder if in your
reference calculation a tte < 1 / 365 is used maybe ?
Peter

On 26 March 2015 at 21:51, Alexander Lamana <[hidden email]> wrote:

> Hi,
>
> I've linked my code [0].
>
> I expect to get an implied volatility of about 0.351. Instead, I get 0.180.
> I am wondering if something is wrong with how I set up the option.
>
>
> [0] https://gist.github.com/aml3/70a14f8c81dcc3d92ef5
>
>
> Thanks,
> Alex Lamana
>
>
>
> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for
> all
> things parallel software development, from weekly thought leadership blogs
> to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
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> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

alex

Re: Solving for Implied Volatility

I'm actually using Klaus's intraday patch [0], so I don't think that would be an issue. I printed out the result of calling yearFraction on the quote date and the option's expiration date. The result was about 0.002739 (1/365).

Other than the tte, is there anything else that could be different? The FD engine correctly calculates gamma.

[0] https://github.com/lballabio/quantlib/pull/186

On Fri, Mar 27, 2015 at 12:12 PM, Peter Caspers <[hidden email]> wrote:

since it is an option with one day time to expiry I wonder if in your
reference calculation a tte < 1 / 365 is used maybe ?
Peter

On 26 March 2015 at 21:51, Alexander Lamana <[hidden email]> wrote:
> Hi,
>
> I've linked my code [0].
>
> I expect to get an implied volatility of about 0.351. Instead, I get 0.180.
> I am wondering if something is wrong with how I set up the option.
>
>
> [0] https://gist.github.com/aml3/70a14f8c81dcc3d92ef5
>
>
> Thanks,
> Alex Lamana
>
>
>

> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for
> all
> things parallel software development, from weekly thought leadership blogs
> to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Luigi Ballabio

Re: Solving for Implied Volatility

What price do you get if you feed the implied volatility to the option? And what price do you get if you feed it your expected volatility instead?

On Mar 27, 2015 7:26 PM, "Alexander Lamana" <[hidden email]> wrote:

I'm actually using Klaus's intraday patch [0], so I don't think that would be an issue. I printed out the result of calling yearFraction on the quote date and the option's expiration date. The result was about 0.002739 (1/365).

Other than the tte, is there anything else that could be different? The FD engine correctly calculates gamma.

[0] https://github.com/lballabio/quantlib/pull/186

On Fri, Mar 27, 2015 at 12:12 PM, Peter Caspers <[hidden email]> wrote:
since it is an option with one day time to expiry I wonder if in your
reference calculation a tte < 1 / 365 is used maybe ?
Peter

On 26 March 2015 at 21:51, Alexander Lamana <[hidden email]> wrote:
> Hi,
>
> I've linked my code [0].
>
> I expect to get an implied volatility of about 0.351. Instead, I get 0.180.
> I am wondering if something is wrong with how I set up the option.
>
>
> [0] https://gist.github.com/aml3/70a14f8c81dcc3d92ef5
>
>
> Thanks,
> Alex Lamana
>
>
>

> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for
> all
> things parallel software development, from weekly thought leadership blogs
> to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
Dive into the World of Parallel Programming The Go Parallel Website, sponsored
by Intel and developed in partnership with Slashdot Media, is your hub for all
things parallel software development, from weekly thought leadership blogs to
news, videos, case studies, tutorials and more. Take a look and join the
conversation now. http://goparallel.sourceforge.net/
_______________________________________________
QuantLib-users mailing list
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alex

Re: Solving for Implied Volatility

Figured it out.

Since this option was so close to expiration, I had to use the intraday patch [1].

[1] https://gist.github.com/aml3/5bf6892479afefae8f60

On Fri, Mar 27, 2015 at 2:33 PM, Luigi Ballabio <[hidden email]> wrote:

What price do you get if you feed the implied volatility to the option? And what price do you get if you feed it your expected volatility instead?

On Mar 27, 2015 7:26 PM, "Alexander Lamana" <[hidden email]> wrote:
I'm actually using Klaus's intraday patch [0], so I don't think that would be an issue. I printed out the result of calling yearFraction on the quote date and the option's expiration date. The result was about 0.002739 (1/365).

Other than the tte, is there anything else that could be different? The FD engine correctly calculates gamma.

[0] https://github.com/lballabio/quantlib/pull/186

On Fri, Mar 27, 2015 at 12:12 PM, Peter Caspers <[hidden email]> wrote:
since it is an option with one day time to expiry I wonder if in your
reference calculation a tte < 1 / 365 is used maybe ?
Peter

On 26 March 2015 at 21:51, Alexander Lamana <[hidden email]> wrote:
> Hi,
>
> I've linked my code [0].
>
> I expect to get an implied volatility of about 0.351. Instead, I get 0.180.
> I am wondering if something is wrong with how I set up the option.
>
>
> [0] https://gist.github.com/aml3/70a14f8c81dcc3d92ef5
>
>
> Thanks,
> Alex Lamana
>
>
>

> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for
> all
> things parallel software development, from weekly thought leadership blogs
> to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
Dive into the World of Parallel Programming The Go Parallel Website, sponsored
by Intel and developed in partnership with Slashdot Media, is your hub for all
things parallel software development, from weekly thought leadership blogs to
news, videos, case studies, tutorials and more. Take a look and join the
conversation now. http://goparallel.sourceforge.net/
_______________________________________________
QuantLib-users mailing list
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