[ quantlib-Bugs-545734 ] impliedVolatility when exdivdate==today

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Bugs item #545734, was opened at 2002-04-18 10:17
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: impliedVolatility when exdivdate==today

Initial Comment:
FdDividendAmericanOption::impliedVolatility fails,
printing "out of memory", if the first exdividend date
is zero, i.e. today.

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Comment By: Nobody/Anonymous (nobody)
Date: 2002-04-18 10:23

Message:
Logged In: NO

This is a program that shows the failure. I tried to add it
as attachment, but that didn't work.

#include <ql/quantlib.hpp>

using namespace QuantLib;
using DayCounters::Actual365;
using QuantLib::Pricers::FdDividendAmericanOption;
using QuantLib::Pricers::FdAmericanOption;


int main(int argc, char* argv[])
{
  try {
    double underlying = 100;
    double strike = 100;      // at the money
    Rate riskFreeRate = 0.0; // 5%
    double volatility = 0.20; // 20%

    Actual365 dayCounter;

    Date today(Day(12), Month(4), Year(2002));
    Date expiration(Day(13), Month(5), Year(2002));

    Time maturity = dayCounter.yearFraction(today,
expiration);

    std::vector<Time> dividendList;
    dividendList.push_back(2.0);

    double totalDiv = 0.0;
    for (int i=0; i<dividendList.size(); ++i) {
      totalDiv += dividendList[i];
    }
         
    Spread dividendYield = totalDiv/(underlying*maturity);
       
    Size timeSteps=100, assetSteps = 100;

    FdAmericanOption myAmericanOption(Option::Call,
underlying, strike,
                                      dividendYield,
riskFreeRate, maturity, volatility,
                                      timeSteps,
assetSteps);

    double myAmericanOptionValue = myAmericanOption.value();

    std::cerr << "maturity=" << maturity
              << " underlying=" << underlying
              << " strike=" << strike
              << " riskFreeRate=" << riskFreeRate
              << " volatility=" << volatility
              << " dividendYield=" << dividendYield
              << " contDiv=" << myAmericanOptionValue
              << std::endl;

    for (Date exdivdate=expiration; exdivdate>=today;
exdivdate--) {
      // std::cerr << exdivdate << '\n';
      std::vector<Time> exdivtimeList;
      exdivtimeList.push_back(dayCounter.yearFraction
(today, exdivdate));

      FdDividendAmericanOption myDividendAmericanOption
(Option::Call, underlying, strike,
                                               
        0.0, riskFreeRate, maturity, volatility,
                                               
        dividendList, exdivtimeList,
                                               
        timeSteps, assetSteps);

      double impliedVol =
myDividendAmericanOption.impliedVolatility
(myAmericanOptionValue);
       
      std::cout << exdivdate << ' ' <<
DoubleFormatter::toString(impliedVol, 6) << std::endl;
    }


    return 0;
  } catch (std::exception& e) {
    std::cout << e.what() << std::endl;
    return 1;
  } catch (...) {
    std::cout << "unknown error" << std::endl;
    return 1;
  }
}


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