Re: Error with old-style implied vol
Posted by Ferdinando M. Ametrano-3 on Dec 17, 2003; 7:21am
URL: http://quantlib.414.s1.nabble.com/Error-with-old-style-implied-vol-tp10464p10466.html
> > In the process of updating RQuantLib to 0.3.4, I found that my wrappers
> > around European and American implied vol no longer work. [...]
> > I include a simple stand-alone below. It builds fine, compute the NPV
> of an
> > option (just to show that it links right etc pp) but abort on implied vol.
Dirk,
sorry for being so late. In a private conversation Luigi suggested that the
problem might be with:
#define QL_MIN_VOLATILITY 0.0 in ql/argsandresults.hpp
Could you please change it to
#define QL_MIN_VOLATILITY 0.000001 in ql/argsandresults.hpp
and see if your problem disappear?
If this fails I'll investigate further the example you provided.
Thank you
ciao -- Nando