Re: Error with old-style implied vol

Posted by Dirk Eddelbuettel on Dec 17, 2003; 7:41am
URL: http://quantlib.414.s1.nabble.com/Error-with-old-style-implied-vol-tp10464p10467.html

On Wed, Dec 17, 2003 at 04:16:05PM +0100, Ferdinando Ametrano wrote:

>
> >> 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?

Sorry but I changed my code in November to use the new pricer framework.
Right now RQuantLib uses a mixture of old and new pricers / interface;
eventually I'll convert it all.

Dirk

--
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