Re: Implied Volatility

Posted by dpuschmann on
URL: http://quantlib.414.s1.nabble.com/Implied-Volatility-tp7280p15161.html

There seems to be a bug in the FDStepConditionEngine.cs, which can be solved by inserting

results.additionalResults.Clear();

before the original line 111:
results.additionalResults.Add("priceCurve", prices_);

This seems to be correct, since the other results (value/delta/gamma) are simply overwritten in this method, so there seems to be no sense in storing thepricecurve of past calculations.