Posted by
Luigi Ballabio on
Nov 14, 2007; 1:20pm
URL: http://quantlib.414.s1.nabble.com/Implied-volatility-surface-tp1538p1539.html
On Mon, 2007-11-05 at 13:43 +0100, Sebastián Miranda wrote:
> I'm implementing a service that retrieves a file from an information
> provider with option's strike, term and price.
> On the other side, I have the yield curve and the discrete dividends
> paid by the asset. With all this, I need to get the implied volatility
> surface using Black76...
You can use the DividendVanillaOption class and its impliedVolatility()
method. An example is in test-suite/europeanoption.cpp; it's done with
VanillaOption, i.e., without discrete dividends, but you can adapt it to
an option with dividends.
Luigi
--
There's no sense in being precise when you don't even know what you're
talking about.
-- John von Neumann
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