Confusion about VanillaOption::impliedVolatility

Posted by alex on
URL: http://quantlib.414.s1.nabble.com/Confusion-about-VanillaOption-impliedVolatility-tp16370.html

Hi, I'm finding the implied volatility of an option two ways: solving with a Brent solver while using a BlackScholesCalculator; and setting the pricing engine to CoxRoss and then calling VanillaOption.impliedVolatility. The second way is because I want to factor in dividends.

The first way doesn't crash, but the second one does, throwing "root not bracketed". By now, I've been looking through my code and the QuantLib code on Github for a little bit of time.

I don't know precisely what's going wrong, but I have a question about this line [0]. Why is volQuote not set to a value?

[0] https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/instruments/vanillaoption.cpp#L48

Thanks.

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