Correct Method for Calculating Implied Volatility

Posted by alex on
URL: http://quantlib.414.s1.nabble.com/Correct-Method-for-Calculating-Implied-Volatility-tp16401.html

Hi,

I want to use QuantLib to compute the implied volatility for an American option with dividends.

I essentially follow the example here [0]. The issue I'm having is that initializing the BlackScholesProcess, which is required by the impliedVolatility function, uses a volatility term structure. In turn, this term structure takes in a Real for volatility, the thing I am trying to calculate.

What's the correct way to get this initial volatility? I thought about using a BlackScholesCalculator and Brent solver to estimate it but wasn't sure if that was a good approach.

[0] http://www.bnikolic.co.uk/blog/ql-american-disc-dividend.html

Thanks,

Alex Lamana

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