Posted by
Peter Caspers-4 on
Mar 27, 2015; 4:02pm
URL: http://quantlib.414.s1.nabble.com/Solving-for-Implied-Volatility-tp16405p16419.html
since it is an option with one day time to expiry I wonder if in your
reference calculation a tte < 1 / 365 is used maybe ?
Peter
On 26 March 2015 at 21:51, Alexander Lamana <
[hidden email]> wrote:
> Hi,
>
> I've linked my code [0].
>
> I expect to get an implied volatility of about 0.351. Instead, I get 0.180.
> I am wondering if something is wrong with how I set up the option.
>
>
> [0]
https://gist.github.com/aml3/70a14f8c81dcc3d92ef5>
>
> Thanks,
> Alex Lamana
>
>
>
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