Re: Solving for Implied Volatility

Posted by alex on Mar 27, 2015; 6:15pm
URL: http://quantlib.414.s1.nabble.com/Solving-for-Implied-Volatility-tp16405p16420.html

I'm actually using Klaus's intraday patch [0], so I don't think that would be an issue. I printed out the result of calling yearFraction on the quote date and the option's expiration date. The result was about 0.002739 (1/365).

Other than the tte, is there anything else that could be different? The FD engine correctly calculates gamma.


[0] https://github.com/lballabio/quantlib/pull/186

On Fri, Mar 27, 2015 at 12:12 PM, Peter Caspers <[hidden email]> wrote:

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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