Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/exception-handling-on-Unix-tp2545p2550.html
Hi Luigi,
this is a European Put Option
price = 0.01;
maturity =0.0986;
underlyingPrice =147.5;
strike =1;
then I define
EuropeanOption
Europeanoptioniv(Option::Put,underlyingPrice,strike,dividend,zero_rate,maturity,implvol);
and return the implied vol in database
std::cout<<"OPTION IMPLIED VOL= "
<<Europeanoptioniv.impliedVolatility(price)
I know that the strike is crazy but unfortunately this option exists on the
market, a price is given everyday by the market place and my clients have
it in in their portfolio!
Luigi Ballabio
<luigi.ballabio@fast To:
[hidden email]
webnet.it> cc:
[hidden email]
Subject: Re: [Quantlib-users] exception handling on Unix
21/05/2003 11:12
At 10:49 AM 5/21/03 +0200,
[hidden email] wrote:
>I'm using the EuropeanOption.cpp example to deduce the implied volatility
>of options.
>There's the try-catch in the source code as you explained me.
>Now everything goes fine except when it is impossible to find a solution.
>the Brent algorithm should give me an exception like:"Exception happend
for
>matrix point: root not bracketed: f[0.0001000000,4.0000000000] ->
>[0.63761133978130147000,6.27375654274655490000]" (I see that on NT) but on
>Unix I only see a core dump.
Xavier,
can you send me the inputs you're using? Also, what kind of option
are you analyzing? And if it is as European, are you using the old-style or
the new-style option?
Later,
Luigi
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