Posted by
Peter Caspers-2 on
URL: http://quantlib.414.s1.nabble.com/Are-IV-values-calculated-by-QuantLib-scaled-by-a-factor-tp270p272.html
I sometimes fell for the "scaling factor" \sqrt(\tau) in functions like
blackFormulaImpliedStdDev() ...
Am 03.08.2012 16:21, schrieb Ferdinando Ametrano:
> On Wed, Aug 1, 2012 at 3:57 AM, Morpheous<
[hidden email]> wrote:
>> Finally, is a IV reading of 0.62748262992 to be interpreted as 0.6275% or
>> 62.75% (the latter interpretation seems outrageously high)
> 62.75%, and it not an outrageously high value for log-normal
> volatilities in the current markets
>
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