Posted by
Marcin Pawlik on
URL: http://quantlib.414.s1.nabble.com/Are-IV-values-calculated-by-QuantLib-scaled-by-a-factor-tp270p273.html
On 1 August 2012 03:57, Morpheous <
[hidden email]> wrote:
>
> I am using QuantLib to calculate IV values. I am suprised at the magbitude of
> the difference between my calculated historical volatility (HV) values,
> compared to the implied vol (IV) values calculated by QuantLib.
>
> I am using QuantLib to calculate implied volatilities.
Can you provide the data and the code used?
> Here is an output from my program:
>
> DEBUG: 20 day historic volatility: 0.10
> DEBUG: 20 day implied vol: 0.519485358338
Perhaps for this set.
> The IVs are several multiples of the HV figures.
Usually it is so that IV > HV.
> I haven't looked under the
> bonnet and delved into the code just yet, but the consistently large
> difference (with IV constantly several multiples above HV) does suggest some
> scaling.
Not necessarily.
> Finally, is a IV reading of 0.62748262992 to be interpreted as 0.6275% or
> 62.75% (the latter interpretation seems outrageously high)
No, it doesn't.
M.
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