VanillaOptions : theta from ql vs other pricers

Posted by iosif ziman on Mar 01, 2010; 9:50am
URL: http://quantlib.414.s1.nabble.com/VanillaOptions-theta-from-ql-vs-other-pricers-tp331.html

I am looking at matching greeks between quantlib and alternative pricers. I found that I manage to match delta, gamma, vega, rho but NOT theta. I am using GeneralizedBlackScholes.

The Bloomberg OV pricer gives me -8.87 for data below. With ql I have abt -37

I tried different daycount convenctions including Actual 365 (Fixed) and Business252. Any idea what may I be missing.

today's date 1 Mar 2010
set global evaluation date TRUE
       
settlement date 3 Mar 2010
calendar Target
volatility 0.40
day counter Business252
       
underlying 11543.73
risk free rate 0.08
dividend yield 0.00
       
exercise date 30 Mar 2010
       
payoff type Vanilla
option type CALL
strike 11800.00
       
NPV 419.95
gamma 0.000313585
vega 12.58999954
theta -37.05396289
rho 3.710256838