Re: European Option that comes due "this" month

Posted by Robert F. Hoffman on Nov 08, 2004; 12:02pm
URL: http://quantlib.414.s1.nabble.com/European-Option-that-comes-due-this-month-tp3410p3412.html

Sorry to take so long to respond, diverted with other obligations.
Works for me.  Thanks,
Robert

On Thu, 2004-11-04 at 07:38, Luigi Ballabio wrote:

> At 16:41 03/11/2004, Robert F. Hoffman wrote:
> >I am interested in using the Black Scholes calculation on an option
> >which comes due in the current month.
> >
> >By editing the example to hard-code the current month in the today,
> >settlement, and exercise date fields I get the following error in
> >blackvariancesurface.cpp:55:
> >
> >QuantLib::BlackVarianceSurface::BlackVarianceSurface(const
> >QuantLib::Date&, const std::vector<QuantLib::Date,
> >std::allocator<QuantLib::Date> >&, const std::vector<Time,
> >std::allocator<Time> >&, const QuantLib::Matrix&,
> >QuantLib::BlackVarianceSurface::Extrapolation,
> >QuantLib::BlackVarianceSurface::Extrapolation, const
> >QuantLib::DayCounter&): dates must be sorted unique!
>
> Robert,
>          the error is raised during the instantiation of the
> BlackVarianceSurface. If you're not using it (i.e., if you're using a flat
> volatility as in the example) you can safely comment its construction out.
>
> If you want to keep it, the problem is the one reported---"dates must be
> sorted unique", i.e., must be sorted and without duplicates. You can try
> and print out the dates you're passing to the surface to see whether they
> satisfy the requirement. For instance,
>
> dates[0] = settlementDate.plusMonths(1);
> dates[1] = exerciseDate;
>
> are guaranteed to be unsorted if the exercise is closer than one month.
> Also, I think that dates[0] must be strictly later than the settlement.
>
> But really, if a flat volatility is enough for you, just comment out the
> BlackVarianceSurface thing. It is there only because Nando is a pack rat :)
>
> Later,
>          Luigi
>