Re: Problem with impliedVolatility using DividendEngine

Posted by Joseph Wang-2 on
URL: http://quantlib.414.s1.nabble.com/Problem-with-impliedVolatility-using-DividendEngine-tp4479p4481.html

I'll try to take a look at this this weekend.  My guess is that the dividend
engine does a lot of shift of the grid so the pricing might be off the grid
that the dividend engine is expecting.

In the mean time can you try the following

1) Run the experiment with AnalyticEuropeanDividendEngine

if it fails - that probably means that the problem is the in the input
parameters

if it works then

2) Run the experiment with the FdEuropeanDividendEngine

Something else you can do is to vary the size of the dividend (i.e. set the
dividend at zero and see if it works, then increase till it fails)

One thing that you should be aware of is that the FD dividend engine in 0.3.11
does discounting in a way that results in different answers from the analytic
european engine and most classic treatments (i.e. Hull).  0.3.12 will have
two different dividend engines.