Re: ImpliedVolatility bracketing exception

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/ImpliedVolatility-bracketing-exception-tp4606p4607.html

On 03/15/2006 07:36:21 PM, Ken Anderson wrote:

> I'm trying to use the impliedVolatility method on a VanillaOption and  
> I'm getting the following exception:
>
> Underlying:66.900000
> Strike 61.500000 Call  Price 7.750000 Expires:November 14th, 2006
>
> java.lang.RuntimeException: root not bracketed: f[0.0001,4] ->  
> [6.792459e-02,5.274040e+01]
>
> The strange thing is, this one works fine:
>
> Strike 62.000000 Call  Price 7.460000  Volatility 0.09146919793826723

It seems that for the 61.5 call the quoted price is too low, and it  
cannot be reached by the formula no matter how low the volatility is.
What were your other parameters? (risk-free rate and such)

Later,
        Luigi


----------------------------------------

The doctrine of human equality reposes on this: that there is no man
really clever who has not found that he is stupid.
-- Gilbert K. Chesterson