Posted by
Luigi Ballabio on
Jul 28, 2008; 3:18pm
URL: http://quantlib.414.s1.nabble.com/European-option-call-put-tp5988p5989.html
On Mon, 2008-07-28 at 10:46 -0400, Robert Kubrick wrote:
> I wrote a simple program to print the npv for both a call and a put
> european option with same expiration/rate/strike/underlying. The
> program returns a correct value for the put option, but the npv for
> the call option is 0 and I can't get the put greeks:
Your problem is probably:
> Date today(Day(btoday.day()), Month(btoday.month().as_enum()),
> Year(btoday.year()));
> Date settlementDate(14, August, 2008);
The settlement date is where you want your NPV to be "present" (or, in
other words, where your discount factor is 1.) You probably want it to
be today's date.
Luigi
--
The nice thing about standards is that there are so many of them to
choose from.
-- Andrew S. Tanenbaum
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