Posted by
Bojan Nikolic on
URL: http://quantlib.414.s1.nabble.com/impliedVolatility-always-throws-exception-instead-of-0-or-1-tp7284p7288.html
Grant Birchmeier <
[hidden email]> writes:
> (I'm not entirely sure what this exception's message means.
> "f[1e-007,4] -> [1.482733e-003,9.330532e-001]"... what? Both values
> on the right are between 1e-7 and 4, which are the default min and
> max, so I don't know what the deal is.)
This message means that:
f(1e-7) = 1.482733e-003
and
f(4) = 9.330532e-1
where f(x) is the difference in the calculated present value if the
volatility was x and the present value that you supplied.
Since both of these values have the same sign, it is not necessarily
the case that there exists f(x)=0 with 1e-7<x<4 and the Brent-style
solver gives up.
Best,
Bojan
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