Re: Black-Scholes theoretical value

Posted by Jack Jones-2 on May 10, 2007; 4:05pm
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-theoretical-value-tp823p827.html

Thanks Luigi, that is very helpful!  A follow-up questions:

On 5/10/07, Luigi Ballabio <[hidden email]> wrote:

> // Dividend term structure
> shared_ptr<YieldTermStructure>
>     dividendTS(new FlatForward(expiryDate,
>                    dividend,
>                    Actual360()));

This is not correct. The first argument to FlatForward should be the
evaluation date, or rather the date for which the discount equals 1.
This might be today's date, or a couple of days later if settlement days
should be considered. The same applies to the interest-rate and
volatility term structures. The rest of the setup is correct.

Okay, I had assumed referenceDate was relative to QuantLib::Settings::instance().evaluationDate().  I suppose the expiry is taken into account through the exercise?

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