Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Quantlib-tp9291p9292.html
On Tue, 2007-03-20 at 18:24 +1100, Ibrahim ElFayoumi wrote:
> I am trying to write a wrapper around quantlib to do various simple
> things. I wanted to be able to use black school formulae to calculate
> the call Primium at a given date given the various Required values,
> like underlying, strike, volatility and rate…
>
> Why I get zero at the end?
>
> Date settlementDate = todaysDate + (int) DaysToMature;
>
> Date maturity = todaysDate + (int) DaysToMature;
The settlement date is the date to which the option value is discounted
to get its NPV---depending on where you are based, it might be today's
date or a couple of days from today. Setting it to be the same as the
maturity is probably causing the option to be seen as expired.
Luigi
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