Re: [Quantlib-dev] TARGET() macro and default calendar (RuntimeError: option expired)

[Luigi B. <lui...@gm...>]

Oh, you're using Python.  Then the statement would be

Settings.instance().evaluationDate = Date(8,February,2011)

instead.

Luigi

On Fri, Aug 24, 2012 at 1:01 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Hi,
>     apologies for the delay, I was on vacation.  The TARGET calendar
> only specifies what days are business days and what days are holidays.
>  If you want to set an evaluation date, you'll have to add, say,
>
> Settings::instance().evaluationDate() = Date(8,February,2011);
>
> before performing the calculations.  If the evaluation date is not
> set, it defaults to the system date as you inferred.
>
> Luigi
>
> On Wed, Aug 1, 2012 at 3:45 AM, Morpheous <tak...@ho...> wrote:
>>
>> I am using the Python binding to Quantlib to perform calculations on historic
>> data.
>>
>> After setting up the required framework (curves etc), When I call
>> `option.ImpliedVolatility()` I get the following exception thrown (for
>> options that have expired):
>>
>>
>>       File "/usr/local/lib/python2.6/dist-packages/QuantLib/QuantLib.py",
>> line 3683, in impliedVolatility
>>         def impliedVolatility(self, *args): return
>> _QuantLib.VanillaOption_impliedVolatility(self, *args)
>>     RuntimeError: option expired
>>
>>
>> A snippet of the lines of code for setting up required curves etc is shown
>> below:
>>
>>             dividend_yield = YieldTermStructureHandle(FlatForward(0,
>> TARGET(), div_yield, Actual365Fixed()))
>>             risk_free_rate = YieldTermStructureHandle(FlatForward(0,
>> TARGET(), rf_rate, Actual365Fixed()))
>>             volatility = BlackVolTermStructureHandle(BlackConstantVol(0,
>> TARGET(), annualized_histvol, Actual360()))
>>
>>
>> I **STRONGLY** suspect that the `TARGET()` macro used defaults to the
>> current system date.
>>
>> How may I set up the library to use a specific historic date?
>> --
>> View this message in context: http://old.nabble.com/TARGET%28%29-macro-and-default-calendar-%28RuntimeError%3A-option-expired%29-tp34238686p34238686.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
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