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

[Morpheous <tak...@ho...>]

Hi Luigi,

Hope you had a nice relaxing holiday!. Thanks for the reply. BTW, I am using
QuantLib with C++ too, so the original snippet is useful too :)

Thanks


Luigi Ballabio wrote:
> 
> 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.
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond.
>>> Discussions
>>> will include endpoint security, mobile security and the latest in
>>> malware
>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and 
> threat landscape has changed and how IT managers can respond. Discussions 
> will include endpoint security, mobile security and the latest in malware 
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 

-- 
View this message in context: http://old.nabble.com/TARGET%28%29-macro-and-default-calendar-%28RuntimeError%3A-option-expired%29-tp34238686p34348195.html
Sent from the quantlib-dev mailing list archive at Nabble.com.