Re: [Quantlib-dev] European option validation

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

I've tried the thing in QuantLib via Python and I get 12.6127.  How
did you implement timeToDays?  With the Actual/360 day counter you're
using, the exercise date should be today's date plus 90 days to get
the correct time.  What date do you get?

Luigi


On Tue, Jan 8, 2013 at 9:12 PM, ray 176 <ra...@gm...> wrote:
> I am new to Quantlib code base, but I have a basic question,
>
> I tried to calculate a basic European option using the below but having
> difficulty to validate the results against my spreadsheet
>
> [Call] = blsprice(100, 97, 0.1, 0.25, 0.5) returns a Call  price of $12.61
> via spreadsheet
>
>
> but, via Quantlib I am getting value $10.77
>
>
> can you advice,
>
> I hope you don't mind that I posted the code below,
>
> QuantLib::Option::Type type(QuantLib::Option::Call);
> QuantLib::Real stock = 100;
> QuantLib::Real strike = 97;
> QuantLib::Real time = 0.25;
> QuantLib::Spread dividendYield = 0.00;
> QuantLib::Rate riskFreeRate = 0.1;
> QuantLib::Volatility volatility = 0.5;
>
> QuantLib::DayCounter dc = QuantLib::Actual360();
> QuantLib::Date today = QuantLib::Date::todaysDate();
>
> boost::shared_ptr<QuantLib::SimpleQuote> spot(new
> QuantLib::SimpleQuote(0.0));
> boost::shared_ptr<QuantLib::SimpleQuote> qRate(new
> QuantLib::SimpleQuote(0.0));
> boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate,
> dc);
> boost::shared_ptr<QuantLib::SimpleQuote> rRate(new
> QuantLib::SimpleQuote(0.0));
> boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate,
> dc);
> boost::shared_ptr<QuantLib::SimpleQuote> vol(new
> QuantLib::SimpleQuote(0.0));
> boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today,
> vol, dc);
>
> boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff1(new
>            QuantLib::PlainVanillaPayoff(type, strike));
>            QuantLib::Date exDate = today + timeToDays(time);
>
> boost::shared_ptr<QuantLib::Exercise> exercise(new
> QuantLib::EuropeanExercise(exDate));
>
> spot ->setValue(strike);
>  qRate->setValue(dividendYield);
>  rRate->setValue(riskFreeRate);
> vol  ->setValue(volatility);
>
>  boost::shared_ptr<QuantLib::BlackScholesMertonProcess> stochProcess(new
>
> QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
>
> QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
>
> QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
>
> QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
>         boost::shared_ptr<QuantLib::PricingEngine> engine(
>                                     new
> QuantLib::AnalyticEuropeanEngine(stochProcess));
>
>  QuantLib::EuropeanOption option(payoff1, exercise);
>  option.setPricingEngine(engine);
>
>  QuantLib::Real calculated = option.NPV();
>
> .............................
>
> boost::shared_ptr<QuantLib::YieldTermStructure>
>     flatRate(const QuantLib::Date& today,
>              const boost::shared_ptr<QuantLib::Quote>& forward,
>              const QuantLib::DayCounter& dc) {
>         return boost::shared_ptr<QuantLib::YieldTermStructure>(
>                           new QuantLib::FlatForward(today,
> QuantLib::Handle<QuantLib::Quote>(forward), dc));
>     }
>
> Regards
> Ray
>
>
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