Re: [Quantlib-users] QuantLib Arguments for (BarrierOption) ImpliedVolatility -> 'targetValue' and'process'

[Ashish B. <ash...@gm...>]

Specific to IV, i didn't calculate IV for barriers so not sure. The IV is
not implied for all the option types like for averaging options, it doesn't
work. However, i do see the same being implemented for Barriers:
https://github.com/lballabio/QuantLib/blob/2536f0e3db681f4cb8f4972f09d561e8f085b5ea/ql/instruments/barrieroption.cpp#L51
Volatility BarrierOption::impliedVolatility(
Real targetValue,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol)

What error are you getting? Try to enter more arguments in it and try.

Regards
Ashish

On Fri, 2 Dec 2022 at 17:15, Elric StormBringer <
elr...@gm...> wrote:

> thanks everyone, very grateful for all the helpful responses.
>
> perhaps to be a bit more clear; I was having problems with the FX Touch
> Barrier Options
> 1. When I specified the option is Vanilla European : option =
> ql.VanillaOption(payoff, exercise)
> -> using the option.impliedVolatility(premium, process) *** works *** [see
> screenshot below[/
>
> 2. But when I specify the product type to be anything else, it no longer
> works, and I just get error messages...
> -> so, is it we need more special arguments for non-European-Vanilla? Or
> does the Implied Volatility work *** ONLY *** for European Vanilla Options?
>
> [image: image.png]
>
>
>
>
> [image: image.png]
>
>
> On Fri, 2 Dec 2022 at 17:41, Ashish Bansal <ash...@gm...>
> wrote:
>
>> Hi Elric,
>>
>> If you want a basic code for barrier then I wrote 1 in this thread:
>> https://sourceforge.net/p/quantlib/mailman/message/37670218/
>>
>> can also refer to the examples of barrier options in this test suite if
>> you are comfortable with C++:
>>
>> https://github.com/lballabio/QuantLib/blob/master/test-suite/barrieroption.cpp
>>
>> Thanks
>> Ashish
>>
>> On Wed, 30 Nov 2022 at 18:21, Jonathan Sweemer <sw...@gm...> wrote:
>>
>>> Hi Kiann,
>>>
>>> I'm surprised that the error you're seeing isn't related to the
>>> arguments you pass to BlackScholesProcess. You should be passing term
>>> structure objects instead of numerical values.
>>>
>>> See these links for more information:
>>>
>>> 1.
>>> https://quantlib-python-docs.readthedocs.io/en/latest/stochastic_processes.html#blackscholesprocess
>>> 2.
>>> https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/stochasticprocess.i#L116-L121
>>> 3.
>>> https://stackoverflow.com/questions/4891490/calculating-europeanoptionimpliedvolatility-in-quantlib-python
>>>
>>>
>>>
>>> On Wed, Nov 30, 2022 at 8:13 PM Elric StormBringer <
>>> elr...@gm...> wrote:
>>>
>>>> Hi there, a noob using/investigationg QuantLib library via python.
>>>>
>>>> Great job there guys!
>>>>
>>>> I've been browsing the online documentation, but still having problem
>>>> trying to find the 'arguments' and 'fields' inside each.
>>>> For example, after I've defined the trade details/market-data/engine
>>>> for : ql.BarrierOption.impliedVolatility
>>>> -> I am trying to use .ImpliedVolatility.
>>>> -> However, I am getting errors from my input fields
>>>> : option_.impliedVolatility(0.01, ql.BlackScholesProcess(1.0, 0.0, 0.3))
>>>>
>>>> Can I check, what are the syntax of the data-fields to be used? The
>>>> error message is : impliedVolatility() missing 2 required positional
>>>> arguments: 'targetValue' and 'process'
>>>>
>>>> Kind regards
>>>> Kiann
>>>> _______________________________________________
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>>>>
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>>