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

[Elric S. <elr...@gm...>]

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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