Re: [Quantlib-users] Error in ImpliedVolatility method

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

Hello,
    in version 1.30, the impliedVolatility method was overloaded (it's now
also possible to pass a dividend schedule) and SWIG can't support keyword
arguments in this case.

In previous versions, the implied volatility was given by default a minimum
value of 0.0001 because smaller values could cause problems in the
calculations.  In more recent ones, those problems were solved and we could
lower the minimum value to 1e-7.   My guess is that the correct value is
5e-5, but in version 1.27 it was below the minimum value and couldn't be
returned.  The minimum value was probably good enough within accuracy and
was returned instead of the correct one.

Hope this helps,
    Luigi


On Fri, Feb 2, 2024 at 12:15 PM Ashish Bansal <ash...@gm...>
wrote:

> Hi all,
>
> We are using the QL v1.27 through Python which are upgrading to recent
> version v1.32. We are calculating the implied volatility of the vanilla
> option using the ImpliedVolatility method as following:
> self.IV = option.impliedVolatility(targetValue=self.marketPremium,
> process=process)
>
> This was working fine in v1.27 but in v1.32 it is given the following
> error:
> [image: image.png]
>
> I did look at the release change log but have not found anything around it.
>
> Secondly, the value of same put option is showing difference in IV as
> following when i remove the keywords and run:
> v1.27: 0.0001
> v1.32: 0.00005 (5.0100000000000005e-05)
>
> Kindly help if we need to make more changes for this.
>
> Regards
> Ashish
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