Re: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing list

[Dirk E. <ed...@de...>]

On 16 February 2026 at 16:11, Dirk Eddelbuettel wrote:
| 
| On 16 February 2026 at 22:02, Al Cabrini wrote:
| | Thank you Dirk,
| | 
| | I added comment below
| | 
| | Ticker = BE 03/06/26 C155 Equity 
| | OPT_PUT_CALL =	Call
| | OPT_STRIKE_PX =	155
| | OPT_EXER_TYP = American
| | OPT_EXERCISE_DT = Mar-20-2026
| | OPT_UNDL_PX  = 138.75
| | Option Price MID = 9.475
| | evaluation date = Feb-13-2026 
| | 
| | Here is the Bloomberg value for implied Vol is 116.124 but my Quantlib calculatin is 141.3
| 
| Show as your call to quantlib, please. The issue will likely be that you
| transcribed parameters the wrong way. Sometimes it is daysdifference/365
| instead of over 252 or vice versa. It all depends. And it is good practice to
| calibrate so I would start with spot = strike = 100, t_to_mat = 1 year, vol =
| 25%, r = 0.04 etc and see if I can start aligning call or put prices.
| 
| This library is well known, and had a million eyes on it. It is not likely
| that the code is off.  That leaves ... the invocation.
| 
| So show us what you did.

FWIW I cannot make heads or tails of that example. I came up with implied vol
below either 116 or 141%.

To reset, consider a posted example for a European call option posted here:
  https://en.wikipedia.org/wiki/Implied_volatility

This recomputes for me (using RQuantLib)

  > EuropeanOptionImpliedVolatility(type="call", value=2, underlying=51.25, strike=50, dividendYield=0.00, riskFreeRate=0.05, maturity=32/365, volatility=0.4)
  [1] 0.186925
  attr(,"class")
  [1] "EuropeanOptionImpliedVolatility" "ImpliedVolatility"              
  > 

matching the stipulated 18.7% on the wikipedia page.

Dirk

-- 
dirk.eddelbuettel.com | @eddelbuettel | ed...@de...