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

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

It looks plausible.  Do you have the time information as well? (e.g. the
expiry at 16:00)

On Tue, Feb 17, 2026 at 12:41 PM Al Cabrini <aca...@al...>
wrote:

> Hi Luigi,
>
>
>
> I got this (see attached) from someone on the net.
>
>
>
> Is this correct?
>
>
>
>
>
> My Best
>
> -Al
>
> Cell # 917-603-8000
>
> www.AlphaAnalitica.com <http://www.conformity360.com/>
>
>
>
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> *From:* Luigi Ballabio <lui...@gm...>
> *Sent:* Tuesday, February 17, 2026 4:01 AM
> *To:* Dirk Eddelbuettel <ed...@de...>
> *Cc:* qua...@li...
> *Subject:* Re: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing
> list
>
>
>
> Hi, here is how I would calculate it:
>
>
>
> import QuantLib as ql
>
> today = ql.Date(13, 2, 2026)
> ql.Settings.instance().evaluationDate = today
>
> option = ql.VanillaOption(
>     ql.PlainVanillaPayoff(ql.Option.Call, 155),
>     ql.AmericanExercise(today, ql.Date(6,3,2026)),
> )
>
> calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
> day_counter = ql.Actual365Fixed()
>
> u = ql.QuoteHandle(ql.SimpleQuote(138.75))
> q = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0, day_counter))
> r = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0366, day_counter))
> vol_s = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today,
> calendar, 1.112938, day_counter))
>
> p = ql.GeneralizedBlackScholesProcess(u, q, r, vol_s)
>
> print(100 * option.impliedVolatility(9.475, p))
>
>
>
> This prints 115.899, not quite the same as Bloomberg's 116.124 but a lot
> closer than your 141.  As Dirk says, you might have some problem in the way
> you're calling the library.
>
>
>
> (Also, changing day_counter to Act/360 prints 115.092, and changing it to
> Business252(calendar) prints 117.971, so it's worth trying to figure out
> from the BBG docs—if you have any—which one is correct.)
>
>
>
> Hope this helps,
>
>     Luigi
>
>
>
>
>
>
>
>
>
> On Tue, Feb 17, 2026 at 1:05 AM Dirk Eddelbuettel <ed...@de...> wrote:
>
>
> 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...
>
>
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