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

[Al C. <aca...@al...>]

Hi Dirk,

This is our code:

def calc_option_implied_vol(self, instrument_model: BaseModel, parameter_model: BaseModel = None,
                      market_data_model: BaseModel = None):
    equity_option_instrument = self.get_equity_option_instrument(instrument_model)

    evaluationDate = Utils.extract_input_model("evaluationDate", parameter_model)
    optionPrice = Utils.extract_input_model("optionPrice", parameter_model)
    spotPrice = Utils.extract_input_model("spotPrice", parameter_model)
    dayCounter = Utils.extract_input_model("dayCounter", parameter_model)
    calendar = Utils.extract_input_model("calendar", market_data_model)
    irCurveTenors = Utils.extract_input_model("irCurveTenors", market_data_model)
    irCurveZeroRates = Utils.extract_input_model("irCurveZeroRates", market_data_model)
    dividendYield = Utils.extract_input_model("dividendYield", market_data_model)
    exerciseType = Utils.extract_input_model("exerciseType", instrument_model)

    dummyVolatility = 0.2
    volQuote = ql.SimpleQuote(dummyVolatility)

    dividendCurve = self._buildDividendCurve(evaluationDate, dividendYield, dayCounter)
    irCurve = self._buildInterestCurve(evaluationDate, calendar, dayCounter, irCurveTenors, irCurveZeroRates)
    volTS = self._buildVol(evaluationDate, calendar, dayCounter, volQuote)
    bsmProcess = ql.BlackScholesMertonProcess(
        ql.QuoteHandle(ql.SimpleQuote(spotPrice)),
        ql.YieldTermStructureHandle(dividendCurve),
        ql.YieldTermStructureHandle(irCurve),
        ql.BlackVolTermStructureHandle(volTS))

    ql.Settings.instance().evaluationDate = evaluationDate
    if exerciseType == "European":
        equity_option_instrument.setPricingEngine(ql.AnalyticEuropeanEngine(bsmProcess))
    elif exerciseType == "American":
        if self.americanEngine == "FdBlackScholesVanillaEngine":
            aEngine = ql.FdBlackScholesVanillaEngine(bsmProcess, 100, 100)
        elif self.americanEngine == "BinomialVanillaEngine":
            aEngine = ql.BinomialVanillaEngine(bsmProcess, "crr", 400)
        else:
            raise MMException(f"Unsupported americanEngine {self.americanEngine}")
        equity_option_instrument.setPricingEngine(aEngine)
    else:
        raise MMException(f"Unsupported exercise type {exerciseType}")

    impliedVol = equity_option_instrument.impliedVolatility(optionPrice, bsmProcess, 1e-6, 1000, 0.001, 4.0)
    return impliedVol






My Best
-Al
Cell # 917-603-8000
www.AlphaAnalitica.com

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-----Original Message-----
From: Dirk Eddelbuettel <ed...@de...> 
Sent: Monday, February 16, 2026 6:13 PM
To: Dirk Eddelbuettel <ed...@de...>
Cc: Al Cabrini <aca...@al...>; qua...@li...
Subject: RE: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing list


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...