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

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

On 16 February 2026 at 17:12, Dirk Eddelbuettel wrote:
| FWIW I cannot make heads or tails of that example. I came up with implied vol
| below either 116 or 141%.

I had promised myself to revisit this, and I finally did. It turns out I had
a parameter entry error. Once I adjust that I am right where Luigi had his
results, i.e. difference decimals past 115% depending on daycounter
convention used.

This also made me realize that instead of maturity as the usual 'fractional
part of a year' I should alternatively pass the expiry date down. Which I
have now done, as well as the dayCounter convention. With that the R results
match the Python results as they should as both go to the same C++ library.

Dirk

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