[Quantlib-dev] ImpliedVolatility bracketing error

[Ken A. <li...@an...>]

I'm trying to use the impliedVolatility method on a VanillaOption and  
I'm getting the following exception:

Underlying:66.900000
Strike 61.500000 Call  Price 7.750000 Expires:November 14th, 2006

java.lang.RuntimeException: root not bracketed: f[0.0001,4] ->  
[6.792459e-02,5.274040e+01]
	at org.quantlib.QuantLibJNI.VanillaOption_impliedVolatility__SWIG_4 
(Native Method)
	at org.quantlib.VanillaOption.impliedVolatility(VanillaOption.java:89)

The strange thing is, this one works fine:

Strike 62.000000 Call  Price 7.460000  Volatility 0.09146919793826723

So, with all other parameters the same (they're the 61.50 and 62.00  
calls on an oil future expiring on Nov 14), one calculates, the other  
one gets a bracketing error.  I'm using the default impliedVolatility  
method, so the input values are the defaults (.0001 and 4 with I  
believe up to 100 iterations).

Since the volatility is pretty low for the $62 Call, is it possible  
that it's just too far off?  Since the 61.50 Call costs $7.75 and the  
62 Call costs $ 7.46, I can't see how they could be too far off from  
each other.

Any thoughts are appreciated...  I'm running in Java through SWIG in  
case anyone is interested - and it's the latest stable release.

Ken