[Quantlib-dev] Quantlib

[Ibrahim E. <Ibr...@au...>]

Hello

I am trying to write a wrapper around quantlib to do various simple
things. I wanted to be able to use black school formulae to calculate
the call Primium at a given date given the various Required values, like
underlying, strike, volatility and rate...

Why I get zero at the end?

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#include "QuantlibWrapper.h"

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// the only header you need to use QuantLib

#define BOOST_LIB_DIAGNOSTIC

#  include <ql/quantlib.hpp>

#undef BOOST_LIB_DIAGNOSTIC

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#ifdef BOOST_MSVC

/* Uncomment the following lines to unmask floating-point

   exceptions. Warning: unpredictable results can arise...

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   See http://www.wilmott.com/messageview.cfm?catid=3D10&threadid=3D9481

   Is there anyone with a definitive word about this?

*/

// #include <float.h>

// namespace { unsigned int u =3D _controlfp(_EM_INEXACT, _MCW_EM); }

#endif

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#include <boost/timer.hpp>

#include <iostream>

#include <iomanip>

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using namespace QuantLib;

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#if defined(QL_ENABLE_SESSIONS)

namespace QuantLib {

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    Integer sessionId() { return 0; }

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}

#endif

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double QuantlibWrapper::BlackScholesCall(double underlying, double
strike, double volatility, double riskFreeRate, double DaysToMature)

{

        double ret =3D 0;

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        try

        {

                QL_IO_INIT

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                boost::timer timer;

                std::cout << std::endl;

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                // our options

                Option::Type type(Option::Call);

                Spread dividendYield =3D 0.00;

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                Date todaysDate =3D Date::todaysDate();

                Date settlementDate =3D todaysDate + (int) DaysToMature;

                Settings::instance().evaluationDate() =3D todaysDate;

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                Date maturity =3D todaysDate + (int) DaysToMature;

                DayCounter dayCounter =3D Actual365Fixed();

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                std::string method;

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                std::vector<Date> exerciseDates;

                exerciseDates.push_back(settlementDate);

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                boost::shared_ptr<Exercise> europeanExercise(

                        new EuropeanExercise(maturity));

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                Handle<Quote> underlyingH(

                        boost::shared_ptr<Quote>(new
SimpleQuote(underlying)));

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                // bootstrap the yield/dividend/vol curves

                Handle<YieldTermStructure> flatTermStructure(

                        boost::shared_ptr<YieldTermStructure>(

                        new FlatForward(settlementDate, riskFreeRate,
dayCounter)));

                Handle<YieldTermStructure> flatDividendTS(

                        boost::shared_ptr<YieldTermStructure>(

                        new FlatForward(settlementDate, dividendYield,
dayCounter)));

                Handle<BlackVolTermStructure> flatVolTS(

                        boost::shared_ptr<BlackVolTermStructure>(

                        new BlackConstantVol(settlementDate, volatility,
dayCounter)));

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                boost::shared_ptr<StrikedTypePayoff> payoff(

                        new PlainVanillaPayoff(type, strike));

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                boost::shared_ptr<StochasticProcess> stochasticProcess(

                        new BlackScholesMertonProcess(underlyingH,
flatDividendTS,

                        flatTermStructure, flatVolTS));

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                // options

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                VanillaOption europeanOption(stochasticProcess, payoff,

                        europeanExercise);

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                // Analytic formulas:

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                // Black-Scholes for European

                method =3D "Black-Scholes";

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europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(

                        new AnalyticEuropeanEngine));

                ret =3D europeanOption.NPV();

        }

        catch (std::exception& e)

        {

        std::cout << e.what() << std::endl;

        return 1;

    }

        catch (...)

        {

        std::cout << "unknown error" << std::endl;

        return 1;

    }

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        return ret;

}

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I get zero for any pricing I use..=20

Can you please help how to use Quantlib?

Please send reply to : elf...@gm...

Regards

Ibrahim

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