Re: [Quantlib-dev] Quantlib

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

On Tue, 2007-03-20 at 18:24 +1100, Ibrahim ElFayoumi wrote:
> 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?
> 
>                 Date settlementDate = todaysDate + (int) DaysToMature;
> 
>                 Date maturity = todaysDate + (int) DaysToMature;

The settlement date is the date to which the option value is discounted
to get its NPV---depending on where you are based, it might be today's
date or a couple of days from today. Setting it to be the same as the
maturity is probably causing the option to be seen as expired.

Luigi


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