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From: Raj S <raj...@ho...> - 2026-05-09 17:53:34
|
Thanks I will try and install g++. I clearly don’t look at these as often as you do, so I did not stand out to me. I wish configure would print a summary of whats missing for us luddites. Appreciated. > On 9 May 2026, at 18:37, Dirk Eddelbuettel <ed...@de...> wrote: > > > On 9 May 2026 at 16:21, Raj S wrote: > | I tried Ubuntu on a spare PC I had and had the same problem. Then this is the problem on a GCP VM. Sorry about the mixed messaging but the subject line is in correct (read it as Debian). > > Ubuntu has different major releases every two years, and incremental releases > every six months. You have not told us which Ubuntu version you are using. > But QuantLib should work on any as QuantLib has been part of Ubuntu for 20+ > years. > > | I add some of the logs below > > It quite clearly states that g++ is not installed. > > Dirk > > -- > Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com > > Support my Tour de Shore 2026 ride benefiting Maywood Fine Arts! More info at > https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026 |
|
From: Dirk E. <ed...@de...> - 2026-05-09 17:37:49
|
On 9 May 2026 at 16:21, Raj S wrote: | I tried Ubuntu on a spare PC I had and had the same problem. Then this is the problem on a GCP VM. Sorry about the mixed messaging but the subject line is in correct (read it as Debian). Ubuntu has different major releases every two years, and incremental releases every six months. You have not told us which Ubuntu version you are using. But QuantLib should work on any as QuantLib has been part of Ubuntu for 20+ years. | I add some of the logs below It quite clearly states that g++ is not installed. Dirk -- Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com Support my Tour de Shore 2026 ride benefiting Maywood Fine Arts! More info at https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026 |
|
From: Raj S <raj...@ho...> - 2026-05-09 16:21:51
|
I tried Ubuntu on a spare PC I had and had the same problem. Then this is the problem on a GCP VM. Sorry about the mixed messaging but the subject line is in correct (read it as Debian). I add some of the logs below root@instance-20260508-170800:/home/share# apt-get install libboost-all-dev Reading package lists... Done Building dependency tree... Done Reading state information... Done libboost-all-dev is already the newest version (1.74.0.3). 0 upgraded, 0 newly installed, 0 to remove and 2 not upgraded. Here’s the associated config.log when I run ./configure > On 9 May 2026, at 14:17, Dirk Eddelbuettel <ed...@de...> wrote: > > > On 9 May 2026 at 11:31, Raj S wrote: > | Sorry - here’s the name output > | > | Linux instance-20260508-170800 6.1.0-45-cloud-amd64 #1 SMP PREEMPT_DYNAMIC Debian 6.1.170-1 (2026-04-30) x86_64 GNU/Linux > > That is the kernel, and it is independent of the OS you are running. You say > Ubuntu in the subject, you still have not told us what version. > > Luigi was also quite in suggesting that you look at the log from configure. > > Dirk > > -- > Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com > > Support my Tour de Shore 2026 ride benefiting Maywood Fine Arts! More info at > https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026 |
|
From: Dirk E. <ed...@de...> - 2026-05-09 13:17:31
|
On 9 May 2026 at 11:31, Raj S wrote: | Sorry - here’s the name output | | Linux instance-20260508-170800 6.1.0-45-cloud-amd64 #1 SMP PREEMPT_DYNAMIC Debian 6.1.170-1 (2026-04-30) x86_64 GNU/Linux That is the kernel, and it is independent of the OS you are running. You say Ubuntu in the subject, you still have not told us what version. Luigi was also quite in suggesting that you look at the log from configure. Dirk -- Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com Support my Tour de Shore 2026 ride benefiting Maywood Fine Arts! More info at https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026 |
|
From: Luigi B. <lui...@gm...> - 2026-05-09 12:15:22
|
Hello—when you say Boost is under a sub-dir of /usr/include, do you mean you have (for instance) /usr/include/boost/config.hpp, or it is /usr/include/some-dir/boost/config.hpp? Also, looking at config.log will show the actual compiler error that gcc emitted when it tried to include some Boost header. That might help. Luigi On Sat, May 9, 2026 at 1:32 PM Raj S <raj...@ho...> wrote: > Sorry - here’s the name output > > Linux instance-20260508-170800 6.1.0-45-cloud-amd64 #1 SMP PREEMPT_DYNAMIC > Debian 6.1.170-1 (2026-04-30) x86_64 GNU/Linux > > > On 8 May 2026, at 20:18, Dirk Eddelbuettel <ed...@de...> wrote: > > > > > > On 8 May 2026 at 17:22, Raj S wrote: > > | I am logged into a GCM VM as root (sudo su -) and create /home/share > folder in it. > > | > > | I then ran > > | > > | apt-get install libboost-all-dev > > | > > | (It all went in successfully. I also ran ldconfig after this for good > measure). > > | > > | Then when I download and unbox QuantLib-1.4.1.tar.gz and then run > ./configure > > | > > | At the end I keep seeing this > > | > > | checking for Boost development files… > > | no configure: error: Boost development files not found > > | > > | I have checked under /usr/include and under /usr/lib and clearly boost > is there (under a sub-dir). > > | > > | > > | This never happened before - but seems to be for release 1.42.1 > > | > > | Any ideas? > > > > What OS are you running? You only say that you use apt -- I maintain > QuantLib > > for Debian (where it builds reliably) and also upload it launchpad to > have > > Ubuntu versions being built (mostly for my own use on Ubuntu). > > > > edd@paul:~$ apt-cache policy libquantlib0-dev > > libquantlib0-dev: > > Installed: 1.42.1-0.2404.0 > > Candidate: 1.42.1-0.2404.0 > > Version table: > > *** 1.42.1-0.2404.0 500 > > 500 https://ppa.launchpadcontent.net/edd/misc/ubuntu noble/main > amd64 Packages > > 100 /var/lib/dpkg/status > > 1.39-1 500 > > 500 http://archive.ubuntu.com/ubuntu questing/universe amd64 > Packages > > edd@paul:~$ > > > > Dirk > > > > -- > > Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com > > > > Support my Tour de Shore 2026 ride benefiting Maywood Fine Arts! More > info at > > https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026 > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
|
From: Raj S <raj...@ho...> - 2026-05-09 11:31:18
|
Sorry - here’s the name output Linux instance-20260508-170800 6.1.0-45-cloud-amd64 #1 SMP PREEMPT_DYNAMIC Debian 6.1.170-1 (2026-04-30) x86_64 GNU/Linux > On 8 May 2026, at 20:18, Dirk Eddelbuettel <ed...@de...> wrote: > > > On 8 May 2026 at 17:22, Raj S wrote: > | I am logged into a GCM VM as root (sudo su -) and create /home/share folder in it. > | > | I then ran > | > | apt-get install libboost-all-dev > | > | (It all went in successfully. I also ran ldconfig after this for good measure). > | > | Then when I download and unbox QuantLib-1.4.1.tar.gz and then run ./configure > | > | At the end I keep seeing this > | > | checking for Boost development files… > | no configure: error: Boost development files not found > | > | I have checked under /usr/include and under /usr/lib and clearly boost is there (under a sub-dir). > | > | > | This never happened before - but seems to be for release 1.42.1 > | > | Any ideas? > > What OS are you running? You only say that you use apt -- I maintain QuantLib > for Debian (where it builds reliably) and also upload it launchpad to have > Ubuntu versions being built (mostly for my own use on Ubuntu). > > edd@paul:~$ apt-cache policy libquantlib0-dev > libquantlib0-dev: > Installed: 1.42.1-0.2404.0 > Candidate: 1.42.1-0.2404.0 > Version table: > *** 1.42.1-0.2404.0 500 > 500 https://ppa.launchpadcontent.net/edd/misc/ubuntu noble/main amd64 Packages > 100 /var/lib/dpkg/status > 1.39-1 500 > 500 http://archive.ubuntu.com/ubuntu questing/universe amd64 Packages > edd@paul:~$ > > Dirk > > -- > Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com > > Support my Tour de Shore 2026 ride benefiting Maywood Fine Arts! More info at > https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026 |
|
From: Dirk E. <ed...@de...> - 2026-05-08 19:18:58
|
On 8 May 2026 at 17:22, Raj S wrote:
| I am logged into a GCM VM as root (sudo su -) and create /home/share folder in it.
|
| I then ran
|
| apt-get install libboost-all-dev
|
| (It all went in successfully. I also ran ldconfig after this for good measure).
|
| Then when I download and unbox QuantLib-1.4.1.tar.gz and then run ./configure
|
| At the end I keep seeing this
|
| checking for Boost development files…
| no configure: error: Boost development files not found
|
| I have checked under /usr/include and under /usr/lib and clearly boost is there (under a sub-dir).
|
|
| This never happened before - but seems to be for release 1.42.1
|
| Any ideas?
What OS are you running? You only say that you use apt -- I maintain QuantLib
for Debian (where it builds reliably) and also upload it launchpad to have
Ubuntu versions being built (mostly for my own use on Ubuntu).
edd@paul:~$ apt-cache policy libquantlib0-dev
libquantlib0-dev:
Installed: 1.42.1-0.2404.0
Candidate: 1.42.1-0.2404.0
Version table:
*** 1.42.1-0.2404.0 500
500 https://ppa.launchpadcontent.net/edd/misc/ubuntu noble/main amd64 Packages
100 /var/lib/dpkg/status
1.39-1 500
500 http://archive.ubuntu.com/ubuntu questing/universe amd64 Packages
edd@paul:~$
Dirk
--
Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com
Support my Tour de Shore 2026 ride benefiting Maywood Fine Arts! More info at
https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026
|
|
From: Raj S <raj...@ho...> - 2026-05-08 17:22:56
|
I am logged into a GCM VM as root (sudo su -) and create /home/share folder in it. I then ran apt-get install libboost-all-dev (It all went in successfully. I also ran ldconfig after this for good measure). Then when I download and unbox QuantLib-1.4.1.tar.gz and then run ./configure At the end I keep seeing this checking for Boost development files… no configure: error: Boost development files not found I have checked under /usr/include and under /usr/lib and clearly boost is there (under a sub-dir). This never happened before - but seems to be for release 1.42.1 Any ideas? |
|
From: Luigi B. <lui...@gm...> - 2026-04-17 08:38:23
|
QuantLib 1.42.1 is now available for download at < https://www.quantlib.org/download.shtml>; precompiled binaries are also available from PyPI and NuGet for Python and C# respectively. This is a bug-fix release for the recently released QuantLib 1.42, removing a regression in the Gsr class possibly leading to an infinite notification loop. Thanks to Aleksis Ali Raza for the heads-up. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>) or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
|
From: Luigi B. <lui...@gm...> - 2026-04-14 07:48:42
|
QuantLib 1.42 is now available for download at < https://www.quantlib.org/download.shtml>; precompiled binaries are also available from PyPI and NuGet for Python and C# respectively. The list of changes for this release is at < https://github.com/lballabio/QuantLib/releases/tag/v1.42>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>) or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
|
From: Dirk E. <ed...@de...> - 2026-02-27 03:26:18
|
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... |
|
From: Al C. <aca...@al...> - 2026-02-17 17:02:26
|
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
This e-mail is intended only for the person or entity to which it is addressed and may contain information that is privileged, confidential or otherwise protected from disclosure. Dissemination, distribution or copying of this e-mail or the information herein by anyone other than the intended recipient, or an employee or agent responsible for delivering the message to the intended recipient, is prohibited. If you have received this e-mail in error, please notify us immediately (646-205-3213 or in...@Al...) and destroy the original message and all copies.
-----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...
|
|
From: Al C. <aca...@al...> - 2026-02-17 13:59:51
|
They all expire at 4pm new York time My Best -Al Cell # 917-603-8000 www.AlphaAnalitica.com<http://www.conformity360.com/> This e-mail is intended only for the person or entity to which it is addressed and may contain information that is privileged, confidential or otherwise protected from disclosure. Dissemination, distribution or copying of this e-mail or the information herein by anyone other than the intended recipient, or an employee or agent responsible for delivering the message to the intended recipient, is prohibited. If you have received this e-mail in error, please notify us immediately (646-205-3213 or in...@Al...<mailto:in...@Al...>) and destroy the original message and all copies. From: Luigi Ballabio <lui...@gm...> Sent: Tuesday, February 17, 2026 8:48 AM To: Al Cabrini <aca...@al...> Cc: Dirk Eddelbuettel <ed...@de...>; qua...@li... Subject: Re: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing list It looks plausible. Do you have the time information as well? (e.g. the expiry at 16:00) On Tue, Feb 17, 2026 at 12:41 PM Al Cabrini <aca...@al...<mailto:aca...@al...>> wrote: Hi Luigi, I got this (see attached) from someone on the net. Is this correct? My Best -Al Cell # 917-603-8000 www.AlphaAnalitica.com<http://www.conformity360.com/> This e-mail is intended only for the person or entity to which it is addressed and may contain information that is privileged, confidential or otherwise protected from disclosure. Dissemination, distribution or copying of this e-mail or the information herein by anyone other than the intended recipient, or an employee or agent responsible for delivering the message to the intended recipient, is prohibited. If you have received this e-mail in error, please notify us immediately (646-205-3213 or in...@Al...<mailto:in...@Al...>) and destroy the original message and all copies. From: Luigi Ballabio <lui...@gm...<mailto:lui...@gm...>> Sent: Tuesday, February 17, 2026 4:01 AM To: Dirk Eddelbuettel <ed...@de...<mailto:ed...@de...>> Cc: qua...@li...<mailto:qua...@li...> Subject: Re: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing list Hi, here is how I would calculate it: import QuantLib as ql today = ql.Date(13, 2, 2026) ql.Settings.instance().evaluationDate = today option = ql.VanillaOption( ql.PlainVanillaPayoff(ql.Option.Call, 155), ql.AmericanExercise(today, ql.Date(6,3,2026)), ) calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond) day_counter = ql.Actual365Fixed() u = ql.QuoteHandle(ql.SimpleQuote(138.75)) q = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0, day_counter)) r = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0366, day_counter)) vol_s = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today, calendar, 1.112938, day_counter)) p = ql.GeneralizedBlackScholesProcess(u, q, r, vol_s) print(100 * option.impliedVolatility(9.475, p)) This prints 115.899, not quite the same as Bloomberg's 116.124 but a lot closer than your 141. As Dirk says, you might have some problem in the way you're calling the library. (Also, changing day_counter to Act/360 prints 115.092, and changing it to Business252(calendar) prints 117.971, so it's worth trying to figure out from the BBG docs—if you have any—which one is correct.) Hope this helps, Luigi On Tue, Feb 17, 2026 at 1:05 AM Dirk Eddelbuettel <ed...@de...<mailto:ed...@de...>> wrote: 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<http://dirk.eddelbuettel.com> | @eddelbuettel | ed...@de...<mailto:ed...@de...> _______________________________________________ QuantLib-dev mailing list Qua...@li...<mailto:Qua...@li...> https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
From: Luigi B. <lui...@gm...> - 2026-02-17 13:48:45
|
It looks plausible. Do you have the time information as well? (e.g. the expiry at 16:00) On Tue, Feb 17, 2026 at 12:41 PM Al Cabrini <aca...@al...> wrote: > Hi Luigi, > > > > I got this (see attached) from someone on the net. > > > > Is this correct? > > > > > > My Best > > -Al > > Cell # 917-603-8000 > > www.AlphaAnalitica.com <http://www.conformity360.com/> > > > > This e-mail is intended only for the person or entity to which it is > addressed and may contain information that is privileged, confidential or > otherwise protected from disclosure. Dissemination, distribution or copying > of this e-mail or the information herein by anyone other than the intended > recipient, or an employee or agent responsible for delivering the message > to the intended recipient, is prohibited. If you have received this e-mail > in error, please notify us immediately (646-205-3213 or > in...@Al...) and destroy the original message and all copies. > > > > > > *From:* Luigi Ballabio <lui...@gm...> > *Sent:* Tuesday, February 17, 2026 4:01 AM > *To:* Dirk Eddelbuettel <ed...@de...> > *Cc:* qua...@li... > *Subject:* Re: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing > list > > > > Hi, here is how I would calculate it: > > > > import QuantLib as ql > > today = ql.Date(13, 2, 2026) > ql.Settings.instance().evaluationDate = today > > option = ql.VanillaOption( > ql.PlainVanillaPayoff(ql.Option.Call, 155), > ql.AmericanExercise(today, ql.Date(6,3,2026)), > ) > > calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond) > day_counter = ql.Actual365Fixed() > > u = ql.QuoteHandle(ql.SimpleQuote(138.75)) > q = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0, day_counter)) > r = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0366, day_counter)) > vol_s = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today, > calendar, 1.112938, day_counter)) > > p = ql.GeneralizedBlackScholesProcess(u, q, r, vol_s) > > print(100 * option.impliedVolatility(9.475, p)) > > > > This prints 115.899, not quite the same as Bloomberg's 116.124 but a lot > closer than your 141. As Dirk says, you might have some problem in the way > you're calling the library. > > > > (Also, changing day_counter to Act/360 prints 115.092, and changing it to > Business252(calendar) prints 117.971, so it's worth trying to figure out > from the BBG docs—if you have any—which one is correct.) > > > > Hope this helps, > > Luigi > > > > > > > > > > On Tue, Feb 17, 2026 at 1:05 AM Dirk Eddelbuettel <ed...@de...> wrote: > > > 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... > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > |
|
From: Al C. <aca...@al...> - 2026-02-17 11:41:51
|
Hi Luigi, I got this (see attached) from someone on the net. Is this correct? My Best -Al Cell # 917-603-8000 www.AlphaAnalitica.com<http://www.conformity360.com/> This e-mail is intended only for the person or entity to which it is addressed and may contain information that is privileged, confidential or otherwise protected from disclosure. Dissemination, distribution or copying of this e-mail or the information herein by anyone other than the intended recipient, or an employee or agent responsible for delivering the message to the intended recipient, is prohibited. If you have received this e-mail in error, please notify us immediately (646-205-3213 or in...@Al...<mailto:in...@Al...>) and destroy the original message and all copies. From: Luigi Ballabio <lui...@gm...> Sent: Tuesday, February 17, 2026 4:01 AM To: Dirk Eddelbuettel <ed...@de...> Cc: qua...@li... Subject: Re: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing list Hi, here is how I would calculate it: import QuantLib as ql today = ql.Date(13, 2, 2026) ql.Settings.instance().evaluationDate = today option = ql.VanillaOption( ql.PlainVanillaPayoff(ql.Option.Call, 155), ql.AmericanExercise(today, ql.Date(6,3,2026)), ) calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond) day_counter = ql.Actual365Fixed() u = ql.QuoteHandle(ql.SimpleQuote(138.75)) q = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0, day_counter)) r = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0366, day_counter)) vol_s = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today, calendar, 1.112938, day_counter)) p = ql.GeneralizedBlackScholesProcess(u, q, r, vol_s) print(100 * option.impliedVolatility(9.475, p)) This prints 115.899, not quite the same as Bloomberg's 116.124 but a lot closer than your 141. As Dirk says, you might have some problem in the way you're calling the library. (Also, changing day_counter to Act/360 prints 115.092, and changing it to Business252(calendar) prints 117.971, so it's worth trying to figure out from the BBG docs—if you have any—which one is correct.) Hope this helps, Luigi On Tue, Feb 17, 2026 at 1:05 AM Dirk Eddelbuettel <ed...@de...<mailto:ed...@de...>> wrote: 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<http://dirk.eddelbuettel.com> | @eddelbuettel | ed...@de...<mailto:ed...@de...> _______________________________________________ QuantLib-dev mailing list Qua...@li...<mailto:Qua...@li...> https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
From: Luigi B. <lui...@gm...> - 2026-02-17 09:00:54
|
Hi, here is how I would calculate it:
import QuantLib as ql
today = ql.Date(13, 2, 2026)
ql.Settings.instance().evaluationDate = today
option = ql.VanillaOption(
ql.PlainVanillaPayoff(ql.Option.Call, 155),
ql.AmericanExercise(today, ql.Date(6,3,2026)),
)
calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
day_counter = ql.Actual365Fixed()
u = ql.QuoteHandle(ql.SimpleQuote(138.75))
q = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0, day_counter))
r = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0366, day_counter))
vol_s = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today, calendar,
1.112938, day_counter))
p = ql.GeneralizedBlackScholesProcess(u, q, r, vol_s)
print(100 * option.impliedVolatility(9.475, p))
This prints 115.899, not quite the same as Bloomberg's 116.124 but a lot
closer than your 141. As Dirk says, you might have some problem in the way
you're calling the library.
(Also, changing day_counter to Act/360 prints 115.092, and changing it to
Business252(calendar) prints 117.971, so it's worth trying to figure out
from the BBG docs—if you have any—which one is correct.)
Hope this helps,
Luigi
On Tue, Feb 17, 2026 at 1:05 AM Dirk Eddelbuettel <ed...@de...> wrote:
>
> 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...
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
|
|
From: Dirk E. <ed...@de...> - 2026-02-17 00:04:36
|
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... |
|
From: Dirk E. <ed...@de...> - 2026-02-16 22:12:10
|
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. Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
|
From: Al C. <aca...@al...> - 2026-02-16 22:02:22
|
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 My Best -Al Cell # 917-603-8000 www.AlphaAnalitica.com This e-mail is intended only for the person or entity to which it is addressed and may contain information that is privileged, confidential or otherwise protected from disclosure. Dissemination, distribution or copying of this e-mail or the information herein by anyone other than the intended recipient, or an employee or agent responsible for delivering the message to the intended recipient, is prohibited. If you have received this e-mail in error, please notify us immediately (646-205-3213 or in...@Al...) and destroy the original message and all copies. -----Original Message----- From: Dirk Eddelbuettel <ed...@de...> Sent: Monday, February 16, 2026 4:27 PM To: Al Cabrini <aca...@al...> Cc: qua...@li... Subject: Re: [Quantlib-dev] FW: Welcome to the "QuantLib-dev" mailing list On 16 February 2026 at 19:40, Al Cabrini via QuantLib-dev wrote: | I am using QuantLib and a few my calculations using QuantLib doesn't match with what Bloomberg has. | For example, Delta or implied Vol not matching | | Where can I post my questions? It would appear you already cross-posted on Quant StatExchange it seems but in neither post did you provide a _minimally complete verifiable example_. Please do so. Post spot, strike, rate, yield, time to expiry etc to allow us to reproduce and then give you comments. Otherwise you can also take an existing QuantLib example (from the docs, or the unit tests) and see about valuating it at a Bbg terminal (if you have access to one). Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
|
From: Dirk E. <ed...@de...> - 2026-02-16 22:00:41
|
On 16 February 2026 at 19:40, Al Cabrini via QuantLib-dev wrote: | I am using QuantLib and a few my calculations using QuantLib doesn't match with what Bloomberg has. | For example, Delta or implied Vol not matching | | Where can I post my questions? It would appear you already cross-posted on Quant StatExchange it seems but in neither post did you provide a _minimally complete verifiable example_. Please do so. Post spot, strike, rate, yield, time to expiry etc to allow us to reproduce and then give you comments. Otherwise you can also take an existing QuantLib example (from the docs, or the unit tests) and see about valuating it at a Bbg terminal (if you have access to one). Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
|
From: Luigi B. <lui...@gm...> - 2026-02-16 21:36:44
|
Hello Al — either here or quantlib-users are ok. quantlib-users might have a bit more people on it. Luigi On Mon, Feb 16, 2026 at 8:59 PM Al Cabrini via QuantLib-dev < qua...@li...> wrote: > Hi, > > I am using QuantLib and a few my calculations using QuantLib doesn't match > with what Bloomberg has. > For example, Delta or implied Vol not matching > > Where can I post my questions? > > > My Best > -Al > Cell # 917-603-8000 > www.AlphaAnalitica.com > > This e-mail is intended only for the person or entity to which it is > addressed and may contain information that is privileged, confidential or > otherwise protected from disclosure. Dissemination, distribution or copying > of this e-mail or the information herein by anyone other than the intended > recipient, or an employee or agent responsible for delivering the message > to the intended recipient, is prohibited. If you have received this e-mail > in error, please notify us immediately (646-205-3213 or > in...@Al...) and destroy the original message and all copies. > > > -----Original Message----- > From: qua...@li... < > qua...@li...> > Sent: Monday, February 16, 2026 2:38 PM > To: Al Cabrini <aca...@al...> > Subject: Welcome to the "QuantLib-dev" mailing list > > Welcome to the Qua...@li... mailing list! > Mailing list for QuantLib developers. > > It's assumed that if you're a QuantLib developer you're also subscribed to > <a href="http://lists.sourceforge.net/mailman/listinfo/quantlib-users">quantlib-users</a>. > > So far quantlib-dev is a low volume mailing list. > > To post to this list, send your message to: > > qua...@li... > > General information about the mailing list is at: > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > If you ever want to unsubscribe or change your options (eg, switch to or > from digest mode, change your password, etc.), visit your subscription page > at: > > > https://lists.sourceforge.net/lists/options/quantlib-dev/acabrini%40alphaanalitica.com > > > You can also make such adjustments via email by sending a message to: > > Qua...@li... > > with the word `help' in the subject or body (don't include the quotes), > and you will get back a message with instructions. > > You must know your password to change your options (including changing the > password, itself) or to unsubscribe without confirmation. It is: > > erowzaik > > Normally, Mailman will remind you of your lists.sourceforge.net mailing > list passwords once every month, although you can disable this if you > prefer. This reminder will also include instructions on how to unsubscribe > or change your account options. There is also a button on your options > page that will email your current password to you. > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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From: Al C. <aca...@al...> - 2026-02-16 19:53:46
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Hi, I am using QuantLib and a few my calculations using QuantLib doesn't match with what Bloomberg has. For example, Delta or implied Vol not matching Where can I post my questions? My Best -Al Cell # 917-603-8000 www.AlphaAnalitica.com This e-mail is intended only for the person or entity to which it is addressed and may contain information that is privileged, confidential or otherwise protected from disclosure. Dissemination, distribution or copying of this e-mail or the information herein by anyone other than the intended recipient, or an employee or agent responsible for delivering the message to the intended recipient, is prohibited. If you have received this e-mail in error, please notify us immediately (646-205-3213 or in...@Al...) and destroy the original message and all copies. -----Original Message----- From: qua...@li... <qua...@li...> Sent: Monday, February 16, 2026 2:38 PM To: Al Cabrini <aca...@al...> Subject: Welcome to the "QuantLib-dev" mailing list Welcome to the Qua...@li... mailing list! Mailing list for QuantLib developers. It's assumed that if you're a QuantLib developer you're also subscribed to <a href="http://lists.sourceforge.net/mailman/listinfo/quantlib-users">quantlib-users</a>. So far quantlib-dev is a low volume mailing list. To post to this list, send your message to: qua...@li... General information about the mailing list is at: https://lists.sourceforge.net/lists/listinfo/quantlib-dev If you ever want to unsubscribe or change your options (eg, switch to or from digest mode, change your password, etc.), visit your subscription page at: https://lists.sourceforge.net/lists/options/quantlib-dev/acabrini%40alphaanalitica.com You can also make such adjustments via email by sending a message to: Qua...@li... with the word `help' in the subject or body (don't include the quotes), and you will get back a message with instructions. You must know your password to change your options (including changing the password, itself) or to unsubscribe without confirmation. It is: erowzaik Normally, Mailman will remind you of your lists.sourceforge.net mailing list passwords once every month, although you can disable this if you prefer. This reminder will also include instructions on how to unsubscribe or change your account options. There is also a button on your options page that will email your current password to you. |
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From: Luigi B. <lui...@gm...> - 2026-01-13 08:37:19
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QuantLib 1.41 is available for download at < https://www.quantlib.org/download.shtml>; precompiled binaries are also available from PyPI and NuGet for Python and C# respectively. The list of changes for this release is at < https://github.com/lballabio/QuantLib/releases/tag/v1.41>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>) or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
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From: Luigi B. <lui...@gm...> - 2025-10-14 07:11:44
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QuantLib 1.40 is available for download at < https://www.quantlib.org/download.shtml>; precompiled binaries are also available from PyPI and NuGet for Python and C# respectively. The list of changes for this release is at < https://github.com/lballabio/QuantLib/releases/tag/v1.40>. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>) or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
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From: Luigi B. <lui...@gm...> - 2025-07-23 10:25:18
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QuantLib 1.39 is available for download at < https://www.quantlib.org/download.shtml>; precompiled binaries are also available from PyPI and NuGet for Python and C# respectively. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. Note that a few recent versions of the Visual C++ 2022 compiler (from 17.14.2 to 17.14.8) had a known bug that, unfortunately, affected QuantLib heavily and made it basically unusable. A fix was released in version 17.14.9; if you’re compiling QuantLib on Windows, make sure you're using at least that version (or, if you can't upgrade, use the Visual C++ 2019 toolset; you can do that from VC++ 2022, as well). Due to this, Python wheels for Windows are not yet available; they will be shortly, when GitHub action runners upgrade to the latest VC++ version. If you have any problems with this release, please report them here on the QuantLib mailing list (<qua...@li...>) or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
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