quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Bugs-507850 ] QuantlibPython IV func crashes python

[<no...@so...>]

Bugs item #507850, was opened at 2002-01-23 22:19
You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=507850&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantlibPython IV func crashes python 

Initial Comment:

When the impl vol call is made with a value less
than or equal to parity (which is often the case for 
bids in the marketplace), The Quantlibc.so library
crashes which crashes my python process as well.

This should have some boundary checking and return
0 or -1 if it is outside the boundaries.




----------------------------------------------------------------------

>Comment By: Ferdinando Ametrano (nando)
Date: 2002-01-26 02:35

Message:
Logged In: YES 
user_id=34616

Hi

> >>> opt.impliedVolatility(12, 1e-6, 100)
> Traceback (most recent call last):
>   File "<pyshell#16>", line 1, in ?
>     opt.impliedVolatility(12, 1e-6, 100)
> Exception: root not bracketed: f[0.000100,4.000000] -> [-
> 1.01915488254814870000,-0.72995742951797027000]
>
> I have no idea what the heck the "root not bracketed" 
means 
> though.
It means that the volatility range of 0.01%-400% could not 
bracket the
requested value of 12 (the message is not clear: I agree)

as you can see up to 400% volatility the option value is 
less than 12
>>> import QuantLib
>>> QuantLib.EuropeanOption('Put', 4.0, 15.0, 0.0, 0.0212, 
0.06, 1.6).value()
10.981222948151906
>>> QuantLib.EuropeanOption('Put', 4.0, 15.0, 0.0, 0.0212, 
0.06, 4.0).value()
11.267654249472969

> This should have some boundary checking and return 
> 0 or -1 if it is outside the boundaries. 
It throws a python exception instead

The crash under Red Hat 6.2 is the real problem here.
We have fixed few bugs that could have solved this problem.
Would you mind trying the last CVS snapshot (also 
downloadable from http://www.quantlib.org/snapshot.html) 
and report to us?

thank you very much

ciao - Nando

PS What about the QuantLib-Python test suite? Does it run 
with no problems?

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2002-01-25 21:33

Message:
Logged In: NO 

I see it on RHat 6.2 but not on Win 98

RHat 6.2:
Python 2.1.1 (#1, Nov 14 2001, 20:43:53)
[GCC egcs-2.91.66 19990314/Linux (egcs-1.1.2 release)] on 
linux2
Type "copyright", "credits" or "license" for more 
information.
>>> import QuantLib
>>> opt = QuantLib.EuropeanOption('Put', 4.0, 15, 
0.0 ,0.0212, 0.0602739726027,
1.6)
>>> opt.impliedVolatility(12, 1e-6, 100)
Segmentation fault                  

Yet Win 98 has
>>> opt = QuantLib.EuropeanOption('Put', 4.0, 15, 
0.0 ,0.0212, 0.0602739726027, 1.6)
>>> opt.impliedVolatility(12, 1e-6, 100)
Traceback (most recent call last):
  File "<pyshell#16>", line 1, in ?
    opt.impliedVolatility(12, 1e-6, 100)
Exception: root not bracketed: f[0.000100,4.000000] -> [-
1.01915488254814870000,-0.72995742951797027000]


I have no idea what the heck the "root not bracketed" means 
though.

----------------------------------------------------------------------

You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=507850&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-507850 ] QuantlibPython IV func crashes python

[<no...@so...>]

Bugs item #507850, was opened at 2002-01-23 22:19
You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=507850&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantlibPython IV func crashes python 

Initial Comment:

When the impl vol call is made with a value less
than or equal to parity (which is often the case for 
bids in the marketplace), The Quantlibc.so library
crashes which crashes my python process as well.

This should have some boundary checking and return
0 or -1 if it is outside the boundaries.




----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2002-01-25 21:33

Message:
Logged In: NO 

I see it on RHat 6.2 but not on Win 98

RHat 6.2:
Python 2.1.1 (#1, Nov 14 2001, 20:43:53)
[GCC egcs-2.91.66 19990314/Linux (egcs-1.1.2 release)] on 
linux2
Type "copyright", "credits" or "license" for more 
information.
>>> import QuantLib
>>> opt = QuantLib.EuropeanOption('Put', 4.0, 15, 
0.0 ,0.0212, 0.0602739726027,
1.6)
>>> opt.impliedVolatility(12, 1e-6, 100)
Segmentation fault                  

Yet Win 98 has
>>> opt = QuantLib.EuropeanOption('Put', 4.0, 15, 
0.0 ,0.0212, 0.0602739726027, 1.6)
>>> opt.impliedVolatility(12, 1e-6, 100)
Traceback (most recent call last):
  File "<pyshell#16>", line 1, in ?
    opt.impliedVolatility(12, 1e-6, 100)
Exception: root not bracketed: f[0.000100,4.000000] -> [-
1.01915488254814870000,-0.72995742951797027000]


I have no idea what the heck the "root not bracketed" means 
though.

----------------------------------------------------------------------

You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=507850&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-507850 ] QuantlibPython IV func crashes python

[<no...@so...>]

Bugs item #507850, was opened at 2002-01-23 22:19
You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=507850&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantlibPython IV func crashes python 

Initial Comment:

When the impl vol call is made with a value less
than or equal to parity (which is often the case for 
bids in the marketplace), The Quantlibc.so library
crashes which crashes my python process as well.

This should have some boundary checking and return
0 or -1 if it is outside the boundaries.




----------------------------------------------------------------------

You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=507850&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-490527 ] Crash on impliedVolatility call.

[<no...@so...>]

Bugs item #490527, was opened at 2001-12-07 22:16
You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=490527&group_id=12740

Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Submitted By: Liam Herron (leedog)
Assigned to: Nobody/Anonymous (nobody)
Summary: Crash on impliedVolatility call.

Initial Comment:
In Python:

Python 2.1 (#2, Jun 22 2001, 10:20:42)
[GCC 2.7.2.3] on linux2
Type "copyright", "credits" or "license" for more
information.
>>> import QuantLib
>>> opt = QuantLib.EuropeanOption('Call', 44.0, 17.5,
0.0, 0.022, 0.041095890411, 0.89)
>>> opt.value()
26.515814767589454
>>> x = opt.impliedVolatility(28.7, 1e-4, 50)
[liam@optrader RiskManagementSystem]#

It seg faults at this point as well as 
x = opt.impliedVolatility(26, 1e-4, 50)

But it seems to work for:
x = opt.impliedVolatility(opt.value(), 1e-4, 50)
0.89000002

This is a listed ADI 17.5 Dec Call that I am trying to
price.

Any ideas?


----------------------------------------------------------------------

Comment By: Ferdinando Ametrano (nando)
Date: 2001-12-19 08:43

Message:
Logged In: YES 
user_id=34616

Hi Liam

thank you for your report.
I'm sorry for being so late in replying, but because of wrong settings I had no notification of your bug report.

1) a 400% (4.0) volatility would give a 27.87 option value, so to achieve a value of 28.7 one should use a volatility 
greater than 400%: this is currently forbidden in QuantLib. Such a limit might be a bad choice: I will look into it

2) an European call with no dividend has the same value of the equivalent American option, that is its value has to 
be greater of the intrinsic value (44.0-17.5=26.5). So there is no volatility that will give that option a value of 26.

This said I had no crash on my machine (Win32 NT, python 2.1, QuantLib 0.3.0a3), just exceptions:
>>> x= opt.impliedVolatility(26, 1e-4, 50)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
Exception: root not bracketed: f[0.0001000000,4.0000000000] -> 
[0.51581476758945399000,1.87072669689047540000]
>>> x = opt.impliedVolatility(28.7, 1e-4, 50)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
Exception: root not bracketed: f[0.0001000000,4.0000000000] -> 
[-2.18418523241054530000,-0.82927330310952385000]

I agree these messages are not easy to understand, but they just say that those 2 option values are not possible 
in the [0.01%,400.0%] volatility range. 

The real problem here if the segmentation fault you write about: to investigate this I need to know your Linux 
distribution, configuration, QuantLib version, etc

ciao -- Nando

----------------------------------------------------------------------

You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=490527&group_id=12740

[Quantlib-dev] [ quantlib-Patches-502906 ] std::abs in Swap example

[<no...@so...>]

Patches item #502906, was opened at 2002-01-12 20:00
You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=312740&aid=502906&group_id=12740

Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Submitted By: edward (tailbert)
Assigned to: Nobody/Anonymous (nobody)
Summary: std::abs in Swap example

Initial Comment:
use `std::abs' explicitly. a number of systems have
abs() predefined (in my case, as abs(int)), in the swap
valuation example under Examples/Swap

patch attached as unified diff from the root directory
on a *unix* system (no carriage returns).

ps. is there a patch generation document?

if not, how about:

cd /path/to/QuantLib
diff -u dir/to/original-file dir/to/corrected-file > patch

great work, people!

edward


----------------------------------------------------------------------

>Comment By: Ferdinando Ametrano (nando)
Date: 2002-01-23 10:08

Message:
Logged In: YES 
user_id=34616

Thank you Edward

we were using QL_FABS everywhere except the swap example.
Thank you for pointing this out

ciao -- Nando

----------------------------------------------------------------------

You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=312740&aid=502906&group_id=12740

[Quantlib-dev] [ quantlib-Patches-502906 ] std::abs in Swap example

[<no...@so...>]

Patches item #502906, was opened at 2002-01-12 20:00
You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=312740&aid=502906&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: edward (tailbert)
Assigned to: Nobody/Anonymous (nobody)
Summary: std::abs in Swap example

Initial Comment:
use `std::abs' explicitly. a number of systems have
abs() predefined (in my case, as abs(int)), in the swap
valuation example under Examples/Swap

patch attached as unified diff from the root directory
on a *unix* system (no carriage returns).

ps. is there a patch generation document?

if not, how about:

cd /path/to/QuantLib
diff -u dir/to/original-file dir/to/corrected-file > patch

great work, people!

edward


----------------------------------------------------------------------

You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=312740&aid=502906&group_id=12740

Re: [Quantlib-dev] Re: QuantLib-Python works on alpha debian

[Ferdinando A. <fer...@am...>]

>I guess I should grab a
>tarball out of CVS...   Is that against stock QL or do I need a new QL too
I don't know exactly what a stock QL is, anyway you will need a new QL too.
Besides the exp bug, Luigi told me about 1 SWIG interface bug and 1 QL bug.

FYI today or tomorrow I will update the nightly build on quantlib.org, so 
you might take the tarball from the site if you prefer

ciao -- Nando

[Quantlib-dev] Re: QuantLib-Python works on alpha debian

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

On Thu, Jan 10, 2002 at 12:09:24PM +0000, Luigi Ballabio wrote:
> 
> >On Tue, Jan 08, 2002 at 04:36:28PM +0100, Ferdinando Ametrano wrote:
> >> Another key issue would be to solve the problems we have on some 
> >platforms,
> >> as Dirk pointed out. I know Luigi is working on that: Luigi please report
> 
> Ok, I just committed some changes which make QuantLib-Python compile and 
> pass all tests on alpha. I hope this will fix the problems on other

Excellent news, and thank you!

> platforms as well.

Probably/hopefully. I guess it is worth trying. I guess I should grab a
tarball out of CVS...   Is that against stock QL or do I need a new QL too

> Dirk: while a couple of bugs were ours only, one seems to be related with 
> some C or C++ library. If you have any idea of who's the maintainer of the 
> corresponding package, you might want to get in touch with him and report.
> The bug can be reproduced on flatline.tdyc.com as follows:
> 
> ballabio@flatline:~$ python
> Python 2.1.1+ (#1, Jan  9 2002, 03:47:01)
> [GCC 2.95.4  (Debian prerelease)] on linux2
> Type "copyright", "credits" or "license" for more information.
> >>> import math
> >>> math.exp(-700)
> 9.8596765437597708e-305
> >>> math.exp(-750)
> 0.0
> >>> math.exp(-720)
> Floating point exception
> ballabio@flatline:~$
> 
> i.e., there is a range of numbers around -720 which causes exp() to abort.
> Also, the same was happening in a calculation inside libQuantLib, so that 
> the problem might be not in Python but rather in some math C or C++ library 
> which both QuantLib and Python link to.

I'm suspect that this leads down to glibc where code like exp() ultimately
resides.

I think we should report this to debian-alpha and/or debian-python. What do
you think?

> I fixed the problem in our code by filtering the call to exp() and just 
> returning 0 if the exponent is below -700 or so, but it might be advisable 
> to report the thing if you have any idea who to report to.

Hack alert :)

Dirk


-- 
Good judgment comes from experience; experience comes from bad judgment. 
							    -- F. Brooks

[Quantlib-dev] Yet another QuEP

[Luigi B. <bal...@ma...>]

Hi all,
	QuEP 9 is available at http://quantlib.org/quep.html and open for feedback.

Bye,
	Luigi

[Quantlib-dev] QuantLib-Python works on alpha debian

[Luigi B. <bal...@ma...>]

>On Tue, Jan 08, 2002 at 04:36:28PM +0100, Ferdinando Ametrano wrote:
> > Another key issue would be to solve the problems we have on some 
> platforms,
> > as Dirk pointed out. I know Luigi is working on that: Luigi please report

Ok, I just committed some changes which make QuantLib-Python compile and 
pass all tests on alpha. I hope this will fix the problems on other 
platforms as well.

Dirk: while a couple of bugs were ours only, one seems to be related with 
some C or C++ library. If you have any idea of who's the maintainer of the 
corresponding package, you might want to get in touch with him and report.
The bug can be reproduced on flatline.tdyc.com as follows:

ballabio@flatline:~$ python
Python 2.1.1+ (#1, Jan  9 2002, 03:47:01)
[GCC 2.95.4  (Debian prerelease)] on linux2
Type "copyright", "credits" or "license" for more information.
 >>> import math
 >>> math.exp(-700)
9.8596765437597708e-305
 >>> math.exp(-750)
0.0
 >>> math.exp(-720)
Floating point exception
ballabio@flatline:~$

i.e., there is a range of numbers around -720 which causes exp() to abort.
Also, the same was happening in a calculation inside libQuantLib, so that 
the problem might be not in Python but rather in some math C or C++ library 
which both QuantLib and Python link to.

I fixed the problem in our code by filtering the call to exp() and just 
returning 0 if the exponent is below -700 or so, but it might be advisable 
to report the thing if you have any idea who to report to.

Bye for now,
                 Luigi

Re: [Quantlib-dev] interest rate models and next release

[Luigi B. <bal...@ma...>]

On Tue, Jan 08, 2002 at 04:36:28PM +0100, Ferdinando Ametrano wrote:
> > Another key issue would be to solve the problems we have on some 
> platforms,
> > as Dirk pointed out. I know Luigi is working on that: Luigi please report

Ok, here are good news and bad news.
The good news: I compiled the current sources on alpha and fixed the 
BinaryOption problem that Dirk reported.
The bad news: with binary options working, QuantLib-Python runs a few more 
tests and I found another couple of problems.
I'll be looking into this. Tomorrow, maybe.

Later,
         Luigi

Re: [Quantlib-dev] interest rate models and next release

[Sadruddin R. <sad...@ri...>]

On 08 Jan 2002 at 16:36, Ferdinando Ametrano wrote:
> What I think is really important is the interest rate model framework.
> While I haven't taken a look at Sad's latest commit yet I see that CIR+, 
> BK, and HW are there, plus a g2 2factors model.
> To have BDT and HL too would be nice, but it is not really important.
> What is badly needed is documentation, namely the InterestRateModelling 
> namespace documentation. Sad, do you think you can produce this in time?

No problem, the documentation should be ready by then. The g2 two factor model
isn't really usable right now, but since there are analytical formulas for 
discount bond options, we could calibrate it to caps. Well... I tried and
it crashed, but I think this is because we must use a constrained optimizer
(which is not implemented yet), especially for the correlation parameter 
(that should lie between -1.0 and 1.0). 
BDT and HL are actually already implemented, so I should upload them to the CVS 
in the near future.

Later,


-- 
Sad (sad dot rejeb at riskmap dot it)

Re: [Quantlib-dev] interest rate models and next release

[Ferdinando A. <fer...@am...>]

>quantlib itself is doing ok, [...] quantlib-python is in fairly bad shape;
you're too nice with QuantLib ... I'm pretty sure 99% of the 
quantlib-python problems are quantlib problems ...


ciao -- Nando

Re: [Quantlib-dev] interest rate models and next release

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

On Tue, Jan 08, 2002 at 04:36:28PM +0100, Ferdinando Ametrano wrote:
> Another key issue would be to solve the problems we have on some platforms, 
> as Dirk pointed out. I know Luigi is working on that: Luigi please report 

quantlib itself is doing ok, it only fails on m68k which is a platform which
will eventually disappear [ there is sentimental value in it as it is the
first Debian (Linux ?) port ]

quantlib-python is in fairly bad shape; it fails on Alpha (Liuigi is looking
into that) but also on arm, ia64, hppa, mips, mipsel. Ie it only works on
i386, powerpc, s390, sparc. quantlib-ruby is somewhere in between. See
http://buildd.debian.org and follow to "build log database".


Dirk

-- 
Good judgment comes from experience; experience comes from bad judgment. 
							    -- F. Brooks

[Quantlib-dev] interest rate models and next release

[Ferdinando A. <fer...@am...>]

Hi all

I would like to make the new 0.3.0 release by the end of january.

There are few things that I would try to finish in time for this release: 
implementation of QuEP 5, finite difference refactoring, etc, but these 
won't be release-stopper.

What I think is really important is the interest rate model framework.
While I haven't taken a look at Sad's latest commit yet I see that CIR+, 
BK, and HW are there, plus a g2 2factors model.
To have BDT and HL too would be nice, but it is not really important.
What is badly needed is documentation, namely the InterestRateModelling 
namespace documentation. Sad, do you think you can produce this in time?

I would also like Python bindings for IR models and derivative products 
(cap/floor/swaption), and I volunteer here.

Another key issue would be to solve the problems we have on some platforms, 
as Dirk pointed out. I know Luigi is working on that: Luigi please report 
here your final results.
BTW Luigi told me that next release could be available also on Mac OS9 with 
CodeWarrior.


Do you think I'm missing something? FYI here's the link to the last updated 
TODO file:
http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib/TODO.txt?rev=HEAD&only_with_tag=HEAD&content-type=text/vnd.viewcvs-markup

ciao -- Nando

[Quantlib-dev] new QuantLib license

[Ferdinando A. <fer...@am...>]

Hi all

don't hold your breath: no real change here.

I submitted QuantLib License 1.0 (http://quantlib.org/license.html) for OSD 
branding and FSF certified GPL compatibility.
I already obtained the latter from rms.

I'm going to clear any potential issue with license and copyright before I 
leave RiskMap for a new job that will start next February 1st.
RiskMap is committed to continue support QuantLib: hey, Luigi, Marco, and 
Enrico will stay at RiskMap!
As far as I'm concerned my new job should allow me to dedicate a 
significant part of my time to QuantLib.

The QuantLib copyright holder is known as the QuantLib Group. A more 
specific per-file copyright will be specified in each file. This means that 
the majority of files will be 'copyright RiskMap srl', with all Sad's files 
being 'copyright Sadruddin Rejeb' and Nicolas' files 'copyright Nicolas Di 
Cesare'.

I will avoid to request copyright assignments from developers. Given the 
QuantLib license to actually own the copyright doesn't give any special 
privileges, that is as long as the developer contributes the code under the 
QuantLib License.

Nicolas: if you are employed to do programming, or have made an agreement 
with your
employer that says it owns programs you write, we need a signed piece of
paper from your employer disclaiming rights to the program.  It should be
signed by a vice president or general manager of the company.  If you
can't get at them, it is almost as good to find someone who signs licenses
for software that is purchased.  Here is a sample wording:

   Digital Stimulation Corporation hereby disclaims all copyright interest
   in the program "blackscholes.cppp" (a program for quantitative finance) 
written by Hugh Heffner.

   <signature of Ty Coon>, 1 April 1987
   Ty Coon, President of Vice, Digital Stimulation Corp.

The description of what the program does is just to make it clearer
what the disclaimer covers.

Sad: the above disclaimer should not apply to your RiskMap involvement

any feedback is welcome

ciao -- Nando

[Quantlib-dev] QuEP 8

[Luigi B. <bal...@ma...>]

Greetings,
	in a sudden frenzy of activity, QuEP 8 was made available at

http://quantlib.org/quep.html

(although I have to admit that right now I would rather connect to 
www.apple.com to see whether those flat-panel iMac rumors were true.
But then again, you can read the QuEP afterwards.)

Bye for now,
		Luigi

[Quantlib-dev] New year, new QuEP

[Luigi B. <bal...@ma...>]

Hi all,

QuEP 7 is available at http://quantlib.org/quep.html

Enjoy,
	Luigi

[Quantlib-dev] bug report

[Ferdinando A. <fer...@am...>]

Hi all

There was a bug report on SourceForge: 
http://sourceforge.net/tracker/index.php?func=detail&aid=490527&group_id=12740&atid=112740

Because of wrong settings it was not notified to the quantlib-dev mailing list.
I fixed the settings and wrote a first reply that hopefully will show up in 
quantlib-dev

ciao -- Nando

[Quantlib-dev] [ quantlib-Bugs-490527 ] Crash on impliedVolatility call.

[<no...@so...>]

Bugs item #490527, was opened at 2001-12-07 22:16
You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=490527&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Liam Herron (leedog)
Assigned to: Nobody/Anonymous (nobody)
Summary: Crash on impliedVolatility call.

Initial Comment:
In Python:

Python 2.1 (#2, Jun 22 2001, 10:20:42)
[GCC 2.7.2.3] on linux2
Type "copyright", "credits" or "license" for more
information.
>>> import QuantLib
>>> opt = QuantLib.EuropeanOption('Call', 44.0, 17.5,
0.0, 0.022, 0.041095890411, 0.89)
>>> opt.value()
26.515814767589454
>>> x = opt.impliedVolatility(28.7, 1e-4, 50)
[liam@optrader RiskManagementSystem]#

It seg faults at this point as well as 
x = opt.impliedVolatility(26, 1e-4, 50)

But it seems to work for:
x = opt.impliedVolatility(opt.value(), 1e-4, 50)
0.89000002

This is a listed ADI 17.5 Dec Call that I am trying to
price.

Any ideas?


----------------------------------------------------------------------

>Comment By: Ferdinando Ametrano (nando)
Date: 2001-12-19 08:43

Message:
Logged In: YES 
user_id=34616

Hi Liam

thank you for your report.
I'm sorry for being so late in replying, but because of wrong settings I had no notification of your bug report.

1) a 400% (4.0) volatility would give a 27.87 option value, so to achieve a value of 28.7 one should use a volatility 
greater than 400%: this is currently forbidden in QuantLib. Such a limit might be a bad choice: I will look into it

2) an European call with no dividend has the same value of the equivalent American option, that is its value has to 
be greater of the intrinsic value (44.0-17.5=26.5). So there is no volatility that will give that option a value of 26.

This said I had no crash on my machine (Win32 NT, python 2.1, QuantLib 0.3.0a3), just exceptions:
>>> x= opt.impliedVolatility(26, 1e-4, 50)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
Exception: root not bracketed: f[0.0001000000,4.0000000000] -> 
[0.51581476758945399000,1.87072669689047540000]
>>> x = opt.impliedVolatility(28.7, 1e-4, 50)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
Exception: root not bracketed: f[0.0001000000,4.0000000000] -> 
[-2.18418523241054530000,-0.82927330310952385000]

I agree these messages are not easy to understand, but they just say that those 2 option values are not possible 
in the [0.01%,400.0%] volatility range. 

The real problem here if the segmentation fault you write about: to investigate this I need to know your Linux 
distribution, configuration, QuantLib version, etc

ciao -- Nando

----------------------------------------------------------------------

You can respond by visiting: 
http://sourceforge.net/tracker/?func=detail&atid=112740&aid=490527&group_id=12740

Re: [Quantlib-dev] What about Debian packages

[Luigi B. <bal...@ma...>]

At 01:39 PM 12/19/01 +0100, Ferdinando Ametrano wrote:
>Dirk,
>
>is your silence a good news?

Nando,
         his silence is due to my silence.

Dirk provided me with an account on an alpha machine so that I could try 
and debug the problems. However, I didn't use it yet since lately I had 
other work to do besides QuantLib---which by the way you should know, 
because you told me to do it :)

Bye,
         Luigi

[Quantlib-dev] What about Debian packages

[Ferdinando A. <fer...@am...>]

Dirk,

is your silence a good news?
That is: no problem with the Debian packages?

ciao -- Nando

[Quantlib-dev] a note on commit messages

[Ferdinando A. <fer...@am...>]

Hi all

I've just posted a summary of recent development to quantlib-users
If I summarized your work incorrectly, please fix the description in the 
file News.txt of QuantLib, QuantLib-Python, and QuantLib-Ruby.

Even better: please write extended commit messages when committing to the CVS.

ciao -- Nando

Re: [Quantlib-dev] Cubic spline

[<nic...@fr...>]

En réponse à Luigi Ballabio <bal...@ma...>:

> 
> Nicolas,
> 	I just replaced in CVS the old implementation of the cubic spline with
> yours. You might not recognize it at first sight :)
> I still have to work on bicubic spline, mostly because I still have to
> write a base class for 2-D interpolation. I'll try to think of something
> smart involving iterators and hope that my head doesn't explode...

For technical reason, I can't have look to your work but please don't
explode ;-)

> I will add your documentation when it's finished (no sweat). Good to see
> you are writing it in LaTeX already.

I am also happy to use again LaTeX. Now, I am able produce documents in 
standart formats (ie pdf,html) without font troubles (especially for pdf)
using the power of LaTeX. The winning team is MikTeX/TeXnicCenter for LateX->pdf
and hevea for LaTeX->html. 

--
Nicolas Di Césaré
http://acm.emath.fr/~dicesare

[Quantlib-dev] Cubic spline

[Luigi B. <bal...@ma...>]

Nicolas,
	I just replaced in CVS the old implementation of the cubic spline with 
yours. You might not recognize it at first sight :)
I still have to work on bicubic spline, mostly because I still have to 
write a base class for 2-D interpolation. I'll try to think of something 
smart involving iterators and hope that my head doesn't explode...

I will add your documentation when it's finished (no sweat). Good to see 
you are writing it in LaTeX already.

Bye for now,
		Luigi