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4

It's because of the settlement days you passed when you initialized the flat volatility curve. You're creating the spot, forward and flat volatilities as: boost::shared_ptr<BlackVarianceSurface> volatilitySurface( new BlackVarianceSurface(todaysDate, calendar, maturityArray, strikeArray, ...


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A free to use Excel Add-on providing QuantLib-backed derivatives pricing analytics directly in Excel is available at http://www.deriscope.com Disclosure: answerer is author of the package.



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