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Nov
17
comment BlackProcess' constructor $x_{0}$ argument in QuantLib
"[...] The BlackProcess class assumes there's no dividend yield", there is the answer. My belief was that $x_{0}$ was the forward price, the engine made all "forward" calculations (taking cost of carry implicitly into account) and lastly used risk free TS to discount prices. Actually, I was wrong. Please, wait for me checking calculations under BlackScholesMertonProcess process with a dividend yield TS before accepting your kind answer. I guess such a TS should contain annual dividend yields, like an interest rate TS (constructor asks for an Handle< YieldTermStructure > for both).
Nov
17
comment BlackProcess' constructor $x_{0}$ argument in QuantLib
I see, but in that example BlackProcess is not actually used: on the contrary, BlackScholesMertonProcess is taken, for which using spot as $x_{0}$ is theoretically correct.
Nov
16
asked BlackProcess' constructor $x_{0}$ argument in QuantLib
Oct
30
revised Beta vs. Implied Volatility statistical arbitrage using options
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Oct
5
awarded  Yearling
Sep
29
accepted RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
Sep
2
awarded  Popular Question
Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
That's great, Luigi, and your blog is gonna become my Holy Bible. Site threats me for moving out to chat, but I had to write this last remark to thank you ;)
Aug
5
accepted QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Aaah... that's nice, maybe I got it! In fact, that was my doubt from your link where you wrote: "In all these cases, the reference date will be provided to client code by means of the referenceDate method.". So evaluating a kind of "forward price" for an option with a constructor that involves a term structure does not require the user to amend evaluation date: it's actually sufficient to give in the chosen implied term structure to have a "forward" pricing. May you confirm this point?
Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
That's okay, but options have an expiry date: shouldn't moving evaluation date change days to expiry and hence have an impact on option value? In my example price doesn't change at all, neither if you move evaluation date forward by 60 days (which has of course a big impact on options time value!). If you Date forwardDate = calendar.advance(todaysDate, 60, Days); you see that options evaluated today with forward volatility surface referenced at July 24th 2014 have the same value as evaluated 60 days later (81.1986 vs. "manual" 116.506), albeit their time to maturity is really different.
Aug
5
revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
5
revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
5
revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Thank you for your competent and detailed answer, Luigi, but there's still a point that I am missing. If you call my three "pricers" (EurVanillaSurfacePricerBlack, EurVanillaSurfacePricerBSM and EurVanillaPricer) before changing evaluation date and after having changed that, you'll see a weird thing: while EurVanillaPricer returns different values like we would expect, the volatility surface wrappers return the same price seemingly regardless of evaluation date. How would you explain this? (I've amendend the code if you wanted to re-run it...).
Aug
4
revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
4
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Hi, @LuigiBallabio. You're right, errors from amending the code to make it reproducible here (in real strikes are taken from data sources as well as underlying). I've corrected the code, now it runs as intended (or at least it should!).
Aug
4
revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
1
asked QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Jul
2
awarded  Curious