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Apr
17
awarded  Autobiographer
Apr
2
awarded  Custodian
Apr
2
reviewed Approve Implied Volatility Calculation
Mar
31
answered Black model: Delta - strike relationship regardless of expiry?
Mar
31
comment Black model: Delta - strike relationship regardless of expiry?
Ok. I'll skip the lazy ass part, though. :)
Mar
31
comment Black model: Delta - strike relationship regardless of expiry?
Time to expiry is already included in the inputs (the two discounts $e^{-rt}$ and $e^{-qt}$ and the standard deviation $\sigma \sqrt{t}$).
Mar
5
comment novice question on fixed coupon schedule in QuantLib
As I mentioned, another way to implement this would be to inherit from FixedRateCouponBond and delete the coupon in the constructor.
Feb
9
awarded  Yearling
Jan
14
awarded  Organizer
Jan
14
revised How do I specify Thirty360::European day counter in RQuantLib
Added R tag
Jan
14
suggested approved edit on How do I specify Thirty360::European day counter in RQuantLib
Nov
18
comment BlackProcess' constructor $x_{0}$ argument in QuantLib
Annual dividend yields, that's correct.
Nov
17
answered BlackProcess' constructor $x_{0}$ argument in QuantLib
Sep
30
awarded  Explainer
Sep
23
awarded  Enlightened
Sep
23
awarded  Nice Answer
Sep
22
revised QuantLib and exact numerical simulation
The cited URL has changed.
Sep
22
revised VaR implementation using quantlib?
The cited URL has changed.
Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Yes. You'll have to do the same for all curves, though, so also for risk-free rate and dividend yield. There's still a bit of dependence on the evaluation date, as the option checks it to see whether it's expired, but that won't affect the price.
Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
In other words: for any term structure, the time to expiry is the time between its reference date (not the evaluation date) and the expiry date. This is on purpose! It's what makes possible to use forward curves at a given date, spot curves based a couple of days after today's date, and so on. As explained in the link I posted, the reference date can be specified explicitly (as in this case: you're passing forwardDate to the constructor) or as a number of days after the evaluation date. In the first case, the results will change with the evaluation date; in the second, they won't.