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I am new to quantlib as well as option price modelling. I need to get premium from black scholes model and found this code in internet

import QuantLib as ql

S=1100
strike=[1000,1100,1110,1120]
v=0.2
ri=0.04

for K in strike:
    today = ql.Date(20, 7, 2019)
    ql.Settings.instance().evaluationDate = today
    # The Instrument
    option = ql.EuropeanOption( ql.PlainVanillaPayoff(ql.Option.Call, K),
                             ql.EuropeanExercise(ql.Date(25, 7, 2019)))
    # The Market
    u = ql.SimpleQuote(S)      # set todays value of the underlying
    r = ql.SimpleQuote(ri)       # set risk-free rate 
    sigma = ql.SimpleQuote(v)   # set volatility
    riskFreeCurve = ql.FlatForward(0, ql.TARGET(), ql.QuoteHandle(r), ql.Actual360())
    volatility = ql.BlackConstantVol(0, ql.TARGET(), ql.QuoteHandle(sigma), ql.Actual360())
    # The Model
    process = ql.BlackScholesProcess( ql.QuoteHandle(u), 
                                   ql.YieldTermStructureHandle(riskFreeCurve),
                                   ql.BlackVolTermStructureHandle(volatility))
    # The Pricing Engine
    engine = ql.AnalyticEuropeanEngine(process)
    # The Result
    option.setPricingEngine(engine)
    print(option.NPV())

With output

100.33327806116641
8.195213254652364
4.131971032227009
1.7912417047751839

But when I did a comparison study with an online Black Scholes calculator, I got differen result

100.55
10.57
6.29
3.43

What is wrong with my code? How to I properly model for premium in quantlib? Did quantlib implementblack76 model?

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  • $\begingroup$ What is the expiration ? $\endgroup$
    – dm63
    Commented Jul 20, 2019 at 12:24
  • $\begingroup$ its 25th july 2019 $\endgroup$
    – Eka
    Commented Jul 20, 2019 at 14:01
  • $\begingroup$ Your code says European exercise. Do you know what black76 is using? $\endgroup$
    – rajah9
    Commented Jul 20, 2019 at 14:25
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    $\begingroup$ I see it is a 5 day option. Perhaps one of the models is using calendar time, meaning that the time to expiration is 5/365 years, whereas the other model is using business days, so it is 5/262 years. Just a guess. $\endgroup$
    – dm63
    Commented Jul 20, 2019 at 19:53
  • $\begingroup$ Hard to say without knowing how the online calculator converts dates into time. $\endgroup$
    – Luigi Ballabio
    Commented Aug 13, 2019 at 12:39

1 Answer 1

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2019-07-20 is a Saturday and 2019-07-21 is a Sunday, so basically you're looking on a 4 day option. Furthermore use ql.Actual365Fixed() to get the same results from the online calculator.

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