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When I apply the americanoptionimpliedvolatility function in the following format:

  impliedvol_test_v1$IV <- NA
  impliedvol_test_v1$`risk free rate` <- as.numeric(impliedvol_test_v1$`risk 
  free rate`)

  for(iRow in seq(1,nrow(impliedvol_test_v1),1)){

  typeTMP <- impliedvol_test_v1$type[iRow]  
  valueTMP <- impliedvol_test_v1$value[iRow]
  strikeTMP <- impliedvol_test_v1$strike[iRow]
  underlyingTMP <- impliedvol_test_v1$underlying[iRow]
  dividendyieldTMP <- impliedvol_test_v1$`Dividend yield`[iRow]
  riskfreerateTMP <- impliedvol_test_v1$`risk free rate`[iRow]
  maturityTMP <- impliedvol_test_v1$maturity[iRow]
  volatilityTMP <- impliedvol_test_v1$volatility[iRow]

  impliedvol_test_v1$IV[iRow] <- AmericanOptionImpliedVolatility(typeTMP, 
  valueTMP,strikeTMP, underlyingTMP, dividendyieldTMP, riskfreerateTMP, 
  maturityTMP, volatilityTMP)

  }

I receive the following error: Error in americanOptionImpliedVolatilityEngine(type, value, underlying, :

../../../QuantLib-1.6.2/ql/math/solver1d.hpp:202: In function `QuantLib::Real QuantLib::Solver1D::solve(const F&, QuantLib::Real, QuantLib::Real, QuantLib::Real, QuantLib::Real) const [with F = QuantLib::{anonymous}::PriceError; Impl = QuantLib::Brent; QuantLib::Real = double]': root not bracketed: f[1e-007,4] -> [2.230734e+000,2.306800e+001]

Which is weird since I receive IV values when I plug them in manually.

The dataset looks like:

enter image description here

When I plug in the values manually, I receive values for each row.

Thanks for your help! Ben

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  • $\begingroup$ There is a specific quantlib forum where I think it would be better to ask this question? $\endgroup$ – Yian Pap Dec 8 '17 at 11:17
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Could you show the exact call that you use when you "plug them in manually"?

Anyway, can you override the bracketing interval in RQuantLib with a tighter range, say 1% to 100%?

library("NMOF")
vanillaOptionImpliedVol("american", price = 3.7,
                        S = 37.39, X = 35,
                        tau = .1698, q = 0.0654, r = 0.17, 
                        uniroot.control = list(interval = c(0.01, 1)))
## [1] 0.3172167

vanillaOptionAmerican(S = 37.39, X = 35,
                      tau = .1698, q = 0.0654, r = 0.17, 
                      v = .3173^2)$value
## [1] 3.700333
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  • $\begingroup$ For example, I recieve values only for the first two rows using my entries as above. For the subsequent row, I used again the same americanptionimpliedvolatility function and it gave me a value for the IV. What seems to be wrong here ? &how do I adjust for it? $\endgroup$ – Benjamin E. Pfeiffer Dec 8 '17 at 14:44
  • $\begingroup$ Which rows work and which don't? $\endgroup$ – Enrico Schumann Dec 8 '17 at 15:11
  • $\begingroup$ Check the order of arguments in your function call: it should be underlying, then strike. It seems you have them the other way around. (Naming arguments is a good idea.) $\endgroup$ – Enrico Schumann Dec 8 '17 at 15:13
  • $\begingroup$ you're right! thanks, however, it generates values only up to a certain row and then returns the same values in the subsequent rows until the end. $\endgroup$ – Benjamin E. Pfeiffer Dec 8 '17 at 15:27
  • $\begingroup$ asked differently: apparently, the code stops working as soon as the values do not lead to any IV. Is there a way to add code to let the function start at the next row which contains valid values? $\endgroup$ – Benjamin E. Pfeiffer Dec 8 '17 at 15:31

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