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    <p>You'll need a bit of setup. For convenience, and unless you get name clashes, you better import everything:</p> <pre><code>from QuantLib import * </code></pre> <p>then, create the option, which needs an exercise and a payoff:</p> <pre><code>exercise = EuropeanExercise(Date(3,August,2011)) payoff = PlainVanillaPayoff(Option.Call, 100.0) option = EuropeanOption(payoff,exercise) </code></pre> <p>(note that you'll need an exercise date, not a time to maturity.)</p> <p>Now, whether you want to price it or get its implied volatility, you'll have to setup a Black-Scholes process. There's a bit of machinery involved, since you can't just pass a value, say, of the risk-free rate: you'll need a full curve, so you'll create a flat one and wrap it in a handle. Ditto for dividend yield and vol; the underlying value goes in a quote. (I'm not explaining what all the objects are; comment if you need it.)</p> <pre><code>S = QuoteHandle(SimpleQuote(100.0)) r = YieldTermStructureHandle(FlatForward(0, TARGET(), 0.03, Actual360())) q = YieldTermStructureHandle(FlatForward(0, TARGET(), 0.01, Actual360())) sigma = BlackVolTermStructureHandle(BlackConstantVol(0, TARGET(), 0.20, Actual360())) process = BlackScholesMertonProcess(S,q,r,sigma) </code></pre> <p>(the volatility won't actually be used for implied-vol calculation, but you need one anyway.)</p> <p>Now, for implied volatility you'll call:</p> <pre><code>option.impliedVolatility(11.10, process) </code></pre> <p>and for pricing:</p> <pre><code>engine = AnalyticEuropeanEngine(process) option.setPricingEngine(engine) option.NPV() </code></pre> <p>You might use other features (wrap rates in a quote so you can change them later, etc.) but this should get you started.</p>
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    1. USLuigi Ballabio
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    1. COThank you Luigi, much appreciated
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      1. USDragan Chupacabric
 

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