A sample Lua/QuantLib program

This example is a rip of the Python Lua example for European options:

It returns the values 0.030342732609191 and 0.030027071770314 respectively

-- Mostly ripped from Python European Example

-- makes life a little simpler

QL=QuantLib

Date=QL.Date

tD=Date(15,QuantLib.May,1998)

sD=Date(17,QuantLib.May,1998)

QL.Settings_instance():setEvaluationDate(tD)

print(QL.Settings_instance():getEvaluationDate())

riskFreeRate = QL.FlatForward(sD, 0.05, QL.Actual365Fixed())

exercise = QL.EuropeanExercise(Date(17,5,1999))

payoff = QL.PlainVanillaPayoff(QL.Option_Call, 8.0)

underlying = QL.SimpleQuote(7.0)

volatility = QL.BlackConstantVol(tD, QL.TARGET(), 0.10, QL.Actual365Fixed())

dividendYield = QL.FlatForward(sD, 0.05, QL.Actual365Fixed())

process = QL.BlackScholesMertonProcess(QL.QuoteHandle(underlying),QL.YieldTermStructureHandle(dividendYield),QL.YieldTermStructureHandle(riskFreeRate),QL.BlackVolTermStructureHandle(volatility))

option = QL.VanillaOption(payoff, exercise)

option:setPricingEngine(QL.AnalyticEuropeanEngine(process))

-- Analytic

print ("Analytic Price",option:NPV())

-- Finite Difference

-- method: finite differences

timeSteps = 801

gridPoints = 800

option:setPricingEngine(QL.FDEuropeanEngine(process,timeSteps,gridPoints))

print("finite diff.",option:NPV())

iPhone QuantLib stuff

Is being consolidated at this website

I have done a lot of stuff and just haven't had time to put it all together in one place.

Beyond Lights Out available

DayCount available on your nearest iTunes store.

It's now available at your favorite iTunes store.

Daycounter progress

I've had a review of my daycounter app. Much has improved and it's much closer to launch. New images at http://daycountiphone.blogspot.com

Daycounter for iPhone

Check it out at daycountiphone

Day counter

The most extensive financial daycounter available on the iPhone. See images at

http://daycountiphone.blogspot.com

This is to appear soon on iTunes