(no subject)

I seem to get different results when using the C++ version
from what I get
when I use the C# version of QL. Here is my C# code:

namespace QuantLibOptionPricer
{
    class Program
    {
        static void Main(string[] args)
        {

            double underlying = 36;
            double strike = 40;
            double dividendYield = 0.0;
            double riskFreeRate = .06;
            double volatility=0.2;


            Option.Type type = Option.Type.Put;
            Date todaysDate = new Date(27, Month.March,
2007);
            Date settlementDate = new Date(27, Month.March,
2007);
           
Settings.instance().setEvaluationDate(todaysDate);

            Date maturity = new Date(17, Month.May, 2007);
            DayCounter dayCounter = new Actual365Fixed();

            Console.WriteLine("Option Type = ",
type);
            Console.WriteLine("Maturity =
",maturity.__str__());
            Console.WriteLine("Underlying price =
", underlying);
            Console.WriteLine("Strike = ",
strike);
            Console.WriteLine("Dividend Yield =
", dividendYield);
            Console.WriteLine("Riskfree Rate =
", riskFreeRate);
            Console.WriteLine("Volatility = ",
volatility);

            EuropeanExercise euroEx = new
EuropeanExercise(maturity);
            AmericanExercise ameriEx = new
AmericanExercise(settlementDate, maturity);

            QuoteHandle underlyingH = new QuoteHandle(new
SimpleQuote(strike));
            YieldTermStructureHandle flatTermStructure = new

YieldTermStructureHandle( new FlatForward(settlementDate,
riskFreeRate,dayCounter));
            YieldTermStructureHandle flatDividendTS = new 
YieldTermStructureHandle( new FlatForward(settlementDate,
dividendYield,dayCounter));

            BlackVolTermStructureHandle flatVolTS = new
BlackVolTermStructureHandle(new
BlackConstantVol(settlementDate, volatility, dayCounter));
            PlainVanillaPayoff payoff = new
PlainVanillaPayoff(type,underlying );
            BlackScholesProcess stochasticProcess=new
BlackScholesProcess(underlyingH,flatTermStructure,flatVolTS)
;

            //Option

            VanillaOption euroOption=new
VanillaOption(stochasticProcess,payoff,euroEx);

            string method="Black-Scholes";

            euroOption.setPricingEngine(new
AnalyticDividendEuropeanEngine());

            Console.WriteLine("The price of the
European Option using 
is: ", method,euroOption.NPV());

            method = "CRRTree";

            uint timeSteps=1000;

            euroOption.setPricingEngine(new
BinomialVanillaEngine("CRR",
timeSteps));

            Console.WriteLine("The price of the
European Option using 
is: ", method, euroOption.NPV());



        }
    }
}

This gives a price of 4.37. The C++ version givew 3.79 which
is the
correct value. Any ideas of what may be wrong

Niels Nygaard

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