SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 48 matches

by studenttt
September 4th, 2015, 2:36 am
Forum: Programming and Software Forum
Topic: open gamma vs QL
Replies: 5
Views: 3653

open gamma vs QL

Oops, I kept on thinking "Open Lib".
by studenttt
September 3rd, 2015, 11:41 pm
Forum: Programming and Software Forum
Topic: open gamma vs QL
Replies: 5
Views: 3653

open gamma vs QL

<t>I don't think the programming language itself is much of a barrier, but how those two softwares are managed is very different. Both are poorly documented, but Dr Ballabio has at least attempted to document a part of the library, whereas there has been zero attempt in OpenGamma. Although OL is fre...
by studenttt
August 29th, 2015, 4:13 pm
Forum: Off Topic
Topic: an open letter To Dr Wilmott and fellow Indians in Wilmott
Replies: 40
Views: 3710

an open letter To Dr Wilmott and fellow Indians in Wilmott

The comments made by Dr Cuchulainn is absolutely correct. The Indians don't need a toilet because they spend their time on raping and sexually harass even animals.
by studenttt
August 29th, 2015, 8:16 am
Forum: Student Forum
Topic: help with B-S pricing
Replies: 84
Views: 6517

help with B-S pricing

I don't really understand the question. Black-Scholes assumes the underlying is GBM, if it's not a GBM, the model simply doesn't apply.
by studenttt
August 28th, 2015, 12:12 pm
Forum: Student Forum
Topic: What does the Heston and SABR is supposed to do?
Replies: 4
Views: 2390

What does the Heston and SABR is supposed to do?

I'm sure you're correct but I don't think I understand. Can you please give a simple example?
by studenttt
August 28th, 2015, 11:33 am
Forum: Student Forum
Topic: What does the Heston and SABR is supposed to do?
Replies: 4
Views: 2390

What does the Heston and SABR is supposed to do?

<t>I'm trying to understand why we would need the Heston, SABR and other volatility models. So far, my understanding is that, we can use the Black-Scholes to back-out market implied volatility. Those implied volatility data points are discrete and therefore need to be interpolated. Heston and SABR c...
by studenttt
August 27th, 2015, 2:30 pm
Forum: Technical Forum
Topic: Convexity adjustment in bootstrapping the yield curve
Replies: 10
Views: 34203

Convexity adjustment in bootstrapping the yield curve

I've found Andrew Lesniewski's notes in the links above particularly useful.
by studenttt
July 25th, 2015, 4:02 pm
Forum: Student Forum
Topic: volatility trading
Replies: 22
Views: 5050

volatility trading

What's the question?
by studenttt
June 24th, 2015, 2:18 pm
Forum: Book And Research Paper Forum
Topic: Up-to-date intro to quant finance
Replies: 6
Views: 2988

Up-to-date intro to quant finance

<r>I recently read a book on multicurve from OpenGamma.<URL url="http://www.opengamma.com/blog/new-book-interest-rate-modelling-multi-curve-framework-foundations-evolution-and-implementationQuite"><LINK_TEXT text="http://www.opengamma.com/blog/new-book- ... ationQuite">http://www.opengamma.com/blog/...
by studenttt
June 19th, 2015, 10:05 am
Forum: Student Forum
Topic: How to price this option?
Replies: 7
Views: 2900

How to price this option?

Question: Can we price it with a barrier option with r==0 and time-to-maturity be infinite?
by studenttt
June 18th, 2015, 1:39 pm
Forum: Student Forum
Topic: How to price this option?
Replies: 7
Views: 2900

How to price this option?

<t>It never expires, does that mean I can never exercise???? Or do you mean I can exercise as soon as it hits the barrier 100? To me, this looks like a barrier option with zero interest rate and infinite time-to-maturity. Can anyone here confirm it?In the question, I think you have two different kin...
by studenttt
June 11th, 2015, 11:57 pm
Forum: Programming and Software Forum
Topic: Apple's swift
Replies: 48
Views: 9370

Apple's swift

Are we trying to port QuantLib to Swift for iPhone?
by studenttt
June 5th, 2015, 9:26 am
Forum: Student Forum
Topic: building a zero curve with lack of market data
Replies: 4
Views: 2902

building a zero curve with lack of market data

If you don't have instruments, you just can't build it, can you? Can you assume some kind of extrapolation?
by studenttt
June 5th, 2015, 9:23 am
Forum: Student Forum
Topic: pricing Caps and Floor in the interest rate models
Replies: 2
Views: 2445

pricing Caps and Floor in the interest rate models

Please don't be an idiot and think before you post.
by studenttt
May 23rd, 2015, 1:50 pm
Forum: Technical Forum
Topic: payoff scripting for Monte Carlo in Quantlib
Replies: 5
Views: 3393

payoff scripting for Monte Carlo in Quantlib

<t>This is the code in R that I use to script European options from QuantLib. You can do something like that with Monte-Carlo.## Generate random outputs for unit-testing. The script saves outputs into CSV files that can be# parsed by testing code.## Number of test casesN = 10library('RQuantLib')# Eu...
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