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by pcaspers
December 12th, 2018, 8:29 pm
Forum: General Forum
Topic: CVA models
Replies: 4
Views: 509

Re: CVA models

Here is the project, there are a few extension modules we sell on top. Also happy to help with integration / building proprietary extensions. Feel free to contact me if of any interest.
by pcaspers
June 22nd, 2016, 5:23 am
Forum: Programming and Software Forum
Topic: Using Quantlib
Replies: 181
Views: 15816

Using Quantlib

<t>look in the test suite for american option pricing, there is an (equity) example; there are also lots of examples in the market model tests (but they are actually using different classes for LS); and there will be more, I am sure, maybe just grep McLongstaffSchwartzEngine or LongstaffSchwartzPath...
by pcaspers
June 20th, 2016, 5:25 pm
Forum: Programming and Software Forum
Topic: Using Quantlib
Replies: 181
Views: 15816

Using Quantlib

here is one pointer
by pcaspers
June 20th, 2016, 4:58 am
Forum: Book And Research Paper Forum
Topic: Brexit implied PDFs - paper
Replies: 4
Views: 816

Brexit implied PDFs - paper

<t>Very interesting. I'd be interested in how you derive a continuous smile from the 5 given points +-25D, +-10D and ATM, I suppose there is some model fitted in between (sorry if I missed this in the paper). And if so, how much detail of the implied density is really coming from the market data and...
by pcaspers
June 2nd, 2016, 6:14 pm
Forum: Technical Forum
Topic: Dodgson Kainth Reversion Speed
Replies: 0
Views: 546

Dodgson Kainth Reversion Speed

What is the intuition for the reversion speed in the Dodgson-Kainth Inflation Model? What are typical values occuring in the wild?
by pcaspers
May 23rd, 2016, 6:12 pm
Forum: General Forum
Topic: Creating a "Normal Swaption Volatility Cube" using multiple data sources
Replies: 1
Views: 700

Creating a "Normal Swaption Volatility Cube" using multiple data sources

<t>Not sure if I got the question, but if you have different Forwards from different providers for some reason (different timestamps, different underlying curve constructions) I would map each vol quote to ATM + spread, where ATM is the forward level from the same provider. After that you can work w...
by pcaspers
April 30th, 2016, 6:18 pm
Forum: Technical Forum
Topic: Choice of LMM skew function
Replies: 1
Views: 885

Choice of LMM skew function

<t>You want to multiply [$]\sigma(t)[$] with a mixture of a constant and [$]L(t)[$] to produce something between a flat smile and a skew. Since the scale does not matter, [$]\alpha L(0) + (1-\alpha) L(t)[$] is a clever choice because this factor is always in the order of magnitude of the Libor rate ...
by pcaspers
April 17th, 2016, 2:58 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 806
Views: 57394

Breakthrough in the theory of stochastic differential equations and their simulation

<t>QuoteOriginally posted by: CuchulainnQuoteperfect precision There is no such thing as perfect precision in (numerical) mathematics. Accuracy is a polynomial function of dt based on continuity of the unknown exact solution. Which is what @list has also said, when I look at it. Is convergence monot...
by pcaspers
April 9th, 2016, 3:24 pm
Forum: General Forum
Topic: Vol used in interest rate cap pricing
Replies: 8
Views: 1789

Vol used in interest rate cap pricing

<t>at least for the major currencies there are quotes for fixed strikes like 1%, 2%, ... (or nowadays -1%, -0.5%, 0%, 0.5% ...), which can be used for bootstrapping; you can then place the atm caplets in between those fixed strikes and interpolate in strike direction for bootstrapping from the atm f...
by pcaspers
April 4th, 2016, 12:04 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 6718

Put-Call-Bermudan

that's great, thanks Billy7, I will look at it when there is some free time again for it
by pcaspers
April 4th, 2016, 6:41 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 6718

Put-Call-Bermudan

<r>Yes, thanks a lot again. I can rerun with more paths, Sobol sequences + Brownian bridges, a richer basis, but as you say, it won't be very insightful. Concerning the regression I am even thinking if it might be useful to have two regions with a separate calibration. But for the time being the glo...
by pcaspers
April 3rd, 2016, 6:58 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 6718

Put-Call-Bermudan

<t>Actually I did not really notice up to ten minutes ago, but from the plain pricing I had the condition in my code that only ITM paths are taken into account in the regression. This seems to break the new call pricing, in cases where the new call is deep ITM, the put OTM, and the put continuation ...
by pcaspers
April 3rd, 2016, 6:50 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 6718

Put-Call-Bermudan

<t>Here are my updated results (16384 calibration paths, 65536 pricing paths, both MT, basis 1,x,x^2), they look better.Dividend = 0.06 Put = 0.371782 NewCall = 0.369788Dividend = 0.05 Put = 0.35782 NewCall = 0.356191Dividend = 0.04 Put = 0.344102 NewCall = 0.343301Dividend = 0.03 Put = 0.330794 New...
by pcaspers
April 3rd, 2016, 6:09 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 6718

Put-Call-Bermudan

no, it's still on my side, the newcall prices for negative q are way to low, let me check the code again ... sorry ...
by pcaspers
April 3rd, 2016, 3:24 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 6718

Put-Call-Bermudan

<t>What I seem to observe -- for an american "newcall" [$]c(q)[$] and an american put [$]p(q)[$] -- is that [$]c(q) > p(q)[$] for all [$]q[$] and [$]c(q) \rightarrow p(q)[$] for [$]q \rightarrow \infty[$], if the exercise grid is a continuum.If the newcall would be exercisable at [$]t=0[$] (it is ac...
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