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by quantobe
August 25th, 2018, 4:51 pm
Forum: Trading Forum
Topic: Hedging oil ETF using Airlines ETF
Replies: 4
Views: 644

Re: Hedging oil ETF using Airlines ETF

Thanks for all the answers.
by quantobe
August 20th, 2018, 11:06 pm
Forum: Trading Forum
Topic: Hedging oil ETF using Airlines ETF
Replies: 4
Views: 644

Hedging oil ETF using Airlines ETF

Hi, I am not actually a trader, but I've recently started to become curious about doing some trading as an individual with my own money. I've come across ETF and have read about how they can be a -relatively- safer vehicle for trading, for beginners. Of course I don't want to just take a naked posit...
by quantobe
October 5th, 2017, 7:44 am
Forum: Student Forum
Topic: Total return swap reset frequency
Replies: 1
Views: 595

Re: Total return swap reset frequency

Any takers please ? Does that question make sense ? 
The reason for question is that I am trying to implement a very generic TRS, if it helps.
by quantobe
October 4th, 2017, 4:37 pm
Forum: Student Forum
Topic: Total return swap reset frequency
Replies: 1
Views: 595

Total return swap reset frequency

Hi, Consider equity or fixed income total return swap, with resetting feature. reset dates being the dates at which reference asset's price appreciation or depreciation are settled. Are reference asset's reset frequency usually bigger than payment (Funding) leg's payment frequency? i.e. are usually ...
by quantobe
March 17th, 2017, 2:14 pm
Forum: Student Forum
Topic: Calculation of a single share contribution to an index return over time
Replies: 2
Views: 477

Re: Calculation of a single share contribution to an index return over time

Isn't it just Heaviside of share's return times its weight ?
by quantobe
January 21st, 2016, 9:38 pm
Forum: Student Forum
Topic: test and verify/validate local volatility surface
Replies: 11
Views: 2374

test and verify/validate local volatility surface

<t>QuoteOriginally posted by: list1QuoteOriginally posted by: quantobeThanks Alan, mutley for your suggestions.@list1 it means that given an implied vol surface how can one distinguish between a LV which is correctly built using a Dupire type formula from a LV with nonsensical numbers. What properti...
by quantobe
January 21st, 2016, 8:08 am
Forum: Student Forum
Topic: test and verify/validate local volatility surface
Replies: 11
Views: 2374

test and verify/validate local volatility surface

<t>Thanks Alan, mutley for your suggestions.@list1 it means that given an implied vol surface how can one distinguish between a LV which is correctly built using a Dupire type formula from a LV with nonsensical numbers. What properties the LV surface should have, i.e. to recover market prices, to pr...
by quantobe
January 20th, 2016, 8:41 am
Forum: Student Forum
Topic: test and verify/validate local volatility surface
Replies: 11
Views: 2374

test and verify/validate local volatility surface

QuoteOriginally posted by: AlanWhat type of assets and options? What have you done so far?Its FX. I guess one test would be that ATM vol should be the same as what is on the implied vol surface.
by quantobe
January 19th, 2016, 6:45 pm
Forum: Student Forum
Topic: test and verify/validate local volatility surface
Replies: 11
Views: 2374

test and verify/validate local volatility surface

Given the implied vol surface from which we built the local vol surface what sort of validation can be done? C'mmon gentelmen, and ladies.
by quantobe
January 19th, 2016, 1:06 pm
Forum: Student Forum
Topic: test and verify/validate local volatility surface
Replies: 11
Views: 2374

test and verify/validate local volatility surface

Hi All,What approaches can I take to test, verify and validate a local volatility surface quantitatively?Thanks
by quantobe
July 16th, 2015, 12:30 pm
Forum: Student Forum
Topic: Partial time double barrier (binary) option
Replies: 1
Views: 2138

Partial time double barrier (binary) option

Hi,Does anyone know how can I price these? Does Hui 1997 address these? Can anyone share this paper please?
by quantobe
July 16th, 2015, 7:25 am
Forum: Book And Research Paper Forum
Topic: HAUG option pricing formulas Excel VBA code password
Replies: 3
Views: 4199

HAUG option pricing formulas Excel VBA code password

Hi,I have HAUG book and its CD but some modules in its VBA code (like Solver module) prompts for password when I try to open them and I don't see anywhere in the book what the password supposed to be.Anyone knows how I should get it please?regards,
by quantobe
July 16th, 2015, 7:23 am
Forum: The Quantitative Finance Code Library Project
Topic: HAUG "The Complete Guide to Option Pricing Formulas" VBA solver password
Replies: 0
Views: 4187

HAUG "The Complete Guide to Option Pricing Formulas" VBA solver password

Hi,I have HAUG book and its CD but some modules in its VBA code (like Solver module) prompts for password when I try to open them and I don't see anywhere in the book what the password supposed to be.Anyone knows how I should get it please?regards,
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