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by Lapsilago
March 14th, 2013, 6:32 am
Forum: Numerical Methods Forum
Topic: Fast Fourier vs COS method
Replies: 29
Views: 33195

Fast Fourier vs COS method

I have implemented the method in Matlab. Works quite well and I could replicate the prices.Would share the code if anyone would do the MC for this model to compare all the results from this paper ...Anyone?Best, Lapsi
by Lapsilago
March 13th, 2013, 12:53 pm
Forum: Technical Forum
Topic: Libor 3M-6M volatility
Replies: 58
Views: 16285

Libor 3M-6M volatility

Hi yougy60,touché! You are right of course! I have a Matlab implementation and when I carried it over to VBA this error happend. Sorry for that!Best, Lapsi
by Lapsilago
March 12th, 2013, 8:10 am
Forum: Numerical Methods Forum
Topic: Fast Fourier vs COS method
Replies: 29
Views: 33195

Fast Fourier vs COS method

<t>Hi LesleYLyu,the method (including Greeks even for Early Exercise) is in the book: Financial Modelling by Kienitz and Wetterau.Also we implemented the H1HW model and many more. You can also download the code via the Matlab fileexchange. Then, you can play around with different truncation ranges.L...
by Lapsilago
March 8th, 2013, 9:05 am
Forum: Technical Forum
Topic: Libor 3M-6M volatility
Replies: 58
Views: 16285

Libor 3M-6M volatility

Actually, you should use the results mentioned in the paper "Hyp Hyp Hooray" from Kahl and Jaeckel.If you google it you will be pointed to a presentation by Peter Jaeckel where he explicitly calculates the DD case. These are the formulas.Hope that helps.Best, Lapsi
by Lapsilago
March 8th, 2013, 8:15 am
Forum: Technical Forum
Topic: Libor 3M-6M volatility
Replies: 58
Views: 16285

Libor 3M-6M volatility

Hi yougy60,good point. In general it is not the case I think... It depends on how you choose the correlations but, indeed, I have to look at this in more detail. I have had some cases where I did exactly that but I did not write it done the general way...Cheers, Lapsi
by Lapsilago
March 8th, 2013, 6:34 am
Forum: Trading Forum
Topic: Caplet Vol Arbitrage
Replies: 1
Views: 8712

Caplet Vol Arbitrage

<t>Dear all,how could one arbitrage caplet vols for different tenors. For instance I have some vol cubes surfaces (strike/maturity) for 3m caplets and the same for 6m caplets.What would a trade look like to exploit any arbitrage opportunities? Let's keep it simple an consider only a 6m period? Anyth...
by Lapsilago
March 8th, 2013, 6:18 am
Forum: Technical Forum
Topic: Libor 3M-6M volatility
Replies: 58
Views: 16285

Libor 3M-6M volatility

<t>Thanks for the nice feedback.There is a new version uploaded recently! Of course eq (5) has an error t_13 is missing. I also included more on SABR. The guiding idea is the following:1. Calibrate the SABR model for a given strike range and a given rates tenor, e.g. 3M2. Use the transformation algo...
by Lapsilago
February 20th, 2013, 11:42 am
Forum: Technical Forum
Topic: Libor 3M-6M volatility
Replies: 58
Views: 16285

Libor 3M-6M volatility

by Lapsilago
February 7th, 2013, 9:00 am
Forum: Book And Research Paper Forum
Topic: Need code to the book "Modeling Derivatives Applications in Matlab, C++, and Excel"
Replies: 11
Views: 55387

Need code to the book "Modeling Derivatives Applications in Matlab, C++, and Excel"

<r>Dear reader,if you like Matlab to be your development tool you can use "Financial Modelling - Theory, Practice and Implementation with Matlab Source"See announcement here:<URL url="http://www.wilmott.com/messageview.cfm?catid=11&threadid=92367See"><LINK_TEXT text="http://www.wilmott.com/messa...
by Lapsilago
January 4th, 2013, 12:53 pm
Forum: Book And Research Paper Forum
Topic: C# for Financial Markets (Andrea Germani and Daniel J. Duffy)
Replies: 46
Views: 27951

C# for Financial Markets (Andrea Germani and Daniel J. Duffy)

Hi,according to amazon.co.uk it should be 11.01.Best Lapsi
by Lapsilago
December 5th, 2012, 6:49 am
Forum: The Quantitative Finance Code Library Project
Topic: Library-Excel-Application Interoperability Project
Replies: 15
Views: 18671

Library-Excel-Application Interoperability Project

Uups, this was on the wrong thread...
by Lapsilago
November 20th, 2012, 8:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Matlab Code - Financial Modelling
Replies: 11
Views: 17147

Matlab Code - Financial Modelling

Thanks Polter!Might be a good idea to move to a higher version then. But if you cannot do this for any reason I could ask Daniel W. who actually implemented SQP for a version without "~" when he is back in the office in Dec.Best, Lapsi
by Lapsilago
November 19th, 2012, 9:57 am
Forum: Numerical Methods Forum
Topic: Calibration Local Volatility (Andrease)
Replies: 33
Views: 18525

Calibration Local Volatility (Andrease)

sorry for jumping in...I downloaded the thesis but I was not able to find the code this thread is about. Is there another resource?Could someone post the code?Best, Lapsi
by Lapsilago
November 19th, 2012, 9:46 am
Forum: The Quantitative Finance Code Library Project
Topic: Matlab Code - Financial Modelling
Replies: 11
Views: 17147

Matlab Code - Financial Modelling

Hi,we have used Matlab Verison R 2012a and I think "~" is there used as an optional output. Actually, Daniel W. did the SQP stuff. He will be back in December and then, he can suggest a solution of your problem.Best, Lapsi
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