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larsh0303
Topic Author
Posts: 37
Joined: January 31st, 2006, 8:24 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

January 24th, 2007, 2:34 pm

Hi there,I am working in the fixed income derivatives field and they way we model smile is using these parameters: Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right. We have some internal slides talking about what these parameters are, but I would like to read the paper to understand further. Has anyone seen these terms in academic papers?Regards.
 
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horacioaliaga
Posts: 326
Joined: August 21st, 2005, 3:30 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

January 25th, 2007, 3:32 pm

Don't forget to include the Coxis Bone as well, gives more convergence stability
Last edited by horacioaliaga on January 24th, 2007, 11:00 pm, edited 1 time in total.
 
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piterbarg
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

January 28th, 2007, 6:27 pm

QuoteOriginally posted by: larsh0303Hi there,I am working in the fixed income derivatives field and they way we model smile is using these parameters: Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right. We have some internal slides talking about what these parameters are, but I would like to read the paper to understand further. Has anyone seen these terms in academic papers?Regards.so what bank are you working for? V
 
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TraderJoe
Posts: 11048
Joined: February 1st, 2005, 11:21 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

January 29th, 2007, 10:51 pm

The bank of kindness
 
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Gmike2000
Posts: 801
Joined: September 25th, 2003, 9:49 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 3rd, 2007, 7:56 pm

If it is the bank that has no documentation on anything, it must be the one I am working for...
 
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flairplay
Posts: 130
Joined: September 26th, 2006, 1:34 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 4th, 2007, 9:51 am

QuoteOriginally posted by: Gmike2000If it is the bank that has no documentation on anything, it must be the one I am working for...The best documentation is a model that is implemeted.In my experience, those places that are behind are the ones who talk endlessly about procedures, documentations etc. TThere is an opportunity cost, and there are balances to be struck.
 
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Gmike2000
Posts: 801
Joined: September 25th, 2003, 9:49 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 4th, 2007, 10:17 am

There has to be at least some sort of "note" on the model, describing e.g. input and output of its functions, otherwise it is hard to understand for the end user (the trader) or for other quants. The places that are behind are those where knowledge is not distributed easily and where every quant/trader has to reinvent the wheel, just because he is not aware that some function already exists in the library, or because he has to spend hours going thru other people's chaotic code.
Last edited by Gmike2000 on February 3rd, 2007, 11:00 pm, edited 1 time in total.
 
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imranyusof
Posts: 26
Joined: November 16th, 2005, 2:27 am

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 4th, 2007, 11:19 am

QuoteOriginally posted by: flairplayThe best documentation is a model that is implemeted.In my experience, those places that are behind are the ones who talk endlessly about procedures, documentations etc. TThere is an opportunity cost, and there are balances to be struck.Amen to this.
 
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imranyusof
Posts: 26
Joined: November 16th, 2005, 2:27 am

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 4th, 2007, 11:19 am

QuoteOriginally posted by: Gmike2000....The places that are behind are those where knowledge is not distributed easily and where every quant/trader has to reinvent the wheel, just because he is not aware that some function already exists in the library, or because he has to spend hours going thru other people's chaotic code.And amen to that as well.
 
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flairplay
Posts: 130
Joined: September 26th, 2006, 1:34 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 4th, 2007, 2:16 pm

QuoteOriginally posted by: Gmike2000There has to be at least some sort of "note" on the model, describing e.g. input and output of its functions, otherwise it is hard to understand for the end user (the trader) or for other quants. The places that are behind are those where knowledge is not distributed easily and where every quant/trader has to reinvent the wheel, just because he is not aware that some function already exists in the library, or because he has to spend hours going thru other people's chaotic code.If the inputs and outputs are not clear in the actual implementation, then it does not really count as an implementation. I have also noticed that there is a very high correlation between poorly described inputs and outputs in implementation and lack of robustness of the underlying alogorithm. Shoddy work reveals itself clearly and early.
 
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Geist
Posts: 161
Joined: May 16th, 2003, 10:25 am

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 7th, 2007, 7:24 am

PM me - I'll take you through some of the stuff you want to know.
 
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Randomness
Posts: 159
Joined: May 9th, 2006, 8:37 pm

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

February 17th, 2007, 10:12 am

and Amen once again ...