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by kelang
May 18th, 2019, 2:06 pm
Forum: Technical Forum
Topic: Bermudan swaption misprice
Replies: 2
Views: 2266

Bermudan swaption misprice

hello all, Sure this topic must have been discussed in the past. Tried to price some USD Bermudan swaptions to match the market mid with different models (LGM, G2++, LMM), but all these models seem to over-price quite a bit. Understood that Bermudans are in general priced at some discount in USD mar...
by kelang
April 2nd, 2018, 1:18 pm
Forum: Technical Forum
Topic: market practice to extrapolate SPX volatilities?
Replies: 2
Views: 724

Re: market practice to extrapolate SPX volatilities?

Thank you Alan.Will check and report back if anything
by kelang
March 29th, 2018, 9:13 pm
Forum: Technical Forum
Topic: market practice to extrapolate SPX volatilities?
Replies: 2
Views: 724

market practice to extrapolate SPX volatilities?

Hi All,

What's the market practice to extrapolate the SPX vols up to 10y? Tried different methods but still far away from Bloomberg's... Do we have to include the impact of stochastic rates for long terms?

Thank you!
by kelang
February 5th, 2018, 5:00 pm
Forum: Technical Forum
Topic: SVI atm/left/right vol slope
Replies: 0
Views: 609

SVI atm/left/right vol slope

Hi All, I was playing the SVI model to fit the SPX vol surface, with the modified SVI version (atm/left/right vol slope scaled by atm*Sqrt(T), plus atm vol and min vol or atm convexity). Overall, SVI gives a good fitting. However, as I was doing slice-by-slice SVI fitting, the high-strike vol slope ...
by kelang
February 3rd, 2017, 4:38 pm
Forum: Technical Forum
Topic: FVA discount question...
Replies: 1
Views: 619

FVA discount question...

Hello all, May I ask one question on FVA discount under the exposure approach? Say, we price a trade under OIS discounting, and obtain the future EE, then we compute FVA as, FVA = Sum ( DiscountFactor * EE * Funding Spread * Accrual Factor ) What "DiscountFactor" should be used here? "OIS" ? Or "OIS...
by kelang
November 26th, 2014, 3:40 pm
Forum: General Forum
Topic: Boot strap hazard rate term structure from CDS spreads
Replies: 7
Views: 3663

Boot strap hazard rate term structure from CDS spreads

<r>check there <URL url="http://www.cdsmodel.com/cdsmodel/they">http://www.cdsmodel.com/cdsmodel/they</URL> also give excel pricing tools.QuoteOriginally posted by: georgebHi All,I am new member to this group .Looking for the below informationI need some information regarding boot strapping of hazar...
by kelang
November 10th, 2014, 3:20 pm
Forum: Technical Forum
Topic: exercise prob via LS least square MC simulation
Replies: 0
Views: 3409

exercise prob via LS least square MC simulation

[deleted] sorry my bad, code bug
by kelang
May 29th, 2014, 2:09 pm
Forum: Technical Forum
Topic: Errors in Hagan's papers on LGM
Replies: 2
Views: 4929

Errors in Hagan's papers on LGM

<t>QuoteOriginally posted by: newbankerIn the paper "Evaluating and Hedging swap instruments via LGM", on page 14, displayed equation (5.6), there appears to be a typographicalerror in passing from the second integral to the third. Instead of the square of the differences [$](H_i-H_0)^2[$], there sh...
by kelang
May 24th, 2014, 3:35 pm
Forum: Technical Forum
Topic: question about shifted-BGM...
Replies: 3
Views: 4881

question about shifted-BGM...

<t>QuoteOriginally posted by: BenjGWhy do you need the volatility to be a function of time ? If you consider a shifted BGM, then the forward follows a shifted LN diffusion where vol is a constant (possibly a term structure).I don't see why you need this functional vol(t)=h(t)*g(T-t) ?Benthanks, appa...
by kelang
May 22nd, 2014, 6:06 pm
Forum: Technical Forum
Topic: question about shifted-BGM...
Replies: 3
Views: 4881

question about shifted-BGM...

<t>Hi all,May I ask a question on the calibration of a shifted BGM model? To keep it simple, the model is assumed to be the following (which is equivalent to Dr. Piterbarg's when ignoring the stoc-vol component)dF(t)=(...)dt+vol*(F+shift)dW, where F is the forward rate, and the volatility is decompo...
by kelang
February 3rd, 2014, 5:09 pm
Forum: Technical Forum
Topic: question about libor-market-model
Replies: 2
Views: 5755

question about libor-market-model

<t>QuoteOriginally posted by: piterbargin b) your exercise decision at T is based on the realized values of future cashflows, i.e. the information that is not available at time T but will be revealed later. That's why the value is different (and wrong). You have to base your exercise decisions at T ...
by kelang
February 3rd, 2014, 2:21 pm
Forum: Technical Forum
Topic: question about libor-market-model
Replies: 2
Views: 5755

question about libor-market-model

<t>Hi All,I am puzzled with one simulation question under libor-market-model. Could anyone share some intuition on this? I might be very stupid to miss something...Suppose the model has been calibrated successfully under spot-rolling numeraire, now I would like to double check simple European swapti...
by kelang
March 12th, 2013, 3:41 pm
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 13775

bloomberg FX stoc local vol model

<t>QuoteOriginally posted by: CuchulainnQuotePlus, we can do multi-threading as well when solving 2D pde which saves a bit time (I didn't manage to save half time for 2 cores, but still faster than 1 core). What speedup do you expect? A single 2D PDE/FDM is hard to parallelise I have found. Lots of ...
by kelang
March 12th, 2013, 2:02 pm
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 13775

bloomberg FX stoc local vol model

<t>QuoteOriginally posted by: woodsdevilI presume you need to calibrate the full local stoch vol model for each iteration though, which involves solving the forward 2D PDE for each iteration. So if you have say 4 iterations per maturity, and about 5 buckets (up to 2Y) then it means having to calibra...
by kelang
March 6th, 2013, 8:43 pm
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 13775

bloomberg FX stoc local vol model

<t>in a bootstrap fashion, for each maturity, search for the volVol and corr to minimize the roughness of the leverage surface using LM minimization methodQuoteOriginally posted by: woodsdevilDo you know how they actually do the calibration of the term-structure max oV and correlation ? Brute force,...
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