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by Dantas
September 18th, 2018, 4:58 pm
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 102
Views: 17223

Re: iv for all and all for iv

Oh Sorry I guess I was kind of rude . I figured you were been nice but I was wondering why the code had a good performance...
by Dantas
September 3rd, 2018, 4:21 pm
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 102
Views: 17223

Re: iv for all and all for iv

Impressive!
how so?
by Dantas
September 2nd, 2018, 9:39 pm
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 102
Views: 17223

Re: iv for all and all for iv

That`s the data set I`ve use. The first port I ran the code in Matlab and now I did it in C++ double Price = 100; double Strike = 150; double Volatility = 0.04; double Risk_Free = 0.00; double Dividends = 0; double Time = 1; double T_Vols = 1;   tol = 1.0e-29 ( used in the Bisection) BS Price = 9.00...
by Dantas
August 29th, 2018, 2:16 am
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 102
Views: 17223

Re: iv for all and all for iv

Just read this thread today and got

Volatility = 0.04
Opt_Price=9.01002030921698e-25
Implied_Volatilty =0.0400000003783122

using a biscetion with a smart initial bounds guess.
It converged using a tol 1e-30 after 24 steps
by Dantas
July 20th, 2018, 8:20 pm
Forum: Technical Forum
Topic: Local Volatility
Replies: 4
Views: 1594

Re: Local Volatility

It is common in option modeling to differentiate between diffusion or volatility time, and the forward period for the underlying. The instant you execute an option trade you are exposed to price movements in the underlying even though a spot trade in the underlying made at the same time hasn’t yet ...
by Dantas
July 19th, 2018, 2:16 pm
Forum: Technical Forum
Topic: Local Volatility
Replies: 4
Views: 1594

Re: Local Volatility

I mean if you have two different settlement calendars.  One for you Risk Free and another one for the Exchange which your underlying trades, the case for Brazil for instance.  so in your derivation the Time to maturity w.r.t to the forward might be different then the Time associate with the volatili...
by Dantas
January 23rd, 2018, 7:06 pm
Forum: Technical Forum
Topic: Local Volatility
Replies: 4
Views: 1594

Local Volatility

Did anyone derived the local volatility from implied volatilites using the spot prices in the moneyness?Also, using two different year fracs for Vol Days and Carry?
I´ve done it but its highly unstable even when I use a parametric model to fit the smile( Something like SVI...)
 
Thanks
by Dantas
July 8th, 2016, 12:47 pm
Forum: Student Forum
Topic: Pricing Barrier Options
Replies: 13
Views: 982

Pricing Barrier Options

<t>QuoteOriginally posted by: outrunI'm worried about the bigger picture, I would tell management something like this: * bank will make an easy profit on you (your company), you have no understanding what type of contract your trying to buy, how to price it,.. nor what you're letting yourself in wit...
by Dantas
July 7th, 2016, 4:19 pm
Forum: Student Forum
Topic: Pricing Barrier Options
Replies: 13
Views: 982

Pricing Barrier Options

Well, I'm still trying to figure it out. If you go on bloomberg and price it as a local vol you would get Black-Scholes Implied Vol of ~14% then if you changed it for the Black-Scholes of Finite Differences for the BS equation you would get a much higher implied Vol.
by Dantas
July 7th, 2016, 2:41 pm
Forum: Student Forum
Topic: Pricing Barrier Options
Replies: 13
Views: 982

Pricing Barrier Options

<t>QuoteOriginally posted by: bearishIn case of a single look, we usually refer to the product as a digital option rather than a barrier.I see, thanks. Nevertheless, the payoff would be exactly the same as a call spread - digital, correct? Regarding my initial question, does it make sense to price i...
by Dantas
July 7th, 2016, 11:37 am
Forum: Student Forum
Topic: Pricing Barrier Options
Replies: 13
Views: 982

Pricing Barrier Options

<t>QuoteOriginally posted by: frolloosA barrier option is not a simple callspread / digital - unless I am missing sth here. However a callspread / digital can be used as an upper bound, which is maybe why you think the prices are too low. I very much doubt banks would price barrier options systemati...
by Dantas
July 6th, 2016, 5:00 pm
Forum: Student Forum
Topic: Pricing Barrier Options
Replies: 13
Views: 982

Pricing Barrier Options

<t>Hi, today I was quoting couple of banks for an European Kock-out Barrier with a rebate on an Equity Index (Ibovespa)When I got some prices back I thought their bids were too low and started to look on individual Vols and check their assumptions.The lower bid "explanation" comes from the fact that...
by Dantas
February 10th, 2016, 1:24 pm
Forum: Student Forum
Topic: How MBS TBA is valued?
Replies: 1
Views: 1536

How MBS TBA is valued?

Take a look in Veronesi's book. I agree with you that it's difficult to find information on how price it however it is a bit more complicated than you think. On top of the fixed income tools you need data on defaults and prepayments.
by Dantas
September 12th, 2015, 4:54 am
Forum: Economics Forum
Topic: USDBRL
Replies: 3
Views: 24813

USDBRL

Local players are long USDBRL. If you want to short Buy some ATMS puts because the Forward makes them really cheap
GZIP: On