<r>QuoteOriginally posted by: rmeenaksEven better. Full matrix package for excel with source:Matrix 2.3 (<URL url="http://digilander.libero.it/foxes/SoftwareDownload.htm">http://digilander.libero.it/foxes/SoftwareDownload.htm</URL>)Cheers,RamHi, gents!Seems that this link is dead, could anyone provi...

It's just a simple Wiener process to simulate equity paths (pardon, I forgot to mention).

<t>I also have a basic question on MC.Trying to price a 3-year structured product with monthly payments. Have to simulate monthly data (daily is costly in terms of computational time), going to use Milstein. As far as I know, Milstein requires discrete timing with equal timesteps, however we have so...

Maybe I do something wrong, but when I differentiate by a,b,c I return to the initial equation in all three cases

Awwwwww...That's why I love this community - senior guys are always open-minded and ready to help noobies!Thank you very much, all three answers are very clear and useful. Went coding

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: skullxThank you, but it seems a little bit hard for me in terms of math. Maybe there are some tutorials? I just need an optimisation of 3 parameters over 8-12 data points, which is more than enough I think.There is indeed no point in fin...

Thank you, but it seems a little bit hard for me in terms of math. Maybe there are some tutorials? I just need an optimisation of 3 parameters over 8-12 data points, which is more than enough I think.

<t>Hello, I'm quite new in programming and also my maths are quite rusty. Could you please advise me on how can I fit a curve of type (a - 2*b*const1 + c * const2) on the fly using C++. I need it to refit on every market data change.I think least squares are not able to do this? Any advice on model ...

Much obliged!

Hello, comrades!As we know it's quite easy to make an initial implied volatility guess for ATM option through approximate price formula (0.4*sqrt(t)*vol). But how can I adopt this to use with non-ATM strikes?

Sorry, forgot to mention that current W 1 is 666 (more than 9% ITMF).

<t>Hello, and may you all have a good day. Last one before the weekend Just tried to price a simple digital call on wheat using BBG. Strike = current W 1 price, tenor = 3Y. Black model (the only one available there) gave me 49%, which seems to be complete bshit with forward price of 730.Could someon...

Thank you, Dave! Sorry for my lack of knowledge.As a starting point I decided to take this one from quantcodeAfter I succeed with it, I'll try to move calculations to C++ dll.

It isn't linear.

QuoteOriginally posted by: daveangelit is .. is a single independent variable ? alglib has an ols module in VBNo, it's a model vol smile VS market vol smile. And we're changing at least 4 params, which can be bounded.