I think the bottom number is for the previous seven days. The top number is closer to the total ... sometimes.

<r>Hello. I'm a little late to the party, but I found a CodePlex project that emulates the Bloomberg API for you. I tried it out with my Bloomberg account, and the results look the same. My Bloomberg requests work with the CodePlex project. The data is fake though, but you can use this for developme...

<t>I think we are taking two approaches to calculating P&L effects. I am using a revaluation-based approach that changes the inputs to the option valuation equation and sees what happens. My P&L-Delta calculation is this:1) P&L-Delta = [BS(spot2, etc) - BS(spot1, etc)] * quantity * multi...

<t>In your equation, is "c_I dI" the partial derivative of the change in the option price with respect to the change in the implied volatility? If so, isn't that just the vega? And if so, then is your substitution simply a disaggregation of vega into a time component and a moneyness component? I can...

<t>I have a portfolio of equities and equity options and I am working on a P&L attribution report using revaluation. I am having trouble calculating the implied volatility part of the P&L. I would like my model to account for Day1's volatility skew and movements in volatility skew from Day1 ...

<t>I got a little ahead of myself. I need to be able to solve for a strike given *any* delta, not just a delta of 0.5. For example, what is the closest strike price for a an option with a delta of 0.25? I'll have an implied volatility, a time-to-expiration, a risk-free rate, and an underlying stock ...

Maybe "fact" was too strong a word. The delta of vanilla ATM call options is about 0.5 (-0.5 for puts). I am setting the delta to exactly 0.5 and solving for the strike price. I'm simply asking if my method of solving for the strike price is a good one.

<r>I would like to find the at-the-money (ATM) strike price of a vanilla option given the underlying price, the implied volatility, the risk-free rate, the dividend yield, and the time-to-expiration of some option on the underlier. I think this is called the implied ATM Strike Price.My best solution...

Oops. I put this in the wrong forum. My apologies. I would delete this post if I knew how.

<r>I would like to find the at-the-money (ATM) strike price of a vanilla option given the underlying price, the implied volatility, the risk-free rate, the dividend yield, and the time-to-expiration of some option on the underlier. I think this is called the implied ATM Strike Price.My best solution...

<t>I am running code that values vanilla options using the binomial model with discrete dividends. I am not sure how to decide how many time steps to use in the grid. Are there some guidelines for this?I'm thinking that one guideline would be to set the number of time steps based on the time to opti...

<t>Do you have any idea why Settings is a singleton?I forgot to mention that one big reason I would need to change the settlement date is so that I can calculate a theta for an option. I am doing a simple numerical derivative to calculate the theta since the binomial, discrete dividend model is unab...

<t>I'm considering trying to find a way to run my QuantLib code in parallel, but it doesn't look straightforward. The Settings.instance().setEvaluationDate(date) call is the problem since Settings is a singleton. Unless all of my calls to my QuantLib valuation code use the same settlement date, I ca...

That did work for me! I changed the platform target to x86 and the target framework to ".Net Framework 4" and it worked. Thank you Luigi for your help. That QuantLib mailing list link you found really helped me out.

<r>SierpinskyJanitor,I'm working on coding pricing models for a risk system. We trade a lot of options here so I've been delving into option pricing models even though I'm not really a quant. I've been using Black-Scholes during my development, but I've hit a wall concerning dividends. Up to this po...