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by berege
October 28th, 2020, 10:34 pm
Forum: General Forum
Topic: Illiquid swaption implied vol calculation
Replies: 4
Views: 1236

Re: Illiquid swaption implied vol calculation

After all these years, I'd be keen to hear any suggestion on this. Thanks
by berege
January 16th, 2017, 1:13 am
Forum: General Forum
Topic: Illiquid swaption implied vol calculation
Replies: 4
Views: 1236

Re: Illiquid swaption implied vol calculation

Thanks doublebarrier2000. Would appreciate if you could elaborate a bit more in terms of any specific method or widely used ballpark calculation for joint calibration.
by berege
December 27th, 2016, 10:54 pm
Forum: General Forum
Topic: Illiquid swaption implied vol calculation
Replies: 4
Views: 1236

Illiquid swaption implied vol calculation

Hey friends, In Turkish Lira, TRY swaps are traded every once in a while but you rarely see some go ahead and pay fixed 2Y TRY vs receive float 3M TRLIBOR ( or vice versa) hence, TRY swaptions aren't liquid. Most of the activity is done via XCCY swaps, which in turn results in the derivatives to be ...
by berege
July 28th, 2016, 10:22 pm
Forum: Technical Forum
Topic: Smile/ Adjusted Vega
Replies: 1
Views: 591

Smile/ Adjusted Vega

Hi friends,  Especially in the past 3 years or so, FX options market has almost invariably adopted to use smile vega for the spreads and RR trades. Some call this Smile Vega, mostly brokers; some say Adapted Vega as Giles Jewitt.  What I understand as Black Scholes vega is it's calculated using the ...
by berege
June 4th, 2016, 10:30 pm
Forum: Trading Forum
Topic: Negative Butterflies?
Replies: 25
Views: 39905

Negative Butterflies?

<t>I still havent found a satisfying answer to this phenomenon on having -ve BF for JPY crosses although I have spoken many traders and here is what my findings are.Majority of the answers focused on supply- demand on further OTM contracts, thus having 10D BF's being +ve whereas 25D's are -ve Having...
by berege
January 8th, 2016, 12:53 am
Forum: Trading Forum
Topic: Negative Butterflies?
Replies: 25
Views: 39905

Negative Butterflies?

hi Martinghoul, i actually confirmed today after i saw your reply here but i also checked it with another c/p and their 1Y 25D BF was around +1.2 for TRYJPY
by berege
January 4th, 2016, 1:06 am
Forum: Trading Forum
Topic: low delta option volatility extrapolation
Replies: 6
Views: 2744

low delta option volatility extrapolation

<r>thanks for the insights Alan. I will take a look at Gatheral's book. seems a bit out of my scope that task but good to know the methodology and appreciate your guidance. if ever i manage to have this done, the other problem i will face is to how to have those low delta marked to market at the end...
by berege
January 3rd, 2016, 10:29 pm
Forum: Trading Forum
Topic: low delta option volatility extrapolation
Replies: 6
Views: 2744

low delta option volatility extrapolation

<t>I have ATM and 25D USD Call always in my surface. so that is 2. depending on the day, broker market also has strike specific contracts- 1 or 2 depending on the day. also i have access to other market-maker's surface through their platforms as well as through Bloomberg's OVDV page, mid-market leve...
by berege
January 3rd, 2016, 12:50 am
Forum: Trading Forum
Topic: Negative Butterflies?
Replies: 25
Views: 39905

Negative Butterflies?

<t>I am also wondering about the negative butterflies explanation. As per two screenshots, I know their existence on TRYJPY and ZARJPY currencies and the volatility run is as of 21st of December 2015 for both currencies. What is interesting to me is that starting with 1 year, 25D BFLY turn negative ...
by berege
January 2nd, 2016, 10:48 pm
Forum: Trading Forum
Topic: low delta option volatility extrapolation
Replies: 6
Views: 2744

low delta option volatility extrapolation

<t>Thanks for the Gatheral's method Alan. I looked at the paper and presentations as well as some thesis that focused on the methodology. However since i am not a quant unfortunately after certain point I am lost. When I finished reading the paper, I understand that raw SVI parameterization equates ...
by berege
January 2nd, 2016, 1:23 am
Forum: Trading Forum
Topic: low delta option volatility extrapolation
Replies: 6
Views: 2744

low delta option volatility extrapolation

<t>hi friends, i have been a constant beneficiary of the forum yet havent found a chance to open a topic. till now. first days of 2016, and that is my first topic. i apologise if that is already opened and discussed but not been able to locate anything on the matter. I am interested in finding a met...
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