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by calculator
September 27th, 2007, 6:38 am
Forum: Numerical Methods Forum
Topic: g2++ swaption formula
Replies: 21
Views: 121942

g2++ swaption formula

Hello,Could anyone help me on this problem:Where does the difference between G2++ analytical and G2++ tree pricing of swaptions (QuantLib) come from ?(difference around 10-15 bp)Thanks a lot.
by calculator
September 6th, 2007, 1:58 pm
Forum: Numerical Methods Forum
Topic: g2++ swaption formula
Replies: 21
Views: 121942

g2++ swaption formula

Actually, my goal is to validate a two factor model Tree by first pricing vanilla instruments.If these instruments can not be replicated accurately by the Tree, the quality of it can be doubtful. Thx.
by calculator
September 6th, 2007, 6:05 am
Forum: Numerical Methods Forum
Topic: g2++ swaption formula
Replies: 21
Views: 121942

g2++ swaption formula

<t>Hi,Concerning the pricing of swaptions using G2 analytical formula's and pricing numerically in a G2-2 dimensional tree (x,y,t) taken from QuantLib, the gap between prices (analytic - numeric) is around 10-15 bp in average on a set of coterminal ATM swaptions 10Y.With a HullWhite 1 Factor Tree, t...
by calculator
September 6th, 2007, 6:05 am
Forum: Numerical Methods Forum
Topic: g2++ swaption formula
Replies: 21
Views: 121942

g2++ swaption formula

<t>Hi,Concerning the pricing of swaptions using G2 analytical formula's and pricing numerically in a G2-2 dimensional tree (x,y,t) taken from QuantLib, the gap between prices (analytic - numeric) is around 10-15 bp in average on a set of coterminal ATM swaptions 10Y.With a HullWhite 1 Factor Tree, t...
by calculator
September 6th, 2006, 9:02 pm
Forum: Programming and Software Forum
Topic: Quantlib and Unix
Replies: 2
Views: 94131

Quantlib and Unix

We try to compile quantlib in an Unix environment. It looks more difficult than in the windows one in which it is straight forward. Do you have any recommandation/help ?RegardsC
by calculator
March 27th, 2006, 6:32 am
Forum: Technical Forum
Topic: Cap and Floor Vol Interpolation
Replies: 12
Views: 118577

Cap and Floor Vol Interpolation

<t>Mutley, Doublebarrier,If I understand well, there are two proposals :* interpolation on cap price along a strike* interpolation on caplet variance (forward-forward volatility) along a strikeI have several questions :* do you first clean your inputs from the broker market ? how is it done ?* do yo...
by calculator
January 5th, 2006, 7:48 pm
Forum: Technical Forum
Topic: How do I price a cancellable range accrual?
Replies: 34
Views: 212261

How do I price a cancellable range accrual?

In the early stage of the discussion you mention Cheyette and Ritchken models. Do you recommend any particular papers covering the practical aspects of the implementation of those models. RegardsC
by calculator
April 14th, 2005, 7:16 am
Forum: Programming and Software Forum
Topic: Create XLL (for Excel 2000) from DLL (Studio .Net)
Replies: 4
Views: 155708

Create XLL (for Excel 2000) from DLL (Studio .Net)

<t>Hello,I am writing C++ code in Studio .Net and have created a DLL.Now, I would like to convert it into a XLL, so I can use the add-in functionality of Excel to get the C++ functions in Excel 2000.Can someone bring me some information to do it easily? What are the specific declarations for that? H...
by calculator
March 18th, 2005, 6:24 am
Forum: Programming and Software Forum
Topic: QuantLib
Replies: 13
Views: 158918

QuantLib

<t>Sorry to bother you for a basic question.I just download quantlib and try to compile the project (I am not a C++ specialist).I use Microsoft Visual C++ 6.0.I open Quantlib.dsw.I go to Build - Rebuild AllI get the error message : c:\...\ql\qldefines.hpp(26) : fatal error C1083 : cannot open includ...
by calculator
March 1st, 2005, 2:15 pm
Forum: Technical Forum
Topic: Calibration Hull White: caps or swaptions
Replies: 9
Views: 165661

Calibration Hull White: caps or swaptions

<t>I first best-fit on the calibration basket to get (a,s) constant and then keep a to bootstrap and to get s(i).When I do that for a one-factor model and when I consider short-term underlying (6m in case of a caplet for example) the quality of the best-fit is poor and the graph of s(i) looks errati...
by calculator
December 27th, 2004, 5:54 am
Forum: Student Forum
Topic: Hull White Calibration
Replies: 25
Views: 197862

Hull White Calibration

<t>Hi domilar04,The value Jmax=0.184/(a*dt) is calculated so that you can switch from a "(up/stable, down) configuration" to a "(stable, one up/down, two up/down) configuration" and still getting positive probability of transition. It is important to switch as quick as possible to that configuration...
by calculator
December 15th, 2004, 6:44 pm
Forum: Technical Forum
Topic: Caplet Vols
Replies: 4
Views: 171939

Caplet Vols

If I understand well, you allow jumps in the slopes at the nodes. Are you not facing rpoblems when you price digital options (price = Nd2+vega*slope) ?RegardsCalculator
by calculator
December 15th, 2004, 6:36 pm
Forum: Numerical Methods Forum
Topic: brownian bridge
Replies: 3
Views: 172538

brownian bridge

<t>I wonder if it exists extension of the brownian bridge technics covering :a) multi-assetb) probability to stay in a range for a single assetFor a) I am currently trying the following idea : simulate correlated assets on long time steps and then I consider that the ways they reach the final point ...
by calculator
November 16th, 2004, 7:39 am
Forum: Technical Forum
Topic: Implementing HJM
Replies: 9
Views: 172548

Implementing HJM

Any paper on a implementation using lattice ?
by calculator
July 13th, 2004, 9:46 am
Forum: Technical Forum
Topic: Volatility in lattice
Replies: 1
Views: 182398

Volatility in lattice

We have a lattice model for HJM 1 factor. We want to check the volatility in the tree. We try :E (r^2) - E(r)^2 with expectation including discount factor.We compare that result to DF^2 * F^2 * vol^2 * tbut both results are different. Why ?RegardsC