quantmeh can you kindly provide a link to DSL for numerical analysis algorithms? Thanks.

As far as I know Alan, most banks use SABR as an interpolation / extrapolation tool for the volatility cube rather than a proper model to explain interest rates dynamics.Regards.

PM me eribold. I think I can help you.Regards.

<t>Congratulations on your work Carol,I received the three volumes, it's simply amazing to have combined all those subjects without sacrifying all necessary mathematicals details and practical focus. The five year commitment on your side is really worthwhile for your readers."Chapeau bas".Regards. <...

I will look your papers Mark and I'll give you my feedback and comments.Regards.

PM me Hazim, I might be able to send you skew data on EUR & USD for swaptions & caps.Regards.

PM me Hazim, I might be able to send you skew data on EUR & USD for swaptions & caps.Regards.

pm me I'll send you some IB documents.Regards.

Hello,Have you installed Boost before running Quantlib ? Did you build the library ? Quantlib is not ready to use after you download the latest release from the sourceforge page, it needs some setup (Boost + building the library).Regards.

Try the ECM algorithm (ECM algorithm of Meng and Rubin with enhancements by Sexton and Swensen where ECM stands for Expectation Conditional Maximization).

<t>Alternatively, if you want to take into account the bid ask spread, you can use the mid-price of the option but accept a parameter set, where bid /ask are the bid/ask prices quoted on the market. This means that you will not require the model to match the mid exactly, but fall, on average, within...

This Justin London is a joke and so is its C++ book !!

Hello,by popular demand, here's the JPM pdf file on variance swap.Enjoy !