PaperCut & JohnLaw,PM me, and we'll talk on numerix librairies. Regards.

I'm going to try it this sunday. I'll let you know my feeling about it.Regards.

Thanks Alan !I'll post it tomorrow when I'll get the informations needed from Bloomberg.Regards.

So, apine & alan, from your experience it's not practically possible for a call & a put with same strike and expiry to have different implied volatilities ?

<t>I do agree with you, tibbar & apine, from a theoritical point of view. But I came to this question, when looking at listed options traded on the DJ EuroStoxx 50 index. I observed that for a put and a call with the same expiry & the same strike, the implied volatility was different (using ...

<t>Hello,Since, in the equity world, the implied volatility is different for a call than for a put (same strike), I was wondering if one should have a call implied volatility surface to calibrate to when it's for pricing an exotic call option (the same holding for a put). Or is it possible from both...

Hi Money,Could you send me the Risk paper by Bergomi ?My email address is zzbool@yahoo.frThanks in advance !!Regards.

<t>Roman,another attempt of Contract definition language which has been successful and perhaps more robust than LeXiFi, is the ADEP language developped by Reech which focuses on three building blocks :- instrument definition (payoff, dates, cash flow calendar, ...)- model definition (stochastic vola...

Steven Prata "C++ primer" is a superb work with everything you need, Eckel's books are very good as well.

try Numerix (very good software and very sound team of quants and developers), LeXiFi is another alternative.

It looks like a moutain range option (Everest type). Here's a link to a useful website : http://www.global-derivatives.com. Search for Everest.Regards.

<t>Hi erstwhile,could you describe in more depth how :- you can calculate the realised vol of realised vol from historical data- you can calculate implied vol of realised vol from the prices of options on volatility or varianceDo you have pdf papers or useful reference showing how to do this ?Thanks...

Hi,I'm currently looking for a way to convert the prices of CDX HY indices which are expressed in terms of bond prices to spreads (which you need to price the CDS on those index). Anyone could help me and explain how to do that ?I really need your help !Regards.

Hi huopainen,Would you kindly send me that Excel VBA code to estimate implied vol based on RR/butterflies/ATM broker quotes ?My email is zzbool@yahoo.frThanks a ton !!Regards,zzbool.