<t>QuoteOriginally posted by: tatanaHello,I want to simulate a hedge fund but I do not know which is the distribution that best fit it. Could anybody help me whith this?Does anybody know an article where I can find information about this?Thanks.tatana,Well, you haven't made it very clear what exactl...

<t>QuoteOriginally posted by: Gusakwell, in theory you should use digitals for that. no idea what is done by traders.the first point:It really depends on a smile at hit. Let's, for example, assume a symmetric smile there.so, you are long a no touch already,now,Go long N (notional) in spot,and short ...

<t>Hear are a few for Forex that I use that are free:This first one was mentioned but I thought I would give the direct link,there are also other types of data at this site including live(real time) data feeds free.DukascopyHere is a downloader for the site above that is free fromWorkSmartsThis one ...

Article on hedging Exotics - Digitals

<t>QuoteOriginally posted by: GraemeI think by touch parity (!) one touch + no touch = cash (if it is a cash or nothing) or spot (if it is a asset or nothing). So any discussion on this will essentially be the miror of the hedging arguments for one touch options - which is fairly well advanced.Well ...

<t>Hopefully this will start the conversation off:1. Use a close to the barrier tight vanilla bull call spread...2. Use a european digital Call3. Use a European Vanilla Call4. I've seen other ways using a group of Calls and buying Forward once the barrier is hit discussed in research papers, alas I'...

<t>Hi All,Lets say I purchase a 30 day "No Touch" American Digital from one of the great quants that frequent this board.Currency:______ Eur/UsdStart Date:_____ 06/04/04Expiration:_____ 06/11/04Spot price:_____ 1.2286Barrier:________ 1.2400Cost:__________ $5526.00 USD (Ouch they gouged me again) (Ac...

<t>QuoteOriginally posted by: ametrano> > You would think that some one would have some of these Quantlib examples and test-suite items already compiled for> people to download and try out.No: QuantLib is aimed to C++ developers which are supposed to be able to compile, link, and run C++ code.My sug...

<t>QuoteOriginally posted by: silversideCan't see anything obvious - maybe try linking with another compiler? Warnings cam generally be ignored, if you are happy that they won't stop the program working - but it does seem like there is something else wrong. If you build a 'debug' .exe it should allo...

<t>QuoteOriginally posted by: silversideI am not familiar with the compiler you are using, but post up some of the errors and I might be able to guess what is wrong.silverside,Here is a list of the errors below that I got when trying to compile americanoption.cpp which I found in the "Examples" file...

<t>QuoteOriginally posted by: silversideIf you have the quantlib .lib compiled you are most of the way there. what you now need to do is set up a c++ exe that links into quantlib using the .lib file you have used. You will be linking into a function in one of the .h files exposed by the quantlib int...

<t>Hi All,I was originally going to use Scilab but cannot find a toolbox for it to price american digitals.I have switched to Quantlib, I downloaded Quantlib and Borland C++ to compile it. After much travail I got the Quantlib.lib compiled. Since then, I have not been able to compile anything else. ...

<t>QuoteOriginally posted by: Noniusthat is a great name for a story.....but, let us make it..."Lost in the world of Planet Quant."Nonius,Yes, adding "Planet" would have been a good touch Say Hi to your friend FDAXHunter, I wrote him/her a couple of times and got useful information. Alas FDAX is no ...

<t>QuoteOriginally posted by: Baltazarhy,scilab and matlab are supposed to be compatible,therefore look for matlab toolboxes for pricing.however some matlab toolboxes require to be compiled in C,if scilab works as matlab (i haven't tested), you just need to download a compiler (C, no C++ I think), a...

Hi,I noticed the thread below earlier regarding the BL Model, maybe some of the info there will help.BL Model