I use Reuters Kobra and I've successfully used the AdfinX libraries in VB which come for free with Kobra. There is a C++ version of the libraries but I haven't had the time to try and use them. I'd talk to someone at Reuters

<t>For GBP/JPY try GBPJPYVOL in Reuters.The interbank silver market is small and my experience is that most broker/bank Reuters pages show wide and frequently out of date vols for silver. Silver options are traded on COMEX and you can pick up option premiums from Reuters (0#SI+) and convert them bac...

That's understood but my point was that you can instead use x.real(2.0) in the absence of Ty& real() and so there is no need to assign a new complex number.

<t>I'm not a C++ expert so maybe I'm missing something but I looked at the overloads for real(..) in complex<_Ty> and there are two (at least in VC++): _Ty real() _Ty real(const _Ty &right)The attached code produced the output:<1,1><2,2>and so it looks like I'm using member functions correctly. ...

QuoteBasically, I define a complex, and then want to re-asign its real and imaginary parts:complex<double> A(1,1); // assign real and im parts to 1.//Now I want to change the real and imaginary parts to 2, 2A.real() = 2; //errorThe correct syntax is A.real(2);lee

Many thanks, DCFC - I've just created my first ATL project and I'm already using a C++ class in VB. Thanks once again for your helpLee

<t>Hi - I know how to use a C++ function in VB but I am struggling to find good references on how I might use C++ class from VB. I suspect I need to use COM but that's about as far as I've got. I would be very grateful if a kind soul could point me in the direction of a good book, paper or webpage w...

<t>I'm not answering exactly the question you asked but the following paper may be of interest. It gives a detailed demonstration of how to calibrate a local vol model to observed European option vols.Andersen, L. B.G. and R. Brotherton-Ratcliffe (1998), The equity option volatilitysmile: an implici...

The Derman tells you a lot but I also found the following paper useful for getting a slightly different angle on vol swaps: "Towards a theory of Volatiliy Trading", Peter Carr & Dilip Madan

Is this a DNT which only comes into existance if a knock-in barrier is first touched? e.g. a 1.26/1.30 EUR/USD DNT which only exists if EURUSD trades 1.28 before the DNT expiry??? So if 1.28 trades then the DNT pays out if 1.26/1.30 does NOT trade FROM THE TIME THE EUR TRADED 1.28?

for sterling IR futures you can use the same strategy but use a 20 pence piece instead of a quarter.

<t>This option is commonly seen in the commodities. There are two parts to the question - what pricing equation to use and what rates to use in the equation.The pricing equation:As mghiggins pointed out the key is what you have left at expiry. For a normal option on spot on the expiry date the optio...

Many thanks, Anton.

Where do I find the Wystup article being referred to here? Many thanks