<t>The text books always say that XML web services are suited for interfacing one system versus an external one and for internal use. However the ease of deployment using .NET means that even an 'excel jockey' could easily call a web service (especially under Visual Studio 2005). I agree that XML im...

<t>Just in the process of programming a calculator for the payment schedule for interest rate swaps. What I'm not sure about is the typical method of determining the payment dates, is it by counting back from the end date or counting forward from the start date. Fincad seems to do it by counting bac...

Started taking a good look at quantlib for a new project and it looks great. The lack of credit derivatives looks like a big gap, anyone know of any plans to include credit derivs and the timeframe.tks

<t>glipman raises some good points - IFRS2 is less specific about models than FAS123 and any model could be either invalid or vaid depending on the circumstances (FAS 123 allows for the use of BS but states a preference a lattice model).biggest problem as I see it for a lot of models (including HW20...

<r>Black Scholes is in general a very poor model for ESO's as it fails to take into account the unique aspects of an ESO (most of which reduce the option value and thus the option expense). We have developed a trinomial lattice implementation of the Hull & White 2004 model which reduces option e...

<t>Interesting problem. My thoughts are that there are two volatilities one for determining the grant size and one for the option value (as the payoff is not based on the average of 30days for the final day's price..). The option value vol should be 30%. For the grant size, have you considered the v...

<t>Sure do disagree, its pretty much the same explanation as FAS uses which runs along the lines of "both parties agree what the ESO compensation would be on the grant date and that is therefore the value of the services rendered and cost incurred". But the historic value of an option is pretty irre...

<t>Regarding revaluing ESO's. The key issue as I see it is that the expense is unknown at the time of the grant. The actual cost to the firm is the share price upon exercise less the strike (ie the opportunity cost of the new issue) . The problem for options is that the expense is incurred at the gr...

<t>One thing I forgot to mention in my previous post is that you don't need to value a reload option if all you are trying to do is come up with a value which complies with FAS 123. FAS 123 requires you to ignore the reload feature of an option and if a reload occurs treat it as a new option grant.o...

Apologies exotiq, you're right there is still a column for the adjusted stock price.

<t>Just saw this thread. You might check out ESOmanager which I'm just in the process on completing (a few bugs but nothing major). I features a customised lattice in line with the proposals of FAS 123 which reduces the value of the option versus BS. There's a lot of online help so it should be a us...

<t>Looking for a cheap efficient supplier of historic vol's on stocks. Don't need any other data - just the vols. Looked around at some historic stock price data providers (such as yahoo finance webscrapers etc) to get the data series and then calcuate the vol, but often the stock price is not adjus...

<t>The change looks more evolutionary than revolutionary. Stability, security and performance were the primary motivator. Also developers now have access to API's governing the phone functions.For myself I like the integration with VS 2005 (due out at the end of the year) best. Integration with VS20...

<t>I assume you mean implied probabilities of exercise (ie probability the option will end in the money). If that's the case you are indeed looking at N(d2). This is what the whole field of structural models of credit risk are founded on (KMV for example uses d2 but applies a proprietary distributio...

<t>Wondering how everyone here would explain the long end of the US curve. Flattening due to technical factors like demand for long dated assets to match pension fund liabilities or is it a comment on the slowing US economy and an increased probability of a recession. Personally I dislike theories w...