<t>Dartmoor,Do you have any examples of GMM approach or KF? Trying to use SSF approach based on Zivot to model spread but getting strange results for sigma. (see attached).Would appreciate help.Thanks,#Load modulesmodule(finmetrics)vasicek.ssf = function(param, tau=NULL, freq=1/252){#Zivot, Wang and...

<t>You could use the Reuters DEX API to retrieve the TIC data and use the objects update event. You may need to change the service but the default is usually IDN. (see attached).VBA:' Tools, References, to DEX 1.0 Type Library.Private WithEvents DexInstrument As DEXLib.MrvInstrumentPrivate iRIC As I...

They are the regular quotes and not the Auto quotes.The settlements for the March expiry match.

Will convert market rates to continuous and retry. . .

<r>Thanks Erstwhile.I have experimented using both the ATM options and the Futures and generally found that the range on the value generated from the futures is approximately 10% wider with a similar mean. (see attached .xls file). With the options I basically use the methodology in the VIX White Pa...

<t>I am trying to perform analytics on any Index Option.I currently use the ATM options to generate a theoretical future value and then calculate the index dividend yield from this. The problem here is that the calculated yield fluctuates widely throughout the day. (eg. Current yield for the FTSE 10...