SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by pcaspers
October 5th, 2019, 6:03 pm
Forum: Technical Forum
Topic: Z-Spread Conventions
Replies: 1
Views: 2478

Re: Z-Spread Conventions

to make z-spreads comparable across several bonds it should use unique conventions I'd say
by pcaspers
October 3rd, 2019, 4:55 pm
Forum: General Forum
Topic: Inner Circle
Replies: 6
Views: 1719

Re: Inner Circle

Thanks - so I guess I have to go through some more checks... it's the Wilmott Inner Circle after all! 
by pcaspers
October 3rd, 2019, 11:34 am
Forum: Technical Forum
Topic: Bloomberg Curve Stripping with IMM FRAs
Replies: 1
Views: 1175

Re: Bloomberg Curve Stripping with IMM FRAs

so to answer my own question (by reverse engineering): a) no - it's due to other details and conventions of their bootstrapping methodology
by pcaspers
October 3rd, 2019, 11:32 am
Forum: General Forum
Topic: Inner Circle
Replies: 6
Views: 1719

Inner Circle

So honestly I don't like the idea of the "inner circle" and don't get what this is really good for... still I want to have access to some of the articles there. Now I don't seem to qualify for becoming a member of that circle thing - is it transparent what you have to do or be to be accepted?
by pcaspers
October 3rd, 2019, 11:30 am
Forum: Technical Forum
Topic: Inflation cap/floor expiry time
Replies: 5
Views: 1386

Re: Inflation cap/floor expiry time

Of course you can absorb different way to measure the time to expiry in the implied volatility, but as a minimum requirement the time to expiry needs to go to zero when you move towards the fixing publication date when the payoff gets deterministic. I wouldn't spend too much time trying to reverse e...
by pcaspers
September 27th, 2019, 6:46 pm
Forum: Technical Forum
Topic: Inflation cap/floor expiry time
Replies: 5
Views: 1386

Re: Inflation cap/floor expiry time

I'd say the time between today and the publication date measured w.r.t. the implied vol's day count convention (probably A365?).
by pcaspers
September 24th, 2019, 9:57 am
Forum: Technical Forum
Topic: Bloomberg Curve Stripping with IMM FRAs
Replies: 1
Views: 1175

Bloomberg Curve Stripping with IMM FRAs

Hey guys,  I am trying to reproduce Bloomberg's Zero Rates for curves like S45 (Euribor 6M) and others. They have a (quite interesting!) smoothing scheme documented when serial FRAs are part of the curve (as in the EUR case) which I am able to verify very closely.  I am not matching those curves wit...
by pcaspers
December 12th, 2018, 8:29 pm
Forum: General Forum
Topic: CVA models
Replies: 4
Views: 573

Re: CVA models

Here is the project, there are a few extension modules we sell on top. Also happy to help with integration / building proprietary extensions. Feel free to contact me if of any interest.
by pcaspers
June 22nd, 2016, 5:23 am
Forum: Programming and Software Forum
Topic: Using Quantlib
Replies: 181
Views: 16170

Using Quantlib

<t>look in the test suite for american option pricing, there is an (equity) example; there are also lots of examples in the market model tests (but they are actually using different classes for LS); and there will be more, I am sure, maybe just grep McLongstaffSchwartzEngine or LongstaffSchwartzPath...
by pcaspers
June 20th, 2016, 5:25 pm
Forum: Programming and Software Forum
Topic: Using Quantlib
Replies: 181
Views: 16170

Using Quantlib

here is one pointer
by pcaspers
June 20th, 2016, 4:58 am
Forum: Book And Research Paper Forum
Topic: Brexit implied PDFs - paper
Replies: 4
Views: 860

Brexit implied PDFs - paper

<t>Very interesting. I'd be interested in how you derive a continuous smile from the 5 given points +-25D, +-10D and ATM, I suppose there is some model fitted in between (sorry if I missed this in the paper). And if so, how much detail of the implied density is really coming from the market data and...
by pcaspers
June 2nd, 2016, 6:14 pm
Forum: Technical Forum
Topic: Dodgson Kainth Reversion Speed
Replies: 0
Views: 556

Dodgson Kainth Reversion Speed

What is the intuition for the reversion speed in the Dodgson-Kainth Inflation Model? What are typical values occuring in the wild?
by pcaspers
May 23rd, 2016, 6:12 pm
Forum: General Forum
Topic: Creating a "Normal Swaption Volatility Cube" using multiple data sources
Replies: 1
Views: 715

Creating a "Normal Swaption Volatility Cube" using multiple data sources

<t>Not sure if I got the question, but if you have different Forwards from different providers for some reason (different timestamps, different underlying curve constructions) I would map each vol quote to ATM + spread, where ATM is the forward level from the same provider. After that you can work w...
by pcaspers
April 30th, 2016, 6:18 pm
Forum: Technical Forum
Topic: Choice of LMM skew function
Replies: 1
Views: 898

Choice of LMM skew function

<t>You want to multiply [$]\sigma(t)[$] with a mixture of a constant and [$]L(t)[$] to produce something between a flat smile and a skew. Since the scale does not matter, [$]\alpha L(0) + (1-\alpha) L(t)[$] is a clever choice because this factor is always in the order of magnitude of the Libor rate ...
by pcaspers
April 17th, 2016, 2:58 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 830
Views: 72445

Breakthrough in the theory of stochastic differential equations and their simulation

<t>QuoteOriginally posted by: CuchulainnQuoteperfect precision There is no such thing as perfect precision in (numerical) mathematics. Accuracy is a polynomial function of dt based on continuity of the unknown exact solution. Which is what @list has also said, when I look at it. Is convergence monot...
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