to make z-spreads comparable across several bonds it should use unique conventions I'd say

Thanks - so I guess I have to go through some more checks... it's the Wilmott Inner Circle after all! 

so to answer my own question (by reverse engineering): a) no - it's due to other details and conventions of their bootstrapping methodology

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?

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...

I'd say the time between today and the publication date measured w.r.t. the implied vol's day count convention (probably A365?).

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...

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.

<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...

here is one pointer

<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...

What is the intuition for the reversion speed in the Dodgson-Kainth Inflation Model? What are typical values occuring in the wild?

<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...

<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 ...

<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...