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by pcaspers
May 6th, 2020, 4:14 pm
Forum: Technical Forum
Topic: Zero Wide Collar Quotes
Replies: 0
Views: 538

Zero Wide Collar Quotes

There are zero wide collar quotes available on some broker screens. How much traded volume is behind them. And what are bid-ask spreads in this "market", if this exists at all? Talking about EUR here.
by pcaspers
April 22nd, 2020, 8:55 am
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 1030

Re: Negative forward futures prices

Shifted Lognormal with lower bound = max storage cost?
by pcaspers
March 29th, 2020, 3:12 pm
Forum: Technical Forum
Topic: Bloomberg Curve Stripping with IMM FRAs
Replies: 3
Views: 4387

Re: Bloomberg Curve Stripping with IMM FRAs

Hi Eric, I think I pretty much reproduced what they do. We are currently writing up a small note on this, I'll post a link here once this is done. In the meantime if you don't mind reading C++ code have a look here  https://github.com/lballabio/QuantLib/blob/master/test-suite/piecewiseyieldcurve.cpp...
by pcaspers
October 5th, 2019, 6:03 pm
Forum: Technical Forum
Topic: Z-Spread Conventions
Replies: 1
Views: 4623

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: 3706

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: 3
Views: 4387

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: 3706

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: 3326

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: 3326

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: 3
Views: 4387

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: 835

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: 17368

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: 17368

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: 1191

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: 618

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?
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