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.

Shifted Lognormal with lower bound = max storage cost?

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...

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?