HK 21.8bps round trip and I would add another 10 to 20bps for slippage.

<t>Hi all,It is fairly easy to understand that when you are long gamma at let say 30vol (black scholes implied vol on daily return) and if you hedge your delta generated from your gamma every day and the stock moves 2% a day then you make money.Now let?s imagine you are long gamma and you see the st...

Oh yeah, thank you !Now I really understand the meaning of this.Your help was precious.Godd afternoon,Daoud

Oh yeah, thank you !Now I really understand the meaning of this.Your help was precious.Godd afternoon,Daoud

<t>Hi again,Ive computed the difference between (Vol_Index)^2 and \Sum_{i=1}^N w_i^2 Vol_i^2 + 2 \Sum_{i=1}^N \sum_{j<i} w_i w_j Vol_i Vol_j \rho_{ij}.For the stock prices it matches perfectly and not for the returns as I mentionned before.But the error seems to be very acceptable (I run this with 1...

<t>Hi Everybody,The starting point for the dispersion is : Var(X+Y) = Var(X) + Var(Y) + 2 * covariance… (1) Index_Price = w1 * S1_Price + w2 * S2_Price (2) Thus(????) (Vol_Index)^2 = w1^2 * (Vol_Stock1)^2 + w2^2 * (Vol_Stock2)^2 + 2*w1*w2*covariance… (3) But to get a relation btw the vol of the inde...

Hi everybody,I need your help, in fact I'dlike to know how to replicate constant-mix strategy via selling options (a static replication) ? I understand what a constant mix strategy is but I can't get how to replicate it.Thank you for your help and have a nice day.Daoud

<t>Hi everybody !I just have a easy question.I have the values of a stocks each minute on a 3-month period.I suppose at the begining I'm delta neutral and I want to hegde each day (close to close).How can I calculate the price of the hedging strategy if only gamma and the mouvements of the stock are...

<t>Hi, I was just wondering something...What's the difference between continuous delta heging and doing it at discrte times ? Do we lose money doing this ? What is then the best way to decrease our loss ?Other question. Suppose that we are gamma long and we want to delta hedge and the stock has a po...

<t>Hey everyone !I'm a beginner with Quantlib and I tired to understand the example Equityoption.cpp but it is very very complicated.Does someone have a small program using quantlib that prices an european option with the B&S model. I'd like to learn a lot from this example.In fact how to create...

<t>I understand the different problems now.In fact, i had to add the path to the libraries (for example the quantlib file in .lib).However, when i exectued the boost setup i thought everything had been done but there was no folder "/boost/bost1.4.31/lib". I think during the execution of the setup, t...

<t>QuoteBTW Just out of curiosity, why are you using Vista?Cause i want ot use Visual, but in fact i hate using it.Concerning the installation of Quantlib, i can't make the examples work.I got this concerning the linking of quantlib :1>LINK : fatal error LNK1104: cannot open file 'QuantLib-vc80-mt-g...

<t>Okay it seems to be good with quantlib compilation.I'm compiling the other files : Swap, Repo, Replicant, etc...It compiles because at the end it says "sucess"How ever during the compilation, i've those line (a small part of all the lines):1>------ Début de la génération : Projet : testsuite, Con...

<t>QuoteNo its, not. This is a virus, control+alt+del now!!!Sorry but i'm not that dumb. It's just that i'm not used to use microsoft softwares and to program on windows (i've always learnt on linux...).But as i'm going to become soon a quant (i hope, as i'm doing the financial mathematics master in...

<t>QuoteNo its, not. This is a virus, control+alt+del now!!!Sorry but i'm not that dumb. It's just that i'm not used to use microsoft softwares and to program on windows (i've always learnt on linux...).But as i'm going to become soon a quant (i hope, as i'm doing the financial mathematics master in...