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by andreikeda
June 2nd, 2008, 4:27 pm
Forum: Student Forum
Topic: FX Options: strike price from deltas
Replies: 3
Views: 54033

FX Options: strike price from deltas

Thank you very much!!!Now it's much clearer.
by andreikeda
May 29th, 2008, 8:01 pm
Forum: Student Forum
Topic: FX Options: strike price from deltas
Replies: 3
Views: 54033

FX Options: strike price from deltas

<t>And another question I have is how to get the correct F value.I have the discount factors for both currencies in the maturities.I suppose I should get the value for for both currencies and then divide one by the other. With that and the spot value of the currency par I can get the future.The only...
by andreikeda
May 29th, 2008, 12:11 pm
Forum: Student Forum
Topic: FX Options: strike price from deltas
Replies: 3
Views: 54033

FX Options: strike price from deltas

<r>I'm currently studying models for fx options and how to get option prices from quotes with this paper <URL url="http://www.math.nyu.edu/research/carrp/papers/pdf/currencyov_CU1.pdfIn"><LINK_TEXT text="http://www.math.nyu.edu/research/carrp/ ... _CU1.pdfIn">http://www.math.nyu.edu/research/carrp/p...
by andreikeda
May 26th, 2008, 6:30 pm
Forum: Student Forum
Topic: Maturity dates from tenors
Replies: 1
Views: 53828

Maturity dates from tenors

<t>Hi folks,I'm having a small problem to get the exact maturity dates from tenors in my libor curve.I have data from reuters, co-relating the tenor, the yiled and the discount factor.Today: 05/23/2008Tenor Yield Discount1M 2.4446 0.99749551Y 2.8742 0.979210310Y 4.5924 0.6377912I need the maturities...
by andreikeda
May 7th, 2008, 11:48 am
Forum: Technical Forum
Topic: Risk reversal and Butterfly by Delta
Replies: 9
Views: 66850

Risk reversal and Butterfly by Delta

sorry for the extra messages
by andreikeda
May 7th, 2008, 11:48 am
Forum: Technical Forum
Topic: Risk reversal and Butterfly by Delta
Replies: 9
Views: 66850

Risk reversal and Butterfly by Delta

<t>I'm also having problems to get optinons vol in the Fx market.As fas as I know we can get them by using:RR = vol call - vol putstrangle = (vol call + voll put)/2 - atm volWich translates into:vol call = atm + str + .5*rrvol put = atm + str -.5*rrBut those formulas don't bring me good results.Mayb...
by andreikeda
May 7th, 2008, 11:47 am
Forum: Technical Forum
Topic: Risk reversal and Butterfly by Delta
Replies: 9
Views: 66850

Risk reversal and Butterfly by Delta

<t>I'm also having problems to get optinons vol in the Fx market.As fas as I know we can get them by using:RR = vol call - vol putstrangle = (vol call + voll put)/2 - atm volWich translates into:vol call = atm + str + .5*rrvol put = atm + str -.5*rrBut those formulas don't bring me good results.Mayb...
by andreikeda
May 7th, 2008, 11:46 am
Forum: Technical Forum
Topic: Risk reversal and Butterfly by Delta
Replies: 9
Views: 66850

Risk reversal and Butterfly by Delta

<t>I'm also having problems to get optinons vol in the Fx market.As fas as I know we can get them by using:RR = vol call - vol putstrangle = (vol call + voll put)/2 - atm volWich translates into:vol call = atm + str + .5*rrvol put = atm + str -.5*rrBut those formulas don't bring me good results.Mayb...
by andreikeda
May 5th, 2008, 12:04 pm
Forum: Student Forum
Topic: PnL (P&L) calculation
Replies: 4
Views: 59975

PnL (P&L) calculation

Chengtie,I find myself exactly in the same position as yours.Any help in this topic is welcome.
by andreikeda
April 29th, 2008, 1:59 pm
Forum: Student Forum
Topic: Vol from Risk Reversal and Strangle
Replies: 4
Views: 57319

Vol from Risk Reversal and Strangle

Thanks for all the replies.Right now I don't have access to the data but I'll try it out and then return for a feedback.Regards
by andreikeda
April 29th, 2008, 1:59 pm
Forum: Student Forum
Topic: Vol from Risk Reversal and Strangle
Replies: 4
Views: 57319

Vol from Risk Reversal and Strangle

Thanks for all the replies.Right now I don't have access to the data but I'll try it out and then return for a feedback.Regards
by andreikeda
April 29th, 2008, 12:32 pm
Forum: Student Forum
Topic: Implied Volatilty Calculation
Replies: 10
Views: 56771

Implied Volatilty Calculation

Yes, to calculate implied volatility, using the Black-Scholes method, you need:implied volatility (price of the option, strike price, spot price, time to matturity, interest rate)
by andreikeda
April 28th, 2008, 6:59 pm
Forum: Student Forum
Topic: Vol from Risk Reversal and Strangle
Replies: 4
Views: 57319

Vol from Risk Reversal and Strangle

<t>Hi everybody,I'm trying to calculate the vols for 25 delta option puts and calls.I can get the values for the strangle and risk reversal, that are 0.65 and 2.5 respectively.Based on those values I use the formulas for RR and strangle, that are:RR = VOLput - VOLcallSRT = ( VOLcall + VOLput )/2But ...
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