I agree with daveangel, and I would add that as far as I understand the currently accruing bond coupon may or may not be received upon conversion/put/call and that depends on the term sheet (screw clause?).

<t>Hi aankz,I'm not a theoretician so I give no guarantees on what I'm going to say, but I got this model running and the simulation is matching the market vanillas very well so I guess what I implemented is working. So,1> The t' described in the above local volatility formula is the time to maturit...

<t>Hi all,I've worked on this model for a while and I've seen quite some "instabilities", but I don't think it is a fundamental problem. As far as I can see, it's mostly related to the quality of the implied volatility surface. If you start from a good implied volatility surface, you get a good loca...

<t>Yes so it just means the method diverged (or your code is wrong). I can confirm I can get the same kind of results, depending on the option and method parameters. In particular the shape parameter and the number of nodes. If you can't see where your code is wrong, I would recommend you try changi...

<t>Hi Costeanu, Cuchulainn,I'm currently implementing the RBF method, and I may have a slightly better experience with it as what you mentioned,though I admitt it is not straightforward and I'm not sure yet if I can consider it as viable or not.I'm just beginning, but here is what I have observed ab...

<t>The local volatility definitely has to go down when the IR is stochastic and there is no correlation.You can already see that in Black model with Hull-White IR, for which the model volatility can be calculated exactly. So intuitively it sounds reasonable to expect the same will happen for the gen...

<t>>There are five parameters and five quotes so there should be an exact fit. I am taking into account the >"market butterfly".not necessarily. SVI is a parametric form, so it cannot necessarily fit any set of 5 points. From an other point of view, the system of equations for fitting the 5 points i...

<t>Yes, QuantLib also has an implementation of addins for open Calc, and it even has a Visual Studio solution.I tried it. Unfortunately, the QuantLib msvc solution is version vc7, and my msvc is vc8. It tried to convert from vc7 to vc8, but that failed. Then the building failed. I could try to creat...

<t>Hi,in order to write pricers portables between Windows and Linux, I am thinking of using OpenOffice Calc worksheets.And I need to write c++ based addins for interpolations, closed form, etc...There are some explanations on the OpenOffice wiki, but it is not readily applicable to math and finance....

<t>Late answer but anyway:you found the right answer, the parameter R(t) is used to recover exactly the initial yield curve.Indeed the sde dr(t) gives you r(t) in terms of R(t), and then you can calculate the zero coupon bond bythe affine formula P(t, T) = exp( A(t, T) - B(t, T) r(t) ),with A(t, T) ...