QuoteOriginally posted by: jcjc0602where does 1/360 of the integral come from ?thxThe density you are integrating over, i.e. 1/12*1/30 = 1/360

QuoteOriginally posted by: ZhuLiAnCheck against bump and revalue is ok?yes its okay.

<t>Anyone that have reported greeks (delta and vega buckets) for Bermudan swaptions (in LIBOR market model) that I can crosscheck mine with.e.g. the setup in the Andersen and Piterbarg book chapter 19, table 19.5. same as in the Andersen's Bermudan swaption paper, table 6(a) page 25http://papers.ssr...

F =@(x) Ralpha(x) +...((1-exp(-beta*xdata))./(beta*xdata))*(r - Ralpha(x))+...((sigma.^2)./(4*(beta.^3)*xdata).*((1-exp(-xdata)).^2));...[lamda,resnorm] = lsqnonlin(F,lamda0)

http://www.mfe.shidler.hawaii.edu/downl ... TheBSM.pdf

QuoteOriginally posted by: mjOK it's now available at Barnes and Noble with a 20% discount.awesome, just ordered a copy.

<t>QuoteOriginally posted by: CuchulainnYou're welcome. I look forward to any comments when we do a code review of this scheme. Assuming the uBLAS fundamental operations are efficient then it is a matter of using numerical analysis to build the algos on top of the uBLAS substrate, for example the CG...

Thanks!

Yes in seconds.I was to lazy and have something, Quantlib and Boost, slide 96

Is the uBLAS' LU decomposition know to be VERY slow?(My LU dec of a 500 by 500 matrix takes too long time)

QuoteOriginally posted by: mitis there part 3? i got part 1 2from: Link "Know Your Weapon Part 3 is in my new book Derivatives Models on Models"

When generating a Local vol surfaces (from implied vol) for structured products valuation. What commons ways are you using when testing the consistency of this generated Local Vol surface.

Check eq (40)It should beH = I - dt*(1-theta)*PG = I + dt*theta*PIt works for me, but I have to be careful how I choose M,N and the truncation

<r>The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX by Dilip B. Madan and Marc Yor <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1540816"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... id=1540816">http://papers.ssrn.com/sol3/papers.cfm?abstract_...