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by rockinsquat
June 4th, 2014, 12:25 pm
Forum: Technical Forum
Topic: FX cross volatility surface generation, again
Replies: 3
Views: 5600

FX cross volatility surface generation, again

<t>Already tested (with adaptive GK). Same result, but somehow tougher because GKA is quite bad for "peaked" densities that by the way have fat tails. (In which the densities values computations eat a LOT of time, btw.) Fat in the sense of "really slowly" decreasing towards 0 as K goes to 0 or [$]+\...
by rockinsquat
June 4th, 2014, 8:07 am
Forum: Technical Forum
Topic: FX cross volatility surface generation, again
Replies: 3
Views: 5600

FX cross volatility surface generation, again

<t>Hi all,I migrated this question here as I have explainded there, the question is finally not a numerical one. Nevertheless, I will restate all the stuff, to make the current question self-containded.I have a triangle of currencies : cur1-cur2 and cur1-cur3. I have all the implied volatility quota...
by rockinsquat
June 4th, 2014, 6:06 am
Forum: Numerical Methods Forum
Topic: Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue
Replies: 10
Views: 5921

Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue

<t>Actually, the problem was not the integration, but the bounds of integration. As it linked to implied densities, and finally not really a numerical problem (I tried trapezoidal 400 * trapezoidal 400, and also Riemann * Riemann) I will "migrate" my question in the technical forum, to give more det...
by rockinsquat
May 20th, 2014, 8:42 am
Forum: Numerical Methods Forum
Topic: Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue
Replies: 10
Views: 5921

Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue

When I ask what are the best 2D cubature formulas that are not "product" of 1D integration rules, the dimension D is 2.I'm by the way interested in quadrature formulas, not in monte carlo.
by rockinsquat
April 3rd, 2014, 8:30 am
Forum: Numerical Methods Forum
Topic: Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue
Replies: 10
Views: 5921

Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue

<t>Hi Alan, yes, I forgot to say that yes, everything except the integration part is invariant indeed for the desired for/dom symmetry. That's why I spotted the integration part finally. Now, I refined the grids, and it's ok, but a bit too slow - logical.What are the best 2D cubature formulas that a...
by rockinsquat
April 2nd, 2014, 6:26 am
Forum: Numerical Methods Forum
Topic: Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue
Replies: 10
Views: 5921

Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue

<r>Hi all,My problem is the following : I have two liquid currencies pairs cc1/cc2 (rate [$]S_t^{1,2}[$]) and cc1/cc3 (rate [$]S_t^{1,3}[$]) whose implied volatilies are known, and I must calculate the implied volatility of the illiquid currency pair cc3/cc2 (rate [$]S_t^{32} = S_t^{1,2} / S_t^{1,3}...
by rockinsquat
March 31st, 2014, 3:15 pm
Forum: Technical Forum
Topic: Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue
Replies: 1
Views: 5652

Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue

<r>Hi all,My problem is the following : I have two liquid currencies pairs cc1/cc2 (rate [$]S_t^{1,2}[$]) and cc1/cc3 (rate [$]S_t^{1,3}[$]) whose implied volatilies are known, and I must calculate the implied volatility of the illiquid currency pair cc3/cc2 (rate [$]S_t^{32} = S_t^{1,2} / S_t^{1,3}...
by rockinsquat
August 16th, 2013, 6:02 pm
Forum: Technical Forum
Topic: Let's diffuse in the other direction
Replies: 2
Views: 6750

Let's diffuse in the other direction

<t>Yeah, I should have been precise --> under which conditions would A => B be true ? (Typically, I will never have K_3 >> K_2, the K_i being part of a sequence of quite close rates...) I nevertheless feel that this question is desperate not-numerically-wise... Sorry !QuoteOriginally posted by: Alan...
by rockinsquat
August 16th, 2013, 3:05 pm
Forum: Technical Forum
Topic: Let's diffuse in the other direction
Replies: 2
Views: 6750

Let's diffuse in the other direction

<t>Hi all,I have a technical question : let's assume I have a FX spot [$]S_t^{d/f}[$] following a stochastic local vol model under a (local) martingale measure [$]\mathbf{Q}^d[$], where domestic and foreign rates [$]r_t^d[$] and [$]r_t^f[$] are stochastic also, something quite general that is. All p...
by rockinsquat
August 14th, 2013, 9:45 pm
Forum: General Forum
Topic: End of month convention
Replies: 10
Views: 11456

End of month convention

<t>I never wrote anything about adjustment. I thought that the market definition was, in case of eom, starting from a date D_1 to first do a "+2 then mod 12 then +1" on the month number of D_1 to obtain a date D_2, and then apply the eom to D_2 by replacing it by the last day of month, definition of...
by rockinsquat
August 14th, 2013, 10:21 am
Forum: General Forum
Topic: End of month convention
Replies: 10
Views: 11456

End of month convention

<t>Thx for your interest and response also ! That's what I thought, yes. Do you know if there are exceptions to this most common interpretation of EoM Last, and where the last means "last calendar day" and not "last business day" ? Here I'm working with chinese NDIRS's.QuoteOriginally posted by: mat...
by rockinsquat
August 14th, 2013, 10:18 am
Forum: General Forum
Topic: End of month convention
Replies: 10
Views: 11456

End of month convention

<t>Thx for your interest and response ! 29/02/2012 + 2M = 29/04/2012 when you have no conventions at all, so that you say that in EoM 'Last', the last is for last calendar (and not business) day of month, which is asfaik the opposite of usual market conventions... Here the calendar in the chinese on...
by rockinsquat
August 14th, 2013, 6:59 am
Forum: General Forum
Topic: End of month convention
Replies: 10
Views: 11456

End of month convention

<t>Hi all,A question on the end of month convention for dates in the interest rates swap space. (Sorry for that, I know it's boring ! )Assume that we're in a market where 28,29 and 30/04/2012 and 01/05/2012 are non business day, and that we want to add two months to the date 29/02/2012, with the fol...
by rockinsquat
August 7th, 2012, 6:28 pm
Forum: Programming and Software Forum
Topic: Pulling bloomberg data using VBA
Replies: 2
Views: 12796

Pulling bloomberg data using VBA

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