<t>Hi,Personally, I implemented SVI fitting with Matlab, using its fmincon function. It works real fine.First, create a function taking all the SVI parameters in (just 5 for a single smile, or 5N for a surface built on N distinct smiles) as well as the raw volatility points and outputting the mean-s...

<t>Kind of a old thread but it could still help somebody...Calendar arbitrage can't be done with swaptions as the underlying instruments for different option maturities (assuming fixed swap tenor) are quite different (they're linked to a different set of bonds).I am currently developing a swaption v...

<t>I'm currently working on producing volatility surfaces for an historic of about 5 years. Here are my thoughts so far:I'm only seeking for raw data (option prices). It' pretty obvious to me that we should have internal control of any calculation. Even if I use the same models to compute the imp vo...

<t>Hi Batman99,My way of seeing this is that, usually, the models we're using are such that it's simpler to work with log-returns of prices instead of prices. For a simple example, take Black-Scholes. It takes for granted that the prices follow a lognormal distribution. But X following a lognormal m...

I would tend not to doubt my underlying price honestly. Cost of carry parameters are far less trackable than equities spot prices in my mind. That's why I'm leaning toward using some kind of implied rates.

<t>I think I should calibrate a risk-free rate curve from my non-dividend underlying options. For each maturity available, I would use the closest to ATM options (like 0.95 to 1.05 moneyness, maybe tighter) for which I have both call and put prices. Then I calculate an implied risk-free rate by mini...

<t>Hi Alan,Indeed I forgot to specify the underlyings.I'm working with equities. Mainly the big names we find in the US/Europe indices. So liquidity is not really an issue most of the time.So it would come down to using the right rates... I usually use as input the finance rate and dividend yield th...

<t>Hi guys,A big part of my job concerns building volatility surfaces. I use gatheral's SVI technique and I consider it works real fine.Although, I'm facing some permanent little problems when working with the data. The obvious one is outliers for which I don't have much hope honestly. I'll continue...