SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Jordy
March 4th, 2019, 10:36 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 1353

Re: NORM.DIST methodology

Don't forget the paper "Better approximations to cumulative normal functions" by Graeme West. If I remember correctly, the double precision implementation matches Excel exactly.

Cheers,
Jordy
by Jordy
January 14th, 2019, 9:42 am
Forum: General Forum
Topic: Hybrid Euribor and Ester rates
Replies: 0
Views: 268

Hybrid Euribor and Ester rates

EMMI (European Money Market Institute) is working on "new" interest rates for EU area.
By the end of 2019 Euribor will become "hybrid" and Ester will replace Eonia.
This reform will define new benchmarks for risk-free rate EUR.
Can you figure out the impacts on quantitative finance?

Cheers,
Jordy
by Jordy
December 18th, 2018, 11:04 pm
Forum: General Forum
Topic: Vanna-Volga concerns
Replies: 1
Views: 619

Re: Vanna-Volga concerns

The correct name is Castagna, not Castagno...:-)

Cheers.
Jordy
by Jordy
May 20th, 2016, 9:06 am
Forum: General Forum
Topic: Shifted lognormal digital caplets
Replies: 1
Views: 713

Shifted lognormal digital caplets

I am searching formulas and examples about shifted lognormal digital caplets (à la Black'76) for IR options.Also the sensitivity formulas (delta, gamma, vega, theta and rho).In internet I was not able to find any material.Can you suggest a good book/paper on this topic?Cheers,Jordy
by Jordy
April 8th, 2016, 6:02 am
Forum: General Forum
Topic: Vol used in interest rate cap pricing
Replies: 8
Views: 1781

Vol used in interest rate cap pricing

Infoproviders publish flat volatilities; caplets volatilities must be bootstrapped.Cheers,Jordy
by Jordy
November 30th, 2015, 10:03 am
Forum: General Forum
Topic: European Type Barrier Options
Replies: 48
Views: 5507

European Type Barrier Options

<t>It might be a structured payoff based on european options.For instance, an option call "up and in" european (and with european barrier) can be decomposed as:- a plain vanilla european call option with strike equal to the barrier, and- a binary european cash or nothing call option, with strike equ...
by Jordy
November 3rd, 2015, 8:13 am
Forum: Book And Research Paper Forum
Topic: The SABR/LIBOR Market Model - Rebonato et al
Replies: 11
Views: 50019

The SABR/LIBOR Market Model - Rebonato et al

I have to implement SABR in our financial library.Is this book still recommended?Recent "multicurve scenario" suggests other books/papers?Thank you,Jordy
by Jordy
April 10th, 2015, 6:46 am
Forum: General Forum
Topic: FX Options - Please Help
Replies: 5
Views: 4687

FX Options - Please Help

Even if you assume both systems use the same model Black Scholes (Garman Kohlhagen), the two implementations may be slightly different.For large notionals, also these differences may impact on the MTM gap.Cheers,Jordy
by Jordy
August 26th, 2014, 12:09 pm
Forum: General Forum
Topic: should we discount spot?
Replies: 10
Views: 5125

should we discount spot?

On some systems they bootstrap at (T+2).After doing that, they use Overnight and TomNext rates to compute a discount factor (pre-spot factor) to fill the gap between (T+2) and today.The resulting discount factors are at today.Cheers,Jordy.
by Jordy
February 18th, 2014, 3:36 pm
Forum: Programming and Software Forum
Topic: What development tools do you use?
Replies: 22
Views: 7455

What development tools do you use?

Believe it or not, I have to use ISPF, DB2 and... Cobol!!!Cheers,Jordy
by Jordy
February 4th, 2014, 7:25 am
Forum: Student Forum
Topic: Derivagem - Swap option price with implied volatilities
Replies: 3
Views: 5776

Derivagem - Swap option price with implied volatilities

Which values do you get?What are the published values?Cheers,Jordy
by Jordy
December 19th, 2013, 3:35 pm
Forum: Book And Research Paper Forum
Topic: valutation of HICP linked IR swap (inflation BTPei)
Replies: 1
Views: 6528

valutation of HICP linked IR swap (inflation BTPei)

<t>We are asked to compute the fair value of structured interest rate swaps.One leg is plain vanilla (euribor 3m + spread), but the other leg is bound to a BTPei (i.e. a bond linked to index HICP XT - european inflation index).Can you please suggest a good book (or paper) dealing with this kind of i...
by Jordy
August 21st, 2013, 4:35 pm
Forum: General Forum
Topic: Downloading interest rate curves with Bloomberg Data License
Replies: 1
Views: 7255

Downloading interest rate curves with Bloomberg Data License

Is it possible to download a bootstrapped interest rate curve using Bloomberg Data License?For instance, which tickers should I use to request the current EUR (#45) and USD (#23) curve?Thanks.Jordy
by Jordy
January 10th, 2013, 10:49 am
Forum: Technical Forum
Topic: Pricing IR Swap
Replies: 3
Views: 9640

Pricing IR Swap

In column J of tab 1MZLibor you used linear interpolation on zero rates, right?Did you try with log-linear interpolation on discount factors?Bye.Jordy
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