Any ideas on this topic?

<t>Hi all,I have a question regarding the cap/floor fixed against Euribor 3M and 6M. I calibrated the fwd vols from par vols quoted in the market and then stripped the 6M vols to 3M vols (for the short term from 3M to 6M). I found that the vols of caps fixed against 3M Euribor is much higher than th...

<t>Hi all,Could anybody shed some light on how to get quanto correlation in illiquid market? I'd like to price some quanto derivatives and EURCHF vs CHF Libor correlation is needed for calculation. The market is quite illiquid there, so it is impossible to get implied correlations from market quotes...

<t>Hi all, I have a question about the cross currency basis swap spread. For example, we have a swap that exchange 3 month EURIBOR minus 32 bps for 3 month USD LIBOR. As far as I understand, the spread quoted by ICAP is applied on the Euro side. How to calculate the spread if it is applied on the US...

<t>Yes, there is discounting here. To be more specific, at expiry, I calculate n values for the vector OptValue. Then at each time step from m-1 to 1, I first discount the OptValue one time step before, then gather the in-the-money nodes and their correspondent option values in OptValue for regressi...

<t>I understand it is not good to ask others to go through my code. So let me describe my algorithm and maybe there is an error there. I first simulate n independent paths of the underlying asset. Along each path, there are m exercise dates. At expiry, I calculate the option value via payoff functio...

Here is the code, I wrote a DLL function which gets inputs from excel sheet and can be called by excel VBA. In the code I use functions in Quantlib

I have tried running a lot more paths, but the problem is still there. I start to think that there might be a bug in my code. I wrote a DLL function which get inputs from excel sheet and can be called by Excel VBA. I can post the code

<t>Hi,I am using the Longstaff and Schwartz algorithm to price plain Amerian options. I know that this method will not necessarily generate a low estimator since it uses the information in the future, but to reproduce the results in their paper 2001, I use only one set of paths for regression and va...