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by kelang
March 6th, 2013, 6:59 pm
Forum: Numerical Methods Forum
Topic: solving 2D forward PDE with initial Dirac condition
Replies: 12
Views: 9992

solving 2D forward PDE with initial Dirac condition

<r>thank you Cuchulainn. I think I am now having a good feeling about the problem.I've tried the operator splitting scheme (Soviet?), and ADI scheme (Douglas, CS, Modified CS, and HV). a) unfortunately, operator splitting does not seem to work in this case. But for zero-correlation, it works fine.b)...
by kelang
March 6th, 2013, 6:53 pm
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 14014

bloomberg FX stoc local vol model

<t>i think i know the reason, bloomberg's screen shows the final vol of vol and corr given under the mixing factor, not the max vol of vol, and corr. Close to their numbers.thank you all.QuoteOriginally posted by: kelangHi All,Just wondering if anybody has some experience with the calibration of Blo...
by kelang
March 6th, 2013, 1:33 pm
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 14014

bloomberg FX stoc local vol model

<t>Hi All,Just wondering if anybody has some experience with the calibration of Bloomberg's FX stoc local vol model? I got a really hard time to reproduce their stochastic parameter calibration results (max vol of vol and max correlation). Basically, what they are doing is to find a term structure o...
by kelang
February 27th, 2013, 4:45 pm
Forum: Numerical Methods Forum
Topic: solving 2D forward PDE with initial Dirac condition
Replies: 12
Views: 9992

solving 2D forward PDE with initial Dirac condition

very fine at the beginning of the time grids, actually quite aggressive, 0.0001~0.001QuoteOriginally posted by: CuchulainnWhat value of dt are you using (very small I bet)?
by kelang
February 27th, 2013, 4:02 pm
Forum: Numerical Methods Forum
Topic: solving 2D forward PDE with initial Dirac condition
Replies: 12
Views: 9992

solving 2D forward PDE with initial Dirac condition

<t>thanks for the info. It turns out the trick I mentioned above seems to work. Will test more.QuoteOriginally posted by: CuchulainnQuoteThe ADI scheme I am using is,(1+ dt* Lx)*Y_n+1/2 = (1 - 0.5*dt*Lxy) * Y_n(1+ dt* Ly) *Y_n+1 = (1-0.5*dt*Lxy) * Y_n+1/2hmmmFirst, it is not ADI (it's Soviet Splitti...
by kelang
February 27th, 2013, 3:03 pm
Forum: Numerical Methods Forum
Topic: solving 2D forward PDE with initial Dirac condition
Replies: 12
Views: 9992

solving 2D forward PDE with initial Dirac condition

<t>Thanks Cuchulainn.The ADI scheme I am using is,(1+ dt* Lx)*Y_n+1/2 = (1 - 0.5*dt*Lxy) * Y_n(1+ dt* Ly) *Y_n+1 = (1-0.5*dt*Lxy) * Y_n+1/2QuoteOriginally posted by: CuchulainnQuoteY_n-1 = (1 + dt*Lx + dt*Ly + dt*Lxy) * Y_n (1)where Lx, Ly represents the x, y terms, and Lxy represents the mixing ter...
by kelang
February 27th, 2013, 2:59 pm
Forum: Technical Forum
Topic: Touch option in local Volatility Model
Replies: 3
Views: 8759

Touch option in local Volatility Model

<t>sorry no paper in-hand,but it is more intuitive, let us say you price double-no-touch, you can price as double-knock-out digital call, with strike set to the lower touch level or belowQuoteOriginally posted by: wonabruCould you put here some paper in which it is saying like you stated? Or can you...
by kelang
February 27th, 2013, 2:17 pm
Forum: Technical Forum
Topic: Touch option in local Volatility Model
Replies: 3
Views: 8759

Touch option in local Volatility Model

<r>since you can successfully price barriers, then you can price the touch/no touch with the barrier pricer with non-zero rebate. For example, no touch can be price as knock-out with non-zero rebateQuoteOriginally posted by: wonabruHi,I am working on some project related to bulding different models ...
by kelang
February 27th, 2013, 2:10 pm
Forum: Numerical Methods Forum
Topic: solving 2D forward PDE with initial Dirac condition
Replies: 12
Views: 9992

solving 2D forward PDE with initial Dirac condition

<t>BTW, can I do a trick like the following,1) for the initial step, I set the mixing term to be zero in order to get a good solution at dt (i know it is wrong..., but if the dt -> 0)2) for the later step, I turn on the mixing term backQuoteOriginally posted by: kelangHi All,I am trying to solve the...
by kelang
February 27th, 2013, 2:05 pm
Forum: Numerical Methods Forum
Topic: solving 2D forward PDE with initial Dirac condition
Replies: 12
Views: 9992

solving 2D forward PDE with initial Dirac condition

<t>Hi All,I am trying to solve the 2D forward PDE with an initial condition being a 2D Dirac function. It is obviously good to approximate the Dirac function@t0 with a bivariate normal function @a small dt. However, i am just curious if the following works (the reason is that I would like the 2D pro...
by kelang
February 21st, 2013, 1:03 pm
Forum: Technical Forum
Topic: Calibrating discounting curve to deposits AND OIS swaps?
Replies: 2
Views: 8613

Calibrating discounting curve to deposits AND OIS swaps?

<t>QuoteOriginally posted by: katastrofaI've often seen deposits and OIS swaps mentioned in one sweep as instruments to which you're calibrating your discounting curve. I don't understand it: deposits are not collateralised while OIS swaps are, so their credit risk is different and one would think t...
by kelang
February 14th, 2013, 1:55 pm
Forum: Technical Forum
Topic: fx barrier option on bloomberg
Replies: 1
Views: 8898

fx barrier option on bloomberg

<t>case closed. thanks it is continuously monitored not daily discrete, and i mis-read their two-way pricing numbers with mid-pricing number, matched them.QuoteOriginally posted by: kelangHi All,May I ask a question about market convention of FX barrier option (double-knock-in or out)? For pricing A...
by kelang
February 13th, 2013, 8:19 pm
Forum: Technical Forum
Topic: fx barrier option on bloomberg
Replies: 1
Views: 8898

fx barrier option on bloomberg

<t>Hi All,May I ask a question about market convention of FX barrier option (double-knock-in or out)? For pricing American monitoring option, are they priced as if monitored continuously or daily-discrete? I am trying to match Bloomberg's number (under local vol settings). It seems that I can only m...
by kelang
January 15th, 2013, 5:52 pm
Forum: Technical Forum
Topic: Local Volatility testing
Replies: 1
Views: 9257

Local Volatility testing

check Bloomberg, they have local vol surface visualization for equity, but not for fx.
by kelang
November 10th, 2012, 3:45 pm
Forum: Technical Forum
Topic: callable range accrual pricing
Replies: 5
Views: 14719

callable range accrual pricing

<r>QuoteOriginally posted by: mja Monte Carlo approach: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1461285thanks"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 1285thanks">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1461285thanks</LINK_TEXT></URL> mj, actually...
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