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starter80
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Joined: June 18th, 2008, 8:10 pm

Software for volatility handling

May 24th, 2009, 5:52 pm

Dear forum users,I am looking for some kind of software for volatility handling.More precisely, I would like to have volatility surfaces for different models, e.g., local vol., stochastic vol., stochastic vol. with jumps, plotted using market data. Maybe you know of some software that can plot different surfaces that one can compare to each other, perhaps even adjust manually.I someone knows of something like this, I would really like to know where to purchase such software and which interfaces it provides for data feeding.I know that the above is rather a general question. I am just interested in what is available in these areas.Any help/comments are hihgly appreciated.Thank you very much.
 
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2fingers
Posts: 3
Joined: October 3rd, 2007, 10:43 pm

Software for volatility handling

May 25th, 2009, 11:34 pm

actually, I'll be interested in this as well, most of this I've seen are in-house. I think Orc has something, but haven't looked into it.I'm not sure if the vol handling software by itself is any good without seeing the affect to the PnL, kind of a whatIf scenarios to their PnL.
 
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rmax
Posts: 374
Joined: December 8th, 2005, 9:31 am

Software for volatility handling

May 26th, 2009, 1:05 pm

There is this Espen Haug uses it on this website