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Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: January 24th, 2007, 2:34 pm
by larsh0303
Hi there,I am working in the fixed income derivatives field and they way we model smile is using these parameters: Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right. We have some internal slides talking about what these parameters are, but I would like to read the paper to understand further. Has anyone seen these terms in academic papers?Regards.
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: January 25th, 2007, 3:32 pm
by horacioaliaga
Don't forget to include the Coxis Bone as well, gives more convergence stability
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: January 28th, 2007, 6:27 pm
by piterbarg
QuoteOriginally posted by: larsh0303Hi there,I am working in the fixed income derivatives field and they way we model smile is using these parameters: Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right. We have some internal slides talking about what these parameters are, but I would like to read the paper to understand further. Has anyone seen these terms in academic papers?Regards.so what bank are you working for? V
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: January 29th, 2007, 10:51 pm
by TraderJoe
The bank of kindness
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 3rd, 2007, 7:56 pm
by Gmike2000
If it is the bank that has no documentation on anything, it must be the one I am working for...
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 4th, 2007, 9:51 am
by flairplay
QuoteOriginally posted by: Gmike2000If it is the bank that has no documentation on anything, it must be the one I am working for...The best documentation is a model that is implemeted.In my experience, those places that are behind are the ones who talk endlessly about procedures, documentations etc. TThere is an opportunity cost, and there are balances to be struck.
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 4th, 2007, 10:17 am
by Gmike2000
There has to be at least some sort of "note" on the model, describing e.g. input and output of its functions, otherwise it is hard to understand for the end user (the trader) or for other quants. The places that are behind are those where knowledge is not distributed easily and where every quant/trader has to reinvent the wheel, just because he is not aware that some function already exists in the library, or because he has to spend hours going thru other people's chaotic code.
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 4th, 2007, 11:19 am
by imranyusof
QuoteOriginally posted by: flairplayThe best documentation is a model that is implemeted.In my experience, those places that are behind are the ones who talk endlessly about procedures, documentations etc. TThere is an opportunity cost, and there are balances to be struck.Amen to this.
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 4th, 2007, 11:19 am
by imranyusof
QuoteOriginally posted by: Gmike2000....The places that are behind are those where knowledge is not distributed easily and where every quant/trader has to reinvent the wheel, just because he is not aware that some function already exists in the library, or because he has to spend hours going thru other people's chaotic code.And amen to that as well.
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 4th, 2007, 2:16 pm
by flairplay
QuoteOriginally posted by: Gmike2000There has to be at least some sort of "note" on the model, describing e.g. input and output of its functions, otherwise it is hard to understand for the end user (the trader) or for other quants. The places that are behind are those where knowledge is not distributed easily and where every quant/trader has to reinvent the wheel, just because he is not aware that some function already exists in the library, or because he has to spend hours going thru other people's chaotic code.If the inputs and outputs are not clear in the actual implementation, then it does not really count as an implementation. I have also noticed that there is a very high correlation between poorly described inputs and outputs in implementation and lack of robustness of the underlying alogorithm. Shoddy work reveals itself clearly and early.
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 7th, 2007, 7:24 am
by Geist
PM me - I'll take you through some of the stuff you want to know.
Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Posted: February 17th, 2007, 10:12 am
by Randomness
and Amen once again ...