EnhancedBlackScholesProcess which supports Vega Tests
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Hello all, i recently analyzed the sensitivities of a new asian style path
dependent option with quantlib and i ran into the following problem: I wanted to do some Vega tests and I had to bump the Local
Volatility Surface to figure out where the main vega sensitivities of my
product are in terms of time bucket and moneyness. But this was not easy to do
with standard quantlib tools. My setup was a BlackScholesMerton Process as
underlying and as a BlackVolTermStructure is passed on the BlackVarianceSurface
which holds my Implied Volatility Surface. What the BlackScholesProcess does,
it figures out what is behind my BlackVolTermStructure and builds the right
LocalVolTermStructure out of it. Then when I run my What I could stress without problems is my Implied
Volatility Surface. But this is not what I want. And calculating back how to
stress my implied Volatility Surface to get the stress on my Local Volatility
Surface the way I want is also not very easy to do since it also depends on the
way I interpolate and extrapolate my BlackVariance Surface. I solved this problem by building up an Enhanced Black
Scholes Process which takes as parameters a stress level and a square of the
local Volatility Surface which it stresses on demand. I thought maybe anyone is
interested in my solution? I already tested it and it works fine. The solution
itself is quite easy and I am working with it so far without any problems. I
would like to contribute it and maybe we can together improve it and enhance
Quantlib? Since this is my first experience with Quantlib Mailing
Lists I am not quite sure if I can attach my cpp files? Can anybody give me
some advice? Greetings and Happy Easter to you Michael ------------------------------------------------------------------------------ This SF.net email is sponsored by: High Quality Requirements in a Collaborative Environment. Download a free trial of Rational Requirements Composer Now! http://p.sf.net/sfu/www-ibm-com _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: EnhancedBlackScholesProcess which supports Vega Tests
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On Thu, 2009-04-09 at 23:45 +0200, Michael Heckl wrote:
> I solved this problem by building up an Enhanced Black Scholes Process > which takes as parameters a stress level and a square of the local > Volatility Surface which it stresses on demand. I thought maybe anyone > is interested in my solution? I already tested it and it works fine. > The solution itself is quite easy and I am working with it so far > without any problems. I would like to contribute it and maybe we can > together improve it and enhance Quantlib? > > Since this is my first experience with Quantlib Mailing Lists I am not > quite sure if I can attach my cpp files? Can anybody give me some > advice? Sorry for the delay---yes, you can post them here or in the Sourceforge patch manager. Luigi -- Just remember what ol' Jack Burton does when the earth quakes, the poison arrows fall from the sky, and the pillars of Heaven shake. Yeah, Jack Burton just looks that big old storm right in the eye and says, "Give me your best shot. I can take it." -- Jack Burton, "Big trouble in Little China" ------------------------------------------------------------------------------ Stay on top of everything new and different, both inside and around Java (TM) technology - register by April 22, and save $200 on the JavaOne (SM) conference, June 2-5, 2009, San Francisco. 300 plus technical and hands-on sessions. Register today. Use priority code J9JMT32. http://p.sf.net/sfu/p _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hallo Luigi,
Done with the patch manager at ID 2783225. Greetings, Michael -----Original Message----- From: Luigi Ballabio [mailto:[hidden email]] Sent: Dienstag, 21. April 2009 11:52 To: Michael Heckl Cc: [hidden email] Subject: Re: [Quantlib-dev] EnhancedBlackScholesProcess which supports Vega Tests On Thu, 2009-04-09 at 23:45 +0200, Michael Heckl wrote: > I solved this problem by building up an Enhanced Black Scholes Process > which takes as parameters a stress level and a square of the local > Volatility Surface which it stresses on demand. I thought maybe anyone > is interested in my solution? I already tested it and it works fine. > The solution itself is quite easy and I am working with it so far > without any problems. I would like to contribute it and maybe we can > together improve it and enhance Quantlib? > > Since this is my first experience with Quantlib Mailing Lists I am not > quite sure if I can attach my cpp files? Can anybody give me some > advice? Sorry for the delay---yes, you can post them here or in the Sourceforge patch manager. Luigi -- Just remember what ol' Jack Burton does when the earth quakes, the poison arrows fall from the sky, and the pillars of Heaven shake. Yeah, Jack Burton just looks that big old storm right in the eye and says, "Give me your best shot. I can take it." -- Jack Burton, "Big trouble in Little China" ------------------------------------------------------------------------------ Register Now & Save for Velocity, the Web Performance & Operations Conference from O'Reilly Media. Velocity features a full day of expert-led, hands-on workshops and two days of sessions from industry leaders in dedicated Performance & Operations tracks. Use code vel09scf and Save an extra 15% before 5/3. http://p.sf.net/sfu/velocityconf _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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