FX Functions Code Contribution

[Dimathematician]

I discussed it ages ago, but its finally finished. I've uploaded new
QuantLib code on www.longvega.com/FxFunctions.zip. The functions
include:

- a delta calculator class for various, fx specific deltas
- a delta vol quote class

3 Smile Sections:
- the vanna volga interpolations
- a parabolic interpolation, which interpolates parabolically in moneyness
- a new parabolic formula (a generalization of a so called Malz formula)

Added some test cases too. I'd be happy to see it somewhere in the trunk soon,
so I can use it withing QuantLib. Thanks








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[Luigi Ballabio]

On Wed, 2009-08-05 at 15:10 +0200, Dima wrote:
> I discussed it ages ago, but its finally finished. I've uploaded new
> QuantLib code on www.longvega.com/FxFunctions.zip. [...] I'd be happy
> to see it somewhere in the trunk soon,
> so I can use it withing QuantLib.

Dima,
        thanks for the code.  I'll put it in the repository, but probably not
so soon as I'm trying to stabilize the existing code for the 1.0
release.  Your code will probably get in the trunk after that.

Thanks again,
        Luigi


--

fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
-- the Jargon file



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[Dimathematician]

Just wanted to add some news regarding the code above. We're documenting it in a blog here:

http://www.mathfinance.de/forum/?p=346

The rest of the code will be discussed in upcoming discussions. Regards

2009/8/6 Luigi Ballabio <[hidden email]>

On Wed, 2009-08-05 at 15:10 +0200, Dima wrote:
> I discussed it ages ago, but its finally finished. I've uploaded new

> QuantLib code on www.longvega.com/FxFunctions.zip. [...] I'd be happy

> to see it somewhere in the trunk soon,
> so I can use it withing QuantLib.

Dima,
       thanks for the code.  I'll put it in the repository, but probably not
so soon as I'm trying to stabilize the existing code for the 1.0
release.  Your code will probably get in the trunk after that.

Thanks again,

       Luigi


--

fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
-- the Jargon file

------------------------------------------------------------------------------
Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
trial. Simplify your report design, integration and deployment - and focus on
what you do best, core application coding. Discover what's new with
Crystal Reports now.  http://p.sf.net/sfu/bobj-july
_______________________________________________
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