Fw: SwaptionVolCube2
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Fw: SwaptionVolCube2
 
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Hi All, I found the issue (see email below) in my own excel addin, I understand it may not warrant a check of SwaptionVolCube2. I decided to check with QuantLibXLL. I just built QuantLibXL_full_vc9 successfully. However when I read QuantLibXL document, incidentally I found we already have function qlSwaptionVolCube2 . Surely one must have built a spreadsheet to test qlSwaptionVolCube2. Just wondering if I can have the sample spreadsheet with qlSwaptionVolCube2 to start with? Many thanks, Yan ----- Forwarded by Yan Kuang/CORPAU/WBCAU/WBG on 14/09/2010 03:34 PM -----
Hi All, Just about one year inaction. I am back to try quantlib again. I am still using 0.9.7. I am doing a test on CMS replication. I use SwaptionVolCube2 to get black vol at different strikes. The market data for swaption is skew (vol drops when strike increase), see row 82 in Sheet 'Swaption Vol Market Data'. ATM swap rate is about 6.14%, yet I get the higher vol than atm vol when strikes above 6.14, see column E and F in sheet 'cms rep'. Enclosed please the workbook and relevant code. Many thanks for the help, Yan PS, has anyone has luck to build a cash-future-swap curve which match Murex reasonable well? By that I mean forward simple rate difference is with 1bp. I don't have the luck, as some section of the curve has more than 10bp difference in my experience. Unless otherwise stated, this email is confidential. If received in error, please delete and inform the sender by return email. Unauthorised use, copying or distribution is prohibited. Westpac Banking Corporation (ABN 33 007 457 141) is not responsible for viruses, or for delays, errors or interception in transmission. Unless stated or apparent from its terms, any opinion is not the opinion of Westpac Banking Corporation. This message also includes information on Westpac Institutional Bank available at westpac.com.au/wibinfo ------------------------------------------------------------------------------ Start uncovering the many advantages of virtual appliances and start using them to simplify application deployment and accelerate your shift to cloud computing. http://p.sf.net/sfu/novell-sfdev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
code.cpp (6K)
Re: Fw: SwaptionVolCube2
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Hi
Yan,
There is a sample in
QuantLibXL-0.9.7\Workbooks\StandaloneExamples\SerializationDemo\Models\MarketData
Here is a simplified
extract,
Ciao,
From: Yan Kuang [mailto:[hidden email]] Sent: 14 September 2010 09:01 To: [hidden email] Subject: [Quantlib-users] Fw: SwaptionVolCube2 Hi All, I found the issue (see email below) in my own excel addin, I understand it may not warrant a check of SwaptionVolCube2. I decided to check with QuantLibXLL. I just built QuantLibXL_full_vc9 successfully. However when I read QuantLibXL document, incidentally I found we already have function qlSwaptionVolCube2 . Surely one must have built a spreadsheet to test qlSwaptionVolCube2. Just wondering if I can have the sample spreadsheet with qlSwaptionVolCube2 to start with? Many thanks, Yan ----- Forwarded by Yan Kuang/CORPAU/WBCAU/WBG on 14/09/2010 03:34 PM -----
Hi All, Just about one year inaction. I am back to try quantlib again. I am still using 0.9.7. I am doing a test on CMS replication. I use SwaptionVolCube2 to get black vol at different strikes. The market data for swaption is skew (vol drops when strike increase), see row 82 in Sheet 'Swaption Vol Market Data'. ATM swap rate is about 6.14%, yet I get the higher vol than atm vol when strikes above 6.14, see column E and F in sheet 'cms rep'. Enclosed please the workbook and relevant code. Many thanks for the help, Yan PS, has anyone has luck to build a cash-future-swap curve which match Murex reasonable well? By that I mean forward simple rate difference is with 1bp. I don't have the luck, as some section of the curve has more than 10bp difference in my experience. Unless otherwise stated, this email is confidential. If received in error, please delete and inform the sender by return email. Unauthorised use, copying or distribution is prohibited. Westpac Banking Corporation (ABN 33 007 457 141) is not responsible for viruses, or for delays, errors or interception in transmission. Unless stated or apparent from its terms, any opinion is not the opinion of Westpac Banking Corporation. This message also includes information on Westpac Institutional Bank available at westpac.com.au/wibinfo ------------------------------------------------------------------------------ Start uncovering the many advantages of virtual appliances and start using them to simplify application deployment and accelerate your shift to cloud computing. http://p.sf.net/sfu/novell-sfdev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Fw: SwaptionVolCube2
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Hi Circo, Thanks, I tested (using qlSwaptionVTSatmStrike, qlSwaptionVTSVolatility2) the example for 1y2y, the interpolated vol spread is not too far from input. It's quite usable. I must have done something wrong in my addin. Thank you very much, Yan
Hi Yan, There is a sample in QuantLibXL-0.9.7\Workbooks\StandaloneExamples\SerializationDemo\Models\MarketData Here is a simplified extract, Ciao, From: Yan Kuang [mailto:[hidden email]] Sent: 14 September 2010 09:01 To: [hidden email] Subject: [Quantlib-users] Fw: SwaptionVolCube2 Hi All, I found the issue (see email below) in my own excel addin, I understand it may not warrant a check of SwaptionVolCube2. I decided to check with QuantLibXLL. I just built QuantLibXL_full_vc9 successfully. However when I read QuantLibXL document, incidentally I found we already have function qlSwaptionVolCube2 . Surely one must have built a spreadsheet to test qlSwaptionVolCube2. Just wondering if I can have the sample spreadsheet with qlSwaptionVolCube2 to start with? Many thanks, Yan ----- Forwarded by Yan Kuang/CORPAU/WBCAU/WBG on 14/09/2010 03:34 PM -----
Hi All, Just about one year inaction. I am back to try quantlib again. I am still using 0.9.7. I am doing a test on CMS replication. I use SwaptionVolCube2 to get black vol at different strikes. The market data for swaption is skew (vol drops when strike increase), see row 82 in Sheet 'Swaption Vol Market Data'. ATM swap rate is about 6.14%, yet I get the higher vol than atm vol when strikes above 6.14, see column E and F in sheet 'cms rep'. Enclosed please the workbook and relevant code. Many thanks for the help, Yan PS, has anyone has luck to build a cash-future-swap curve which match Murex reasonable well? By that I mean forward simple rate difference is with 1bp. I don't have the luck, as some section of the curve has more than 10bp difference in my experience. Unless otherwise stated, this email is confidential. If received in error, please delete and inform the sender by return email. Unauthorised use, copying or distribution is prohibited. Westpac Banking Corporation (ABN 33 007 457 141) is not responsible for viruses, or for delays, errors or interception in transmission. Unless stated or apparent from its terms, any opinion is not the opinion of Westpac Banking Corporation. This message also includes information on Westpac Institutional Bank available at westpac.com.au/wibinfo[attachment "Book2.xls" deleted by Yan Kuang/CORPAU/WBCAU/WBG] ------------------------------------------------------------------------------ Start uncovering the many advantages of virtual appliances and start using them to simplify application deployment and accelerate your shift to cloud computing. http://p.sf.net/sfu/novell-sfdev2dev_______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users Unless otherwise stated, this email is confidential. If received in error, please delete and inform the sender by return email. Unauthorised use, copying or distribution is prohibited. Westpac Banking Corporation (ABN 33 007 457 141) is not responsible for viruses, or for delays, errors or interception in transmission. Unless stated or apparent from its terms, any opinion is not the opinion of Westpac Banking Corporation. This message also includes information on Westpac Institutional Bank available at westpac.com.au/wibinfo ------------------------------------------------------------------------------ Start uncovering the many advantages of virtual appliances and start using them to simplify application deployment and accelerate your shift to cloud computing. http://p.sf.net/sfu/novell-sfdev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
release date for QuantLibXL 1.01
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Hi All, Is there any plan to release QuantLibXL 1.01? I tried to compile QuantLibXL 0.9.7 with QuantLib 1.01, but failed. Apart from changing #include <ql/qldefines.hpp> to #include <ql/version.hpp> in qladdindefines.hpp I can manage, there are a few compilation errors. Cheers, Yan Unless otherwise stated, this email is confidential. If received in error, please delete and inform the sender by return email. Unauthorised use, copying or distribution is prohibited. Westpac Banking Corporation (ABN 33 007 457 141) is not responsible for viruses, or for delays, errors or interception in transmission. Unless stated or apparent from its terms, any opinion is not the opinion of Westpac Banking Corporation. This message also includes information on Westpac Institutional Bank available at westpac.com.au/wibinfo ------------------------------------------------------------------------------ Start uncovering the many advantages of virtual appliances and start using them to simplify application deployment and accelerate your shift to cloud computing. http://p.sf.net/sfu/novell-sfdev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: release date for QuantLibXL 1.01
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