GJR-GARCH option pricing engine
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GJR-GARCH option pricing engine
 
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Attached is my gjrgarchprocess.hpp. Basically I just
modified hestonprocess.hpp to suit my needs. The naming convention of the model parameters follows the Hull 2005 book. I am not quite sure what kind of code is within \f[ ]. Can someone tell me? Also, any comments and questions are welcome. Thanks Yee Man --- Yee Man Chan <[hidden email]> wrote: > Hi Luigi > > Thanks for your reply. Are you still at Stanford? > Maybe we can hang out one day. > > I will start coding then. It shouldn't be too > hard. > I can just copy the Heston code and change the > stochastic process for volatility. I also have an > implementation for analytical approximation of > GJR-GARCH option pricing model as described in Duan > 2004 paper. > > Do you guys give out remote CVS access for > developers? That's what I got for my previous open > source contribution. If this is not how it works > here, > I am ok sending files directly to Luigi. > > Have a great day! > Yee Man > > > > --- Luigi Ballabio <[hidden email]> wrote: > > > Hi Yee Man, > > > > On Thu, 2008-03-06 at 17:20 -0800, Yee Man Chan > > wrote: > > > I recently finished my implementation of > > > GJR-GARCH(1,1) option pricing model for European > > > options using QMC with Brownian Bridge. > > > > > > I find that you guys don't have this pricing > > model. > > > Do you mind if I implement this for Quantlib? > > > > I'll be happy if you do. > > > > > If so, how should I proceed? > > > > You can send me the files and I'll add them to the > > repository. > > You should code your model as a pricing engine; if > > you're not yet > > familiar with our pricing framework, you can read > > chapter 2 at > > <http://luigi.ballabio.googlepages.com/qlbook> for > > an introduction. > > Also, it should use the existing facilities for > > random-number > > generation. As an example, you can look at the > > current MC engine for > > European options in > > <ql/pricingengines/vanilla/mceuropeanengine.hpp>. > > > > Later, > > Luigi > > > > > > -- > > > > Every solution breeds new problems. > > -- unknown > > > > > > > > > > > > Be a better friend, newshound, and > know-it-all with Yahoo! Mobile. Try it now. > > > > > ------------------------------------------------------------------------- > This SF.net email is sponsored by: Microsoft > Defy all challenges. Microsoft(R) Visual Studio > 2008. > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > ____________________________________________________________________________________ Looking for last minute shopping deals? Find them fast with Yahoo! Search. http://tools.search.yahoo.com/newsearch/category.php?category=shopping ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Hi Luigi
> > > I am not quite sure what kind of code is within > \f[ ]. > > Can someone tell me? > > It's LaTeX formulas. If you're not familiar with > LaTeX, send me the > formulas in some format and I'll write the LaTeX > code. Oh I see. I think I will learn a bit of it and write something out. The formula for the stochastic volatility process is fairly convoluted when market price of risk (lambda) is non-zero. I think you can compare what I write in the cpp file to fix my latex code in the hpp. > > > Also, any comments and questions are welcome. > > It would be nice to have a test case exercising your > process. May you > write one? Or at least, do you have an example of > input data and their > expected output? > Of course I am going to write a test case. Attached is the Duan et al (2006) paper published in Journal of Computational Finance. It has 1M run Monte Carlo numbers we can check for the program's validity. I am going to use QuantLib's QMC/Brownian Bridge code to do the test case. I hope they don't disappoint. ;) Yee Man > Luigi > > > -- > > Discontent is the first necessity of progress. > -- Thomas A. Edison > > > ____________________________________________________________________________________ Looking for last minute shopping deals? Find them fast with Yahoo! Search. http://tools.search.yahoo.com/newsearch/category.php?category=shopping ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Hi Luigi
I am done coding now. The files are attached in this email and the next. I am sure the analytic pricing engine I implemented is correct. But the algorithm is O(n^3) where n is the number of days till expiry, so it is very slow when number of days is large. It took me 20min to run the 36 test cases in Duan et al's paper. I can speed it up quite a bit if I can re-use some intermediate results when some parameters are the same. But this requires me to introduce some data members to AnalyticGJRGARCHengine and assign values to them during calculate(). But calculate() is a const function, so I can't really do that. What do you think I should do? I find that my MC results are a bit lower than my analytic approximation. I think it is due to the fact that I am using the following code to set maturity Date exDate = today + 10; // 10 days maturity boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exDate)); I find that the time is a bit less than 10 days when I call process->time(arguments_.exercise->lastDate()) and multiply it by 365.0. Do you know how I can get almost 10 days here? Thanks Attached files are: test-suite/gjrgarchmodel.hpp test-suite/gjrgarchmodel.cpp ql/processes/gjrgarchprocess.hpp ql/processes/gjrgarhprocess.cpp Let me know if there are any questions and comments Yee Man PS More files in another email > > BOOST_MESSAGE calls I made. Where can I see the > > outs such that I can debug my code? > > You should set the environment variable > > BOOST_TEST_LOG_LEVEL=message > > If you run the tests with 'make check', it is done > for you. > > Luigi > > -- > > Hofstadter's Law: > It always takes longer than you expect, even when > you take > Hofstadter's Law into account. > > > ____________________________________________________________________________________ Never miss a thing. Make Yahoo your home page. http://www.yahoo.com/r/hs ------------------------------------------------------------------------- Check out the new SourceForge.net Marketplace. It's the best place to buy or sell services for just about anything Open Source. http://ad.doubleclick.net/clk;164216239;13503038;w?http://sf.net/marketplace _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev  gjrgarchmodel.cpp (6K) Download Attachment gjrgarchmodel.hpp (1K) Download Attachment gjrgarchprocess.hpp (5K) Download Attachment gjrgarchprocess.cpp (11K) Download Attachment |
Re: GJR-GARCH option pricing engine
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In reply to this post by Luigi Ballabio
Attached files:
ql/models/equity/gjrgarchmodel.hpp ql/models/equity/gjrgarchmodel.cpp ql/pricingengines/vanilla/analyticgjrgarchengine.hpp ql/pricingengines/vanilla/analyticgjrgarchengine.cpp ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp Yee Man --- Luigi Ballabio <[hidden email]> wrote: > On Wed, 2008-03-26 at 17:44 -0700, Yee Man Chan > wrote: > > I finally get my code (including a simple test > case > > that is based on test-suite/hestonmodel.cpp) to > > compile . I added a line to call my test case in > > test-suite/quantlibtestsuite.cpp. > > > > I then ran test-suite/quantlib-test-suite. It gave > me > > one line of error but no print out from the > > BOOST_MESSAGE calls I made. Where can I see the > > outs such that I can debug my code? > > You should set the environment variable > > BOOST_TEST_LOG_LEVEL=message > > If you run the tests with 'make check', it is done > for you. > > Luigi > > > -- > > Hofstadter's Law: > It always takes longer than you expect, even when > you take > Hofstadter's Law into account. > > > ____________________________________________________________________________________ Looking for last minute shopping deals? Find them fast with Yahoo! Search. http://tools.search.yahoo.com/newsearch/category.php?category=shopping ------------------------------------------------------------------------- Check out the new SourceForge.net Marketplace. It's the best place to buy or sell services for just about anything Open Source. http://ad.doubleclick.net/clk;164216239;13503038;w?http://sf.net/marketplace _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev analyticgjrgarchengine.cpp (12K) Download Attachment analyticgjrgarchengine.hpp (2K) Download Attachment mceuropeangjrgarchengine.hpp (12K) Download Attachment gjrgarchmodel.cpp (4K) Download Attachment gjrgarchmodel.hpp (3K) Download Attachment |
Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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Hi Chris Thanks for your hint. I added the code to re-use intermediate results in the analytic GJR-GARCH engine. I also fixed a bug in gjrgarchprocess. Please update my previously sent files with these five attached files Attached files: test-suite/gjrgarchmodel.cpp ql/processes/gjrgarchprocess.hpp ql/processes/gjrgarchprocess.cpp ql/pricingengines/vanilla/analyticgjrgarchengine.hpp ql/pricingengines/vanilla/analyticgjrgarchengine.cpp Yee Man --- Chris Kenyon <[hidden email]> wrote: > > Hi, > > re: > " > I can speed it up quite a bit if I can re-use > some > intermediate results when some parameters are the > same. But this requires me to introduce some data > members to AnalyticGJRGARCHengine and assign values > to > them during calculate(). But calculate() is a const > function, so I can't really do that. What do you > think > I should do? > " > > If you need some local data, then declare it mutable > (=never const), > this overrides the const in calculate(). Use with > care: > > This is done elsewhere in QL. > > Regards, > Chris > > > > Check out the new SourceForge.net Marketplace. > It's the best place to buy or sell services for > just about anything Open Source. > http://ad.doubleclick.net/clk;164216239;13503038;w?http://sf.net/marketplace> _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > ____________________________________________________________________________________ Looking for last minute shopping deals? Find them fast with Yahoo! Search. http://tools.search.yahoo.com/newsearch/category.php?category=shopping ------------------------------------------------------------------------- Check out the new SourceForge.net Marketplace. It's the best place to buy or sell services for just about anything Open Source. http://ad.doubleclick.net/clk;164216239;13503038;w?http://sf.net/marketplace _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev gjrgarchmodel.cpp (10K) Download Attachment gjrgarchprocess.cpp (11K) Download Attachment gjrgarchprocess.hpp (5K) Download Attachment analyticgjrgarchengine.cpp (13K) Download Attachment analyticgjrgarchengine.hpp (3K) Download Attachment |
Re: GJR-GARCH option pricing engine
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Re: GJR-GARCH option pricing engine
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