Heads up - Volatility model classes / Shanghai warrants

[Joseph Wang-2]

Just a heads up.  I'm currently working on some C++ classes that convert quote
time series information into a volatility time series.  I'm started with a
dead simple model that does a constant weighting of terms, but eventually,
I'm hoping to put in a GARCH model.

In case anyone is interested, I'm finding some *really* interesting things
about Shanghai warrants.  The really interesting thing is that the implied
volatility for the put warrants are a linear function of the call warrants,
but they implied volatilities are different from each other,  The thing that
I need to do now is to compare the two with the volatility as calculated from
the underlying, which requires some code to convert from quotes to
volatilities.

Also, the prices of the warrants started off being insane, but are now not
nearly as crazy now as they were Q3 last year.

Joseph Wang Ph.D.
China Derivatives Researcher
http://www.gnacademy.org/joe

[Luigi Ballabio]

On 03/28/2006 08:09:22 AM, Joseph Wang wrote:
> Just a heads up.  I'm currently working on some C++ classes that  
> convert quote time series information into a volatility time series.  
> I'm started with a dead simple model that does a constant weighting  
> of terms, but eventually, I'm hoping to put in a GARCH model.

Joe,
        you might want to use the History class instead of your  
TimeSeries structure. I don't think we need to duplicate the concept;  
it is true that your structure is more generic in type, but using  
Quotes is not going to give you any advantage over Reals unless the  
client code registers as observer with all the contained quotes.  
Moreover, History has more functionality.

Later,
        Luigi

P.S. On the other hand, I like your name better. If you decide to use  
History, I think I'll rename it to TimeSeries...


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