Re: QuantLib-users Digest, Vol 82, Issue 8
Locked
Re: QuantLib-users Digest, Vol 82, Issue 8
 
|
Regards
Theo
-----Original Message-----
From: quantlib-users-request <[hidden email]> To: quantlib-users <[hidden email]> Sent: Thu, 21 Mar 2013 15:37 Subject: QuantLib-users Digest, Vol 82, Issue 8 Send QuantLib-users mailing list submissions to [hidden email] To subscribe or unsubscribe via the World Wide Web, visit https://lists.sourceforge.net/lists/listinfo/quantlib-users or, via email, send a message with subject or body 'help' to [hidden email] You can reach the person managing the list at [hidden email] When replying, please edit your Subject line so it is more specific than "Re: Contents of QuantLib-users digest..." Today's Topics:
1. Re: Option Volatility or Underlying? (cf16-2)
2. Re: Cumulative Bivariate Distribution error in the tails -
BivariateCumulativeNormalDistributionWe04DP (Luigi Ballabio)
3. QLXL matrix parameter type conversion/translation question
([hidden email])
4. Re: dual bootstrap question (Ferdinando Ametrano)
5. Re: Paper on Everything You always wanted to know about
Multiple Interest Rate Curve Boostrapping But were Afraid to Ask
(Ferdinando Ametrano)
6. Re: dual bootstrap question (MN)
Attached Message
no, you put there the volatility of the underlying's returns if this is stock this is the square root of the quadratic variation of the stock's log price process see here <http://en.wikipedia.org/wiki/Black%E2%80%93Scholes> cf16 ----- why always me? -- View this message in context: http://quantlib.10058.n7.nabble.com/Option-Volatility-or-Underlying-tp14134p14146.html Sent from the quantlib-users mailing list archive at Nabble.com. Attached Message
Hi Fabien,
I've applied your patch to the repository.
Thanks,
Luigi
On Thu, Feb 21, 2013 at 1:31 PM, Fabien Le Floc'h <[hidden email]> wrote:
> Hello,
>
> BivariateCumulativeNormalDistributionWe04DP is imprecise in the tails: when
> the correlation is high and the x,y are very high (near +/-7), the results
> returned can exhibit some wiggling due to numerical noise. In practice this
> can lead to nonsensical greeks.
>
> A simple fix is to evaluate the univariate cumulative normal distribution
> where it is most precise, that is in the lower tail rather than in the upper
> tail, because one can achieve much higher accuracy around 0.0 vs around 1.0
> with double numbers.
>
> Attached is a small patch for BivariateCumulativeNormalDistributionWe04DP
> along with a unit test.
>
> Best regards,
>
> Fabien Le Floc'h
>
> ------------------------------------------------------------------------------
> Everyone hates slow websites. So do we.
> Make your web apps faster with AppDynamics
> Download AppDynamics Lite for free today:
> http://p.sf.net/sfu/appdyn_d2d_feb
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
Attached Message
Hello all,
Why is it when I write:
<Parameter name='SomeVectorVector'>
<type>QuantLib::Real</type>
<tensorRank>matrix</tensorRank>
<description>My Matrix.</description>
</Parameter>
the code generated in create_myspaguetti.cpp does not write the conversion. The
variable SomeVectorVectorLib is not declared but invoked when calling the
constructor/meber/procedure.
Of course I can live with it since:
<Parameter name='SomeVectorVector'>
<type>double</type>
<tensorRank>matrix</tensorRank>
<description>My Matrix.</description>
</Parameter>
goes fine.
But I must be missing something.
?
Apologies if it is documented somewhere already.
Best regards
Pepe
Attached Message
I'm wondering if the dual bootstrap functionality in Quantlib provides for a no need in my experience to enforce such a condition: input market rates for 6M are higher the 3M ones, resulting in a non crossing curves
Nando
Attached Message
Please which part of the quantlib code shows the implemenation of the branch R01020x-branch includes all code and workbooks used to calculate data and charts: all results can be obtained using the VBA framework.
Unfortunately to provide a detailed how-to guide is not feasible for me anytime soon
Attached Message
Ok, however, in my experience it may happen for some interpolation models where oscillation can cause problems in the long end.
/Magnus
From: Ferdinando Ametrano [[hidden email]]
Sent: Thursday, March 21, 2013 3:40 PM To: MN Cc: QuantLib Mailing Lists Subject: Re: [Quantlib-users] dual bootstrap question On Tue, Mar 19, 2013 at 9:57 AM, MN <[hidden email]> wrote:
no need in my experience to enforce such a condition: input market rates for 6M are higher the 3M ones, resulting in a non crossing curves
Nando
------------------------------------------------------------------------------ Everyone hates slow websites. So do we. Make your web apps faster with AppDynamics Download AppDynamics Lite for free today: http://p.sf.net/sfu/appdyn_d2d_mar _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Everyone hates slow websites. So do we. Make your web apps faster with AppDynamics Download AppDynamics Lite for free today: http://p.sf.net/sfu/appdyn_d2d_mar _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantLib-users Digest, Vol 82, Issue 8
|
|
On Thu, Mar 21, 2013 at 5:43 PM, Theo Boafo <[hidden email]> wrote: Ok, how does one get acces to the the branch code and work books used to calculate data and charts? Just download the 1.2 releases of QuantLib and QuantLibXL. They're all there. Luigi ------------------------------------------------------------------------------ Everyone hates slow websites. So do we. Make your web apps faster with AppDynamics Download AppDynamics Lite for free today: http://p.sf.net/sfu/appdyn_d2d_mar _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantLib-users Digest, Vol 82, Issue 8
|
|
Hi Luigi,
Can you please pin point exactly which classes in 1.2 have the multicurve boostrapping?
Regards
Theo
-----Original Message-----
From: Luigi Ballabio <[hidden email]> To: Theo Boafo <[hidden email]> CC: QuantLib QuantLib <[hidden email]>; quantlib-dev-request <[hidden email]> Sent: Thu, 21 Mar 2013 16:50 Subject: Re: [Quantlib-users] QuantLib-users Digest, Vol 82, Issue 8 On Thu, Mar 21, 2013 at 5:43 PM, Theo Boafo <[hidden email]> wrote:
Ok, how does one get acces to the the branch code and work books used to calculate data and charts? Just download the 1.2 releases of QuantLib and QuantLibXL. They're all there.
Luigi
------------------------------------------------------------------------------ Own the Future-Intel(R) Level Up Game Demo Contest 2013 Rise to greatness in Intel's independent game demo contest. Compete for recognition, cash, and the chance to get your game on Steam. $5K grand prize plus 10 genre and skill prizes. Submit your demo by 6/6/13. http://altfarm.mediaplex.com/ad/ck/12124-176961-30367-2 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantLib-users Digest, Vol 82, Issue 8
|
|
OISRateHelper can be used to build a curve on overnight swaps.
SwapRateHelper can take the OIS curve as a discount curve when bootstrapping Libor curves. In both cases, the curve is an instantiation of PiecewiseYieldCurve. That's about it, I guess. Luigi On Tue, Apr 2, 2013 at 4:40 PM, Theo Boafo <[hidden email]> wrote: > Hi Luigi, > > Can you please pin point exactly which classes in 1.2 have the multicurve > boostrapping? > > Regards > > Theo > > > > -----Original Message----- > From: Luigi Ballabio <[hidden email]> > To: Theo Boafo <[hidden email]> > CC: QuantLib QuantLib <[hidden email]>; > quantlib-dev-request <[hidden email]> > Sent: Thu, 21 Mar 2013 16:50 > Subject: Re: [Quantlib-users] QuantLib-users Digest, Vol 82, Issue 8 > > > On Thu, Mar 21, 2013 at 5:43 PM, Theo Boafo <[hidden email]> wrote: >> >> Ok, how does one get acces to the the branch code and work books used to >> calculate data and charts? > > > > Just download the 1.2 releases of QuantLib and QuantLibXL. They're all > there. > > Luigi ------------------------------------------------------------------------------ Minimize network downtime and maximize team effectiveness. Reduce network management and security costs.Learn how to hire the most talented Cisco Certified professionals. Visit the Employer Resources Portal http://www.cisco.com/web/learning/employer_resources/index.html _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
«
Return to quantlib-users
|
1 view|%1 views
| Free forum by Nabble | Edit this page |