Re: quantlib asian options

[Kakhkhor Abdijalilov]

1.0 is running accumulator value and 0 is past fixings. It means that
only the reaming fixings are for averaging.

There is something isn't perfectly right in floating strike engine
implementation.

These are the steps to reproduce "the bug".

1. Set dividend yield to zero. QL and my implementation perfectly agree.

2. Increase risk free rate and dividend yield by the same amount. This
won't affect GBM dynamics. If we compensate for the higher discount
factor then the prices shouldn't chance. Indeed, my implementation
gives the same result, but QL gives slightly higher values. The
difference is negligible (only 4th digits differ) for practical
purposes, but it indicates that something isn't right, because
floating strike analytical engine uses exact formula, not
approximation

When dividend yield is zero my implementation perfectly agrees with QL.

Fixed strike prices agree in both cases (the difference only in 14th digit).

------------------------------------------------------------------------------
The modern datacenter depends on network connectivity to access resources
and provide services. The best practices for maximizing a physical server's
connectivity to a physical network are well understood - see how these
rules translate into the virtual world?
http://p.sf.net/sfu/oracle-sfdevnlfb
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Luigi Ballabio]

Kakhkhor,
        sorry I didn't have time to look at the problem.  Do you mind adding
the issue to the bug tracker so it doesn't get lost?

Thanks,
        Luigi


On Mon, 2011-02-07 at 08:53 -0500, Kakhkhor Abdijalilov wrote:

> 1.0 is running accumulator value and 0 is past fixings. It means that
> only the reaming fixings are for averaging.
>
> There is something isn't perfectly right in floating strike engine
> implementation.
>
> These are the steps to reproduce "the bug".
>
> 1. Set dividend yield to zero. QL and my implementation perfectly agree.
>
> 2. Increase risk free rate and dividend yield by the same amount. This
> won't affect GBM dynamics. If we compensate for the higher discount
> factor then the prices shouldn't chance. Indeed, my implementation
> gives the same result, but QL gives slightly higher values. The
> difference is negligible (only 4th digits differ) for practical
> purposes, but it indicates that something isn't right, because
> floating strike analytical engine uses exact formula, not
> approximation
>
> When dividend yield is zero my implementation perfectly agrees with QL.
>
> Fixed strike prices agree in both cases (the difference only in 14th digit).
>
> ------------------------------------------------------------------------------
> The modern datacenter depends on network connectivity to access resources
> and provide services. The best practices for maximizing a physical server's
> connectivity to a physical network are well understood - see how these
> rules translate into the virtual world?
> http://p.sf.net/sfu/oracle-sfdevnlfb
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

--

Vin: It's like this fellow I knew in El Paso. One day, he just took
all his clothes off and jumped in a mess of cactus. I asked him that
same question, "Why?"
Calvera: And?
Vin: He said, "It seemed like a good idea at the time."
-- The Magnificent Seven



------------------------------------------------------------------------------
Colocation vs. Managed Hosting
A question and answer guide to determining the best fit
for your organization - today and in the future.
http://p.sf.net/sfu/internap-sfd2d
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Kakhkhor Abdijalilov]

I am planning to submit my own implementation to QL. Bug report will follow.

Regards,
Kakhkhor Abdijalilov.

------------------------------------------------------------------------------
Colocation vs. Managed Hosting
A question and answer guide to determining the best fit
for your organization - today and in the future.
http://p.sf.net/sfu/internap-sfd2d
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev