Shifted Log Normal in QuantLib XL
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Hi all,
I would know if anybody is working on the shifted log normal model to price IR derivatives in QuantLibXL. For me the goal is the pricing of structured bonds. The market is now giving the vol and the shift to put in a shifted log normal model both for the CF and Swpt Surface. I would know if there is a way to use a shifted LN model in QuantLibXL, or something that can take into account negative rates (maybe a Normal one?), to price Cap&Floor and Swaptions. Many thanks, Iacopo |
Re: Shifted Log Normal in QuantLib XL
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Some support has been added recently (see <https://github.com/lballabio/quantlib/pull/167> and <https://github.com/lballabio/quantlib/pull/216>) but it hasn't made it into a release yet. However, that's only on the C++ side. So far there has been no work to export this to QuantLibXL, as far as I know. Luigi On Tue, Apr 21, 2015 at 7:58 PM, Sparviero <[hidden email]> wrote: Hi all, ------------------------------------------------------------------------------ One dashboard for servers and applications across Physical-Virtual-Cloud Widest out-of-the-box monitoring support with 50+ applications Performance metrics, stats and reports that give you Actionable Insights Deep dive visibility with transaction tracing using APM Insight. http://ad.doubleclick.net/ddm/clk/290420510;117567292;y _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Thanks Luigi. I can see the field "displacment" in both the qlBlackCapFloorPricingEngine and qlBlackSwaptionEngine. Maybe this is the shift to get a shifted-Black engine or I'm making a mistake? Regards, Iacopo 2015-05-07 16:59 GMT+02:00 Luigi Ballabio [via QuantLib] <[hidden email]>:
-- Iacopo Di Pietro Via Resco 15/D 50063 Figline V.no, FI +39 3297729062 Skype: iacopo_di_pietro (firenze) |
Re: Shifted Log Normal in QuantLib XL
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That's correct. However, the drift is not yet available everywhere the model is used (calibration etc.) Luigi On Thu, May 7, 2015 at 6:07 PM, Sparviero <[hidden email]> wrote:
------------------------------------------------------------------------------ One dashboard for servers and applications across Physical-Virtual-Cloud Widest out-of-the-box monitoring support with 50+ applications Performance metrics, stats and reports that give you Actionable Insights Deep dive visibility with transaction tracing using APM Insight. http://ad.doubleclick.net/ddm/clk/290420510;117567292;y _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Thank you for the reply Luigi. Can you explain me the problem in more detail pls? If the market give us vols on a Black + shift 3% why we can't just bootstrap the vols and then do the pricing via a qlBlackCapFloorEngine with a 3% displacement using the fwd vols obtained? I have also a question on the vols bootstrapping. I red some month ago a post where a user was boostrapping the vols with this procedure: creating a CapFloorVolTermStructure wih the market vols; create an OptionletStripper1; mold the OptionletStripper1 into an OptionletVolatilitySurface via a StrippedOptionletAdapter..... I do not understand the last. I do not find an object qlOptionletVolatilitySurface and I do not understand what to do, can you help? Many Thanks, Iacopo 2015-05-08 15:30 GMT+02:00 Luigi Ballabio [via QuantLib] <[hidden email]>:
-- Iacopo Di Pietro Via Resco 15/D 50063 Figline V.no, FI +39 3297729062 Skype: iacopo_di_pietro (firenze) |
Re: Shifted Log Normal in QuantLib XL
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You can. You can't do other things, such as calibrating a Hull-White model over displaced volatilities. About the stripping: OptionletVolatilitySurface is an abstract type and is probably not exported to an Excel function. You'd probably call qlStrippedOptionletAdapter and that's it. But I'm not familiar with the Excel interface, so take it with a grain of salt. Luigi On Wed, Jun 3, 2015 at 4:30 PM, Sparviero <[hidden email]> wrote:
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In reply to this post by Luigi Ballabio
Correct me if I'm wrong, but can't you just manipulate the ATM rate and strike in your spreadsheet by some value before you pass it to the skew/pricing model? No need for code change. Worked fine for me back in the day. -Mike On May 7, 2015 10:17 AM, "Luigi Ballabio" <[hidden email]> wrote:
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Re: Shifted Log Normal in QuantLib XL
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you can do that in the single vanilla pricing context, but as Luigi
said you will need an integrated solution when calibrating full rate models and so on. Also the shift size Management is not completely trivial in all cases (e.g. for swaptions you can have different shifts for each option / underlying Tenor pair, so you need to interpolate). I think starting with version 1.6 there will be some Support for shifted and normal volatilities. Peter On 4 June 2015 at 15:44, Mike DelMedico <[hidden email]> wrote: > Correct me if I'm wrong, but can't you just manipulate the ATM rate and > strike in your spreadsheet by some value before you pass it to the > skew/pricing model? No need for code change. Worked fine for me back in > the day. > > -Mike > > On May 7, 2015 10:17 AM, "Luigi Ballabio" <[hidden email]> wrote: >> >> Some support has been added recently (see >> <https://github.com/lballabio/quantlib/pull/167> and >> <https://github.com/lballabio/quantlib/pull/216>) but it hasn't made it into >> a release yet. However, that's only on the C++ side. So far there has been >> no work to export this to QuantLibXL, as far as I know. >> >> Luigi >> >> >> On Tue, Apr 21, 2015 at 7:58 PM, Sparviero <[hidden email]> >> wrote: >>> >>> Hi all, >>> >>> I would know if anybody is working on the shifted log normal model to >>> price >>> IR derivatives in QuantLibXL. >>> For me the goal is the pricing of structured bonds. The market is now >>> giving >>> the vol and the shift to put in a shifted log normal model both for the >>> CF >>> and Swpt Surface. >>> I would know if there is a way to use a shifted LN model in QuantLibXL, >>> or >>> something that can take into account negative rates (maybe a Normal >>> one?), >>> to price Cap&Floor and Swaptions. >>> >>> Many thanks, >>> >>> Iacopo >>> >>> >>> >>> -- >>> View this message in context: >>> http://quantlib.10058.n7.nabble.com/Shifted-Log-Normal-in-QuantLib-XL-tp16511.html >>> Sent from the quantlib-users mailing list archive at Nabble.com. >>> >>> >>> ------------------------------------------------------------------------------ >>> BPM Camp - Free Virtual Workshop May 6th at 10am PDT/1PM EDT >>> Develop your own process in accordance with the BPMN 2 standard >>> Learn Process modeling best practices with Bonita BPM through live >>> exercises >>> http://www.bonitasoft.com/be-part-of-it/events/bpm-camp-virtual- >>> event?utm_ >>> source=Sourceforge_BPM_Camp_5_6_15&utm_medium=email&utm_campaign=VA_SF >>> _______________________________________________ >>> QuantLib-users mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> >> >> >> -- >> <http://leanpub.com/implementingquantlib/> >> <http://implementingquantlib.com> >> <http://twitter.com/lballabio> >> >> >> ------------------------------------------------------------------------------ >> One dashboard for servers and applications across Physical-Virtual-Cloud >> Widest out-of-the-box monitoring support with 50+ applications >> Performance metrics, stats and reports that give you Actionable Insights >> Deep dive visibility with transaction tracing using APM Insight. >> http://ad.doubleclick.net/ddm/clk/290420510;117567292;y >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > > ------------------------------------------------------------------------------ > > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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This post was updated on .
In reply to this post by Luigi Ballabio
Hi Luigi,
I tried Yesterday the pricing of plain CF via a displaced 3% Black; seems it doesen't work. The OptionletVolatilityStripper1, as you told me some days ago, instantiate a qlBlackCapFloorEngine without chance of set a displacement...hence it fails trying to bootstrap fwd vol relative to a negative strike. Doing the bootstrap in a less automated way I tried to price each caplet explicit, creating engines and optionletVols but other problems arose: When I trigger the engine to get the NPV the error log tell me that strike (-0.5%) + displacement (0.0) must be positive, but the variable displacement has value 0.03.... I'm doing the pricing shifting strikes and IR curves but is not the solution I'm looking for..any hints? Cheers, Iacopo |
Re: Shifted Log Normal in QuantLib XL
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Hi Iacopo,
which version are you using ? I think this commit is relevant for your use case https://github.com/lballabio/quantlib/commit/329aebb6ecea4f803b91d736cb15b993615afe7b before which the displacement parameter wouldn't be passed through the addin to the core, so defaulted to zero there. Best regards Peter On 9 June 2015 at 09:15, Sparviero <[hidden email]> wrote: > Hi Luigi, > > I tried Yesterday the pricing of plain CF via a displaced 3% Black.....seems > it doesen't work. The error log tell me that strike (-0.5%) + displacement > (0.0) must be positive....but in the variable has value 0.03. > > I'm doing the pricing shifting strikes and IR curves but is not the solution > I'm looking for..any hints? > > > Cheers, > > Iacopo > > > > -- > View this message in context: http://quantlib.10058.n7.nabble.com/Shifted-Log-Normal-in-QuantLib-XL-tp16511p16641.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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