VanillaOption: Excel sample to calculate implied volatility
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VanillaOption: Excel sample to calculate implied volatility
 
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As you no doubt will notice I am a novice, just starting on the library.
Appreciate a sample Excel file on how to calculate implied vol assuming I have all other params including option price. Regards, IZ PLEASE READ: The information contained in this e-mail is confidential and intended for the named recipient(s) only. If you are not an intended recipient of this e-mail you must not copy, distribute or take any further action in reliance upon it and you should delete it and notify the sender immediately. E-mail is not a secure method of communication. Nomura International (Hong Kong) Limited cannot accept responsibility for the accuracy or completeness of this message or any attachment(s). This transmission could contain viruses, be corrupted, destroyed, incomplete, intercepted, lost or arrive late. If verification of this e-mail is sought then please request a hard copy. Unless otherwise stated any views or opinions presented are solely those of the author and do not represent those of Nomura International (Hong Kong) Limited. This e-mail is intended for information purposes only and is not a solicitation or offer to buy or sell securities or related financial instruments. ------------------------------------------------------------------------------ This SF.Net email is sponsored by the Verizon Developer Community Take advantage of Verizon's best-in-class app development support A streamlined, 14 day to market process makes app distribution fast and easy Join now and get one step closer to millions of Verizon customers http://p.sf.net/sfu/verizon-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: VanillaOption: Excel sample to calculate impliedvolatility
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I missed mentioning I want to use the qlGeneralizedBlackScholesProcess
as I want to use as inputs dividend yield and risk free rate. -----Original Message----- From: Ziman, Iosif Sent: Wednesday, January 13, 2010 8:04 PM To: [hidden email] Subject: [Quantlib-users] VanillaOption: Excel sample to calculate impliedvolatility As you no doubt will notice I am a novice, just starting on the library. Appreciate a sample Excel file on how to calculate implied vol assuming I have all other params including option price. Regards, IZ PLEASE READ: The information contained in this e-mail is confidential and intended for the named recipient(s) only. If you are not an intended recipient of this e-mail you must not copy, distribute or take any further action in reliance upon it and you should delete it and notify the sender immediately. E-mail is not a secure method of communication. Nomura International (Hong Kong) Limited cannot accept responsibility for the accuracy or completeness of this message or any attachment(s). This transmission could contain viruses, be corrupted, destroyed, incomplete, intercepted, lost or arrive late. If verification of this e-mail is sought then please request a hard copy. Unless otherwise stated any views or opinions presented are solely those of the author and do not represent those of Nomura International (Hong Kong) Limited. This e-mail is intended for information purposes only and is not a solicitation or offer to buy or sell securities or related financial instruments. ------------------------------------------------------------------------ ------ This SF.Net email is sponsored by the Verizon Developer Community Take advantage of Verizon's best-in-class app development support A streamlined, 14 day to market process makes app distribution fast and easy Join now and get one step closer to millions of Verizon customers http://p.sf.net/sfu/verizon-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users PLEASE READ: The information contained in this e-mail is confidential and intended for the named recipient(s) only. If you are not an intended recipient of this e-mail you must not copy, distribute or take any further action in reliance upon it and you should delete it and notify the sender immediately. E-mail is not a secure method of communication. Nomura International (Hong Kong) Limited cannot accept responsibility for the accuracy or completeness of this message or any attachment(s). This transmission could contain viruses, be corrupted, destroyed, incomplete, intercepted, lost or arrive late. If verification of this e-mail is sought then please request a hard copy. Unless otherwise stated any views or opinions presented are solely those of the author and do not represent those of Nomura International (Hong Kong) Limited. This e-mail is intended for information purposes only and is not a solicitation or offer to buy or sell securities or related financial instruments. ------------------------------------------------------------------------------ This SF.Net email is sponsored by the Verizon Developer Community Take advantage of Verizon's best-in-class app development support A streamlined, 14 day to market process makes app distribution fast and easy Join now and get one step closer to millions of Verizon customers http://p.sf.net/sfu/verizon-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by iosif ziman
Hello I am just getting started with the library.
I would love to have a simple C++ program example where I: 1) Enter into a 2y fixed leg payer IRS in ZAR @ 8.5% on the fixed leg. 2) One month later 2y point is 8.3% and the 18m point is 8.2% and I would like to value the original IRS. Would somebody have a small script which does this, allowing me a very simple starting point for learning? The above is just a simple example and anything analogous will do as well. I wish to use it to price my clients' trades (I am an emerging markets rates salesperson to hedge funds. I have decent programming experience even if it's a little rusty - so simplicity matters to me). Thanks, Tom ------------------------------------------------------------------------------ Throughout its 18-year history, RSA Conference consistently attracts the world's best and brightest in the field, creating opportunities for Conference attendees to learn about information security's most important issues through interactions with peers, luminaries and emerging and established companies. http://p.sf.net/sfu/rsaconf-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Simple IRS pricing example
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On Jan 16, 2010, at 1:18 AM, [hidden email] wrote: > Hello I am just getting started with the library. > > I would love to have a simple C++ program example where I: > > 1) Enter into a 2y fixed leg payer IRS in ZAR @ 8.5% on the fixed leg. > 2) One month later 2y point is 8.3% and the 18m point is 8.2% and I > would like to value the original IRS. > > Would somebody have a small script which does this, allowing me a > very simple starting point for learning? Have a look at Examples/SwapValuation. Luigi ------------------------------------------------------------------------------ Throughout its 18-year history, RSA Conference consistently attracts the world's best and brightest in the field, creating opportunities for Conference attendees to learn about information security's most important issues through interactions with peers, luminaries and emerging and established companies. http://p.sf.net/sfu/rsaconf-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Thanks.
If anybody has something more concise than the provided 800 line example, which is daunting, much appreciated. Alternatively, has anyone done something in Python, referencing quantlib? On 16 Jan 2010, at 10:17, Luigi Ballabio wrote: > > On Jan 16, 2010, at 1:18 AM, [hidden email] wrote: >> Hello I am just getting started with the library. >> >> I would love to have a simple C++ program example where I: >> >> 1) Enter into a 2y fixed leg payer IRS in ZAR @ 8.5% on the fixed leg. >> 2) One month later 2y point is 8.3% and the 18m point is 8.2% and I would like to value the original IRS. >> >> Would somebody have a small script which does this, allowing me a very simple starting point for learning? > > Have a look at Examples/SwapValuation. > > Luigi > > ------------------------------------------------------------------------------ Throughout its 18-year history, RSA Conference consistently attracts the world's best and brightest in the field, creating opportunities for Conference attendees to learn about information security's most important issues through interactions with peers, luminaries and emerging and established companies. http://p.sf.net/sfu/rsaconf-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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