complex structured products
Locked
 
|
Hi,
I hava a question about the complex structured products : This question is simple ; in the present state of QL developement , is it possible to evaluate complex structured products with QL ? ------------------------------------------------------------------------------ Register Now & Save for Velocity, the Web Performance & Operations Conference from O'Reilly Media. Velocity features a full day of expert-led, hands-on workshops and two days of sessions from industry leaders in dedicated Performance & Operations tracks. Use code vel09scf and Save an extra 15% before 5/3. http://p.sf.net/sfu/velocityconf _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: complex structured products
|
|
On Tue, Apr 28, 2009 at 5:08 PM, Hachemi Benyahia
<[hidden email]> wrote: > I hava a question about the complex structured products : > > This question is simple ; in the present state of QL developement , is it > possible to evaluate complex structured products with QL ? the question is complex. In the present state of QL development you can surely evaluate simple structured products with QL. For the complex ones the question is simple: how complex are they? :-D ciao -- Nando ------------------------------------------------------------------------------ Register Now & Save for Velocity, the Web Performance & Operations Conference from O'Reilly Media. Velocity features a full day of expert-led, hands-on workshops and two days of sessions from industry leaders in dedicated Performance & Operations tracks. Use code vel09scf and Save an extra 15% before 5/3. http://p.sf.net/sfu/velocityconf _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
Nando,
For my part, I would be interested in this topic if there would be enough cross-team input.
Hachemi,
The products are IR-related and/or are you thinking of other ones?
Daniel From: Ferdinando Ametrano [mailto:[hidden email]] Sent: Tue 28-04-2009 17:28 To: Hachemi Benyahia Cc: [hidden email] Subject: Re: [Quantlib-users] complex structured products On Tue, Apr 28, 2009 at 5:08 PM, Hachemi Benyahia ------------------------------------------------------------------------------ Register Now & Save for Velocity, the Web Performance & Operations Conference from O'Reilly Media. Velocity features a full day of expert-led, hands-on workshops and two days of sessions from industry leaders in dedicated Performance & Operations tracks. Use code vel09scf and Save an extra 15% before 5/3. http://p.sf.net/sfu/velocityconf _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
In reply to this post by Ferdinando Ametrano-4
Nando,
To be exact I must evaluate Structured products on index and on interst rate : - For example I would like evaluate with the Monte Carlo method a product where the underlying asset is a CDS with a bermudan exercise. - Another interesting issue is
the management of discrete dividends in the Monte Carlo simulation for
the Index stuctured product 2009/4/28 Ferdinando Ametrano <[hidden email]>
------------------------------------------------------------------------------ Register Now & Save for Velocity, the Web Performance & Operations Conference from O'Reilly Media. Velocity features a full day of expert-led, hands-on workshops and two days of sessions from industry leaders in dedicated Performance & Operations tracks. Use code vel09scf and Save an extra 15% before 5/3. http://p.sf.net/sfu/velocityconf _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: complex structured products
|
|
Hi
On Tue, Apr 28, 2009 at 7:50 PM, Hachemi Benyahia <[hidden email]> wrote: > - For example I would like evaluate with the Monte Carlo method a product > where the underlying asset is a CDS with a bermudan exercise. > - Another interesting issue is the management of discrete dividends in the > Monte Carlo simulation for the Index stuctured product while most (probably all) of the key tools are available there are not ready-to-use solutions to your need ciao -- Nando ------------------------------------------------------------------------------ Register Now & Save for Velocity, the Web Performance & Operations Conference from O'Reilly Media. Velocity features a full day of expert-led, hands-on workshops and two days of sessions from industry leaders in dedicated Performance & Operations tracks. Use code vel09scf and Save an extra 15% before 5/3. http://p.sf.net/sfu/velocityconf _______________________________________________ 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 |