Hello Quantlib,
I'd like to know if someone has already developped FX and FX Option in Quantlib? It looks like it's in the "to do" list but I don't see if something has been started yet. Thanks Xavier ************************************************************************* Ce message et toutes les pieces jointes (ci-apres le "message") sont confidentiels et etablis a l'intention exclusive de ses destinataires. Toute utilisation ou diffusion non autorisee est interdite. Tout message electronique est susceptible d'alteration. La Fimat et ses filiales declinent toute responsabilite au titre de ce message s'il a ete altere, deforme ou falsifie. ******** This message and any attachments (the "message") are confidential and intended solely for the addressees. Any unauthorised use or dissemination is prohibited. E-mails are susceptible to alteration. Neither Fimat nor any of its subsidiaries or affiliates shall be liable for the message if altered, changed or falsified. ************************************************************************* |
At 09:31 AM 11/27/2002 +0100, [hidden email] wrote:
>I'd like to know if someone has already developped FX and FX Option in >Quantlib? >It looks like it's in the "to do" list but I don't see if something has >been started yet. not yet, at least as far as I know ciao -- Nando |
Hi QuantLibers,
I've just committed four new Calendars in QuantLib, i.e. Budapest, Oslo, Stockhlom, and Warsaw. I found the holiday schedule here and there on the Internet. Is there anybody more familiar with those countries that can check them? thanks, Marco Marchioro |
Hello everybody,
and happy thanksgiving to everybody! I'm trying to refactor the file voltermstructure.hpp First of all I'd like to add few methods to compute the derivatives of BlackVolTermStructure. These are needed to implement the method described in Rebonato(Vol and Cor.) at chapter 6. The added methods are virtual double timeDerivative(...) virtual double strikeDerivative(...) virtual double strikeSecondDerivative(...) and they would be implemented as finite difference in the BlackVolTermStructure class. Also, I would like to move part of the code in a new file voltermstructure.cpp Lastly, I do not understand the interface of the class LocalVolTermStructure, e.g., public: double localVol(const Date& date1, const Date& date2, double underlyingLevel, bool extrapolate = false) const; and similarly for the others. If the volatility is local, how come there are two dates? Should not we have something like the following? public: double localVol(const Date& date, double underlyingLevel, bool extrapolate = false) const; and similarly for the others. Can I drop the extra parameter? Marco Marchioro. |
>I'm trying to refactor the file voltermstructure.hpp
as the author of that file I'm pleased to welcome you. Please just allow me half a day to check if I have major modifications/additions to that file that I haven't checked into the CVS yet. >Also, I would like to move part of the code in a new file >voltermstructure.cpp no problem at all. >I do not understand the interface of the class >LocalVolTermStructure, e.g., > public: > double localVol(const Date& date1, > const Date& date2, > double underlyingLevel, > bool extrapolate = false) const; >and similarly for the others. > >Can I drop the extra parameter? date. Probably it was just a wrong cut&paste. >I'd like to add few methods to compute the derivatives >of BlackVolTermStructure. These are needed to implement the method >described in Rebonato(Vol and Cor.) at chapter 6. >The added methods are > >virtual double timeDerivative(...) >virtual double strikeDerivative(...) >virtual double strikeSecondDerivative(...) > >and they would be implemented as finite difference in the >BlackVolTermStructure class. enough to implement it. While on this subject: do you plan to contribute a constructor for a LocalVolTermStructure class that uses a BlackVolTermStructure as input to bootstrap the local vol surface? In that case I would consider worthwhile to pay attention to degenerate cases as 1) constant Black vol (no time/strike dependencies) 2) time dependent Black vol (no strike dependencies): while I do understand that these cases do not have real-life values, I think they help tremendously when it comes to testing and didactical issues. Of course in these 2 cases there is no real difference between a local vol curve and the corresponding Black vol curve, it's just a matter of providing a local vol interface to what is basically a simple Black vol curve. Am I missing something? Do you agree with my comments? thank you for your help ciao -- Nando ciao -- Nando >Marco Marchioro. > > > > > >------------------------------------------------------- >This SF.net email is sponsored by: Get the new Palm Tungsten T handheld. >Power & Color in a compact size! >http://ads.sourceforge.net/cgi-bin/redirect.pl?palm0002en >_______________________________________________ >Quantlib-users mailing list >[hidden email] >https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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