fx in Quantlib

[Xavier.Abulker]

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


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[Ferdinando Ametrano-3]

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

[Marco Marchioro-2]

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

[Marco Marchioro-2]

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.

[Ferdinando Ametrano-3]

>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?

You can. I cannot figure out what I had in mind when I added that second
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.

that would be great, and it was in my original plan, if only I had time
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.
>
>
>
>
>
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