jamshidianswaptionengine

Hi all,
I think there is an error in the jamshidianswaptionengine.cpp file. This engine is based on the jamshidian decomposition which allows to write a swaption as a sum of zero coupon bond options. But the if the expiry time of the swaption when priced in the swap-measure (blackswaptionengine) is the fixing date of the underlying swap, I think that the maturities of the zero coupon bond options should be equal to the start date of the swap.
In fact I used this engine as it is to price both payer and receiver atm swaptions, and the prices I find violate the put-call parity. This does not happen any more if we change the maturity of the options.
I just replaced
   maturity_(params.floatingResetTimes[0])
with
   maturity_(params.stoppingTimes[0])
in the rStarFinder constructor and
   Time maturity = arguments_.stoppingTimes[0];
with
   Time maturity = arguments_.floatingResetTimes[0];
in the calculate method.
What do you think?

Bye,
Marco



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[Toyin Akin]

Hi all,

Today I have posted up version #2 of my financial toolkit based largely upon
QuantLib.

We, www.QuantTools.com, have tried to deliver a pricing platform, pretty
similar to FinancialCAD, MBRM and other such commercial financial
application frameworks. The main difference between the said systems and our
framework is that we use objects heavily within our functions (rather than
rectangular ranges of information).

Thus we have been able to provide functionality that is not possible under
the said systems (ie - given an interest rate product, be able to compute
interest rate yieldcurve/volatility curve/SABR risk within the library
rather than within a spreadsheet).

We used as much public domain code as possible so that our own costs were
low as well as allowing the users to have access to most of the algorithms.

You may have remembered that version #1 of my library (3 years ago) was
based on .NET entirely and a free ASP.NET web site was created for the
pricing of structured products.

Unfortunatly, our hosting company did not like the fact that the server was
running at 100% capacity and thus delivering poor performance for other web
sites also hosted on the same box.

I was advised to move this system onto a dedicated box, but that meant
paying for one in which case the service would no longer be free.

Version #2 is a complete rewrite in C++.

The libraries can be downloaded and evaluated. There is an Excel Addin as
well as C++, java (via JNI), .NET (does not use COM interp),  Excel VBA
addin and an ActiveX (COM) component (for a small fee!!).

The Excel Addin and the libraries all have the same interface and expose
over 2100 functions and practically exposes most of the functionality within
the QuantLib library.

The library also boasts generic pricing routines via MonteCarlo, Tree and
PDE frameworks as well as reading FpML files into Excel and applying XPath
statement to display nodes.

There are online code samples (in 8 languages) and object diagrams to help
understand the relationship between objects during a function call.

In summary I would like to thank the entire QuantLib team for providing such
a wonderful framework.

The last three years of coding this version was certainly stressful. However
without QuantLib we could have easily added three more years (as well as
hiring a lot of very expensive consultants/contractors!!).

Check it out, I think you'll like it...

Best Regards,
Toyin Akin.
www.QuantTools.com

_________________________________________________________________
Windows Live™ Messenger has arrived. Click here to download it for free!
http://imagine-msn.com/messenger/launch80/?locale=en-gb

[Toyin Akin]

Hi All,

As you may know, we at CapeTools QuantTools have used a large portion of the
QuantLib library within our commercial software.

Very recently, we had many requests for a light weight version where the
(2100+ functions) Excel Addin was to be broken up into several smaller
addins.

Each addin should know how to handle it's own subset of calculations.

The difficulty though was that some addins depend on others and because our
libraries construct objects, that meant passing financial objects from one
addin to another.

I myself have never encounted an Excel addin (or if you like, Excel c++ dll
library) before that allows you to pass objects between addins. Passing
ranges, basic data types yes, but never passing references to objects where
the original objects were created and reside within other addins.

Traditionally passing objects within C++, where the objects hold stl
containers or stl data types is an absolute pain in the ar@e. STL may be an
excellent toolkit within a library, but across dll boundaries it sucks.

This was the problem that we faced. How does one pass c++ objects across dll
boundaries where some objects may not implement copy constructors, may not
be copyable, may contain stl objects or even objects with static data
members.

We toyed for weeks on this. Then I remembered Eric Ehlers (and his team's)
ObjectHandler project.

Folks, this is quite an amazing library.

In just a few days, we were able to solve all of the above problems.

boost::any helps of course, but this is a nice little library.

We now have one library that functions as the repository of objects and any
of our financial addin libraries that are loaded into Excel can now have
access to objects created within another addin
(we used only a small subset of ObjectHandler's functionality).

For example, we have a curves addin which just builds yieldcurve objects,
volatility curve objects, repo curve objects, bond curve objects etc...

For those users that simply want to interrogate the curves, the curve addin
is enough.

For those users that wish to price an instrument and thus need access to the
curves, they will then need to load the appropriate addin (into the same
Excel instance). This other addin can then access these curve objects and
use the curves for pricing.

As Eric states, this is not just an Excel solution, but for us it saved us a
lot of hassle.

We have now released new libraries based on the new architecture.
Trial versions are avaliable (no need to register!!)

Best Regards,
Toyin Akin,
www.QuantTools.com

>From: "Toyin Akin" <[hidden email]>
>To: [hidden email],[hidden email]
>Subject: [Quantlib-dev] QuantLib usage in commercial appilcations...
>Date: Mon, 13 Nov 2006 15:47:01 +0000
>
>
>Hi all,
>
>Today I have posted up version #2 of my financial toolkit based largely
>upon QuantLib.
>
>We, www.QuantTools.com, have tried to deliver a pricing platform, pretty
>similar to FinancialCAD, MBRM and other such commercial financial
>application frameworks. The main difference between the said systems and
>our framework is that we use objects heavily within our functions (rather
>than rectangular ranges of information).
>
>Thus we have been able to provide functionality that is not possible under
>the said systems (ie - given an interest rate product, be able to compute
>interest rate yieldcurve/volatility curve/SABR risk within the library
>rather than within a spreadsheet).
>
>We used as much public domain code as possible so that our own costs were
>low as well as allowing the users to have access to most of the algorithms.
>
>You may have remembered that version #1 of my library (3 years ago) was
>based on .NET entirely and a free ASP.NET web site was created for the
>pricing of structured products.
>
>Unfortunatly, our hosting company did not like the fact that the server was
>running at 100% capacity and thus delivering poor performance for other web
>sites also hosted on the same box.
>
>I was advised to move this system onto a dedicated box, but that meant
>paying for one in which case the service would no longer be free.
>
>Version #2 is a complete rewrite in C++.
>
>The libraries can be downloaded and evaluated. There is an Excel Addin as
>well as C++, java (via JNI), .NET (does not use COM interp),  Excel VBA
>addin and an ActiveX (COM) component (for a small fee!!).
>
>The Excel Addin and the libraries all have the same interface and expose
>over 2100 functions and practically exposes most of the functionality
>within the QuantLib library.
>
>The library also boasts generic pricing routines via MonteCarlo, Tree and
>PDE frameworks as well as reading FpML files into Excel and applying XPath
>statement to display nodes.
>
>There are online code samples (in 8 languages) and object diagrams to help
>understand the relationship between objects during a function call.
>
>In summary I would like to thank the entire QuantLib team for providing
>such a wonderful framework.
>
>The last three years of coding this version was certainly stressful.
>However without QuantLib we could have easily added three more years (as
>well as hiring a lot of very expensive consultants/contractors!!).
>
>Check it out, I think you'll like it...
>
>Best Regards,
>Toyin Akin.
>www.QuantTools.com
>
>_________________________________________________________________
>Windows Live™ Messenger has arrived. Click here to download it for free!
>http://imagine-msn.com/messenger/launch80/?locale=en-gb
>
>

>-------------------------------------------------------------------------
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>Get stuff done quickly with pre-integrated technology to make your job
>easier
>Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
>http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642


>_______________________________________________
>QuantLib-dev mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-dev

_________________________________________________________________
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[Toyin Akin]

Hi all,

We've started a training video series (with audio) on our web site that will
hopefully demostrate prototyping financial structures via objects within an
Excel spreadsheet environment.

We believe that this is the first step before jumping into actual coding.
The benefit of avioding the compile/link step as well as visually
constructing objects is very appealing.

Although the video series will be based on our Excel libraries, we fully
intend to make many references to QuantLib (via QuantLib's documenttation)
as to where our implementation is taken from.

The same experience obtained from these video series can easily be applied
to QuantLib's Excel library as this is object based too.

The first video has already been posted (Introduction - 30 mins).

We hope to post between 2 to 3 videos a week.

In order to conserve bandwidth, the quality of the videos will not exactly
be tip/top (approx 9MB for 30 mins of audio/video).

In addition we have updated our Excel libraries in order to counter an Excel
bug that caused Excel to terminate within some Excel environments. If this
has happened to you, uninstall any previous version, download the new and
then install.

All the libraries function within a trial mode (no need to register for the
trial version) until fully activated.

Thats it for now folks...

Best Regards,
Toyin Akin,
CapeTools QuantTools,
www.QuantTools.com

_________________________________________________________________
MSN Hotmail is evolving – check out the new Windows Live Mail
http://ideas.live.com

[Toyin Akin]

Hi all,

Just a quick note.

I've copied up 2.5 hours of new free video training content based on my
library which is derived from QuantLib.

There are three new videos (wmv video format, approx 12MB each). The first
covers yieldcurve stripping, the second querying yieldcurve objects and the
third volatility curve object creation and querying (including the SABR
curve for both equity type products and interest rate underlyers).

Those who know the QuantLib object model already should feel at home with a
lot of the objects created.

More videos are currently in development. Hope you enjoy them...

Best Regards,
Toyin Akin,
CapeTools QuantTools
www.QuantTools.com

_________________________________________________________________
Get Hotmail, News, Sport and Entertainment from MSN on your mobile.  
http://www.msn.txt4content.com/

[Toyin Akin]

Hi All,

I have uploaded 3 new training videos (over 2.5 hours of new video viewing
content) demostrating vanilla and exotic option pricing (including building,
sorting, grouping and pricing portfolios of vanilla and exotic option deals
within the CapeTools QuantTools XL library).

I have also copied up a video that demostrates building stochatic process
objects as well as grouping stochastic objects within a correlated
stochastic array and conducting two types of montecarlo simulations using
the correlated stochastic array. Furthermore, once the simulation objects
has been created, there are further functions to query the object for the
simulated paths as well as applying custon payoffs within Excel.

Finally, the simulation demo presents an introduction to the montecarlo
generic pricing framework.

For those of you who are familiar with QuantLib's stochastic process and
simulation classes, you should find this particular video easy going as the
objects used are based directly on these quantLib classes. In fact within
the video, we make several references to QuantLib's documentation.

You can view these free training videos from www.QuantTools.com.

Simply navigate to the Download/Screenshot -> Training Videos link within
the menu.

New videos are :

Pricing (vanilla and exotic option pricing) : Duration 57 minutes
Portfolio Pricing (vanilla and exotic option portfolio manipulation and
pricing) : Duration 43 minutes
Simulation (for equity type underlyings) : Duration 57 minutes

We have also updated the CapeTools QuantTools XL library to v2.0.5.

Basically we have fixed quite a few bugs that we ourselves have found and
those found by some of our users.

Please see details on the site for what has changed.

Enjoy,
Best Regards,
Toyin Akin.
CapeTools QuantTools.

_________________________________________________________________
MSN Hotmail is evolving – check out the new Windows Live Mail
http://ideas.live.com



-------------------------------------------------------------------------
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_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Toyin Akin]

Hi all,

We have uploaded 2 new training videos (over 2 hours of new video viewing
content) demostrating the construction, pricing and querying of interest
rate leg objects.

The description now follows...

Training video presenting the basics of interest leg construction and
pricing.
This includes the definition of such terms as Regular, In-Arrears, Quanto,
Averaging, Compounding and CMS interest rate leg deals. This is part #1 of a
two video set describng the construction and pricing of interest leg deals.

Video duration : 50 minutes.


Training video presenting the advanced construction and pricing of interest
rate leg objects.
This includes the construction, pricing and querying of interest rate legs
including Regular, In-Arrears, Quanto, Averaging, Compounding, Inverse and
CMS interest rate leg deals.

We also show how given a portfolio of legs, you can imply out a flat
margin/coupon across any combination of legs given a target PV.

This is part #2 of a two video set describing the construction and pricing
of interest leg deals.

Video duration : 109 minutes.


Again, the low-level code used internally is based on QuantLib.
We simply coded up an interface on top of the supurb quantlib library.

You can view these free training videos from www.QuantTools.com.

Simply navigate to the Download/Screenshot -> Training Videos link within
the menu.

We have also updated the CapeTools QuantTools libraries to v2.0.6.

Basically we have added some new averaging and compounding type Forward/Swap
rate functions (thus OIS or EONIA rate calculations are now possible). We
have also added quick implied volatility Cap/Floor/Swaption function calls.

Please see details on the site for a complete description for what has
changed.

Enjoy,
Best Regards,
Toyin Akin.
CapeTools QuantTools.

>From: "Toyin Akin" <[hidden email]>
>To: [hidden email],[hidden email]
>Subject: [Quantlib-dev] QuantLib/ObjectHandler usage in
>commercialappilcations v2...
>Date: Fri, 02 Feb 2007 16:26:15 +0000
>
>
>Hi All,
>
>I have uploaded 3 new training videos (over 2.5 hours of new video viewing
>content) demostrating vanilla and exotic option pricing (including
>building, sorting, grouping and pricing portfolios of vanilla and exotic
>option deals within the CapeTools QuantTools XL library).
>
>I have also copied up a video that demostrates building stochatic process
>objects as well as grouping stochastic objects within a correlated
>stochastic array and conducting two types of montecarlo simulations using
>the correlated stochastic array. Furthermore, once the simulation objects
>has been created, there are further functions to query the object for the
>simulated paths as well as applying custon payoffs within Excel.
>
>Finally, the simulation demo presents an introduction to the montecarlo
>generic pricing framework.
>
>For those of you who are familiar with QuantLib's stochastic process and
>simulation classes, you should find this particular video easy going as the
>objects used are based directly on these quantLib classes. In fact within
>the video, we make several references to QuantLib's documentation.
>
>You can view these free training videos from www.QuantTools.com.
>
>Simply navigate to the Download/Screenshot -> Training Videos link within
>the menu.
>
>New videos are :
>
>Pricing (vanilla and exotic option pricing) : Duration 57 minutes
>Portfolio Pricing (vanilla and exotic option portfolio manipulation and
>pricing) : Duration 43 minutes
>Simulation (for equity type underlyings) : Duration 57 minutes
>
>We have also updated the CapeTools QuantTools XL library to v2.0.5.
>
>Basically we have fixed quite a few bugs that we ourselves have found and
>those found by some of our users.
>
>Please see details on the site for what has changed.
>
>Enjoy,
>Best Regards,
>Toyin Akin.
>CapeTools QuantTools.
>
>_________________________________________________________________
>MSN Hotmail is evolving – check out the new Windows Live Mail
>http://ideas.live.com
>
>

>-------------------------------------------------------------------------
>Using Tomcat but need to do more? Need to support web services, security?
>Get stuff done quickly with pre-integrated technology to make your job
>easier.
>Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
>http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642


>_______________________________________________
>QuantLib-dev mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-dev

_________________________________________________________________
MSN Hotmail is evolving – check out the new Windows Live Mail
http://ideas.live.com



-------------------------------------------------------------------------
Using Tomcat but need to do more? Need to support web services, security?
Get stuff done quickly with pre-integrated technology to make your job easier.
Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
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_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users