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I'd be happy to coordinate people working on this. If you want to implement one of the evolvers on the list or Glasserman-Zhao. Drop me an e-mail saying which one and when it will be done by. Nando -- can you let me know what ongoing work you are aware of on this?
Mark On 20/08/07, [hidden email] <[hidden email]> wrote:
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Today's Topics:
1. QuantLib running overnight (JURAJ HUSKA)
2. Invert a matrix!!! (TimYee)
3. YC Models & Interpolation Methods for Pricing (newbie73)
4. More More More Convertible Bonds (John Maiden)
5. invert a matrix!!! (TimYee)
6. Re: invert a matrix!!! ([hidden email])
7. Whaley Vega Question (Tom Hafner)
---------- Forwarded message ----------
From: "JURAJ HUSKA" <[hidden email]>
To: [hidden email]
Date: Wed, 8 Aug 2007 16:39:27 -0500
Subject: [Quantlib-users] QuantLib running overnight
Hello all,
I recently encountered the following problem(?). I need to run some (long...) calculations overnight and I am using QuantLib (the C# dll generated by Swig) all over the place in my code. The calculation stops at midnight (or throws an exception caught somewhere in a try-catch statement). I don't exactly know where the problem is coming from but: can something go wrong if I start a calculation and let it run overnight untill the next day? Here I am mostly alluding to the possible screw-up caused by Evaluation Date changing at midnight.
thanks for you insights,
Juraj
---------- Forwarded message ----------
From: TimYee <[hidden email]>
To: <[hidden email]>
Date: Thu, 9 Aug 2007 22:04:34 +0000
Subject: [Quantlib-users] Invert a matrix!!!
Hi, I got stuck while trying to invert a matrix. #include <iostream> #include <ql/quantlib.hpp> using namespace std; using namespace QuantLib; int main() { Matrix M(3,3,0);
int n=M.rows(); for(int i=0;i<n;i++) for(int j=0;j<n;j++) if(i==j) M[i][j]=2; Matrix N = inverse(M); cout<<N; return 0; } I thought inverse should be a function which should return a inverted matrix after giving a matrix to it. To play safe, I include <ql/quantlib.hpp>, but the compiler still says 'inverse' was not declared in the scope as below.
try.cpp:22: error: 'inverse' was not declared in this scope Anybody could help me with this would be highly appreciated!!! Tim
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---------- Forwarded message ----------
From: newbie73 <[hidden email]>
To: [hidden email]
Date: Tue, 14 Aug 2007 06:11:27 -0700 (PDT)
Subject: [Quantlib-users] YC Models & Interpolation Methods for Pricing
How do you all handle pricing of securities with the current YC structures
available? A chart of the forwards shows a very jumpy term structure. Have
any of you been able to use the theoretical curve models for pricing of IR
securities?
This gets more into the question of how to use the theoretical yield curve
models within Excel to plot forwards - does anyone have any examples or
advice on how to do this?
Thanks,
- Luis
--
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---------- Forwarded message ----------
From: John Maiden <[hidden email]>
To: [hidden email]
Date: Tue, 14 Aug 2007 15:53:23 +0000 (UTC)
Subject: [Quantlib-users] More More More Convertible Bonds
Still playing around with the convertible bond class...
This is a problem I've noticed for a while and wasn't sure where it was coming
from, but I think I've isolated it. When I would model certain callable
convertible bonds at high spreads, I would get a higher value for the callable
convert than for an identical non-callable convertible bond. I also tried taking
out the put, and found that its value was higher than an equivalent convertible
bond with no calls or puts.
I had the program print out data at each step, and have isolated the problem to
the TsiveriotisFernandesLattice class, where the
TsiveriotisFernandesLattice::stepback function is producing a SpreadAdjustedRate
that is higher for the non-callable convert versus the callable convert, and
thus discounting the callable convert value more.
For those not familiar with the TsiveriotisFernandesLattice class, the way that
the program calculates the SpreadAdjustedRate is that it blends the risk-free
rate and the credit spread. If the stock price is low, then the convert should
grow like a corporate bond, and should be discounted at the risk-free rate +
credit spread. If the stock price is high and conversion is very likely, then
the convert should grow like the stock and be discounted at the risk-free rate.
At each step in the program, the program considers whether conversion is likely,
and assigns a conversion probability. This probability is then blended in
TsiveriotisFernandesLattice::stepback, and used to weigh the SpreadAdjustedRate.
The problem with this approach is that during the callable period, a convert
with calls will have lower values at every time step than a similar convert
without calls (obviously). Because of how the program assigns conversion
probability, the callable convert will have more values with high conversion
probabilities. Since these values are blended, when comparing callable versus
non-callable converts at a specific stock price and time, the callable convert
will have a higher conversion probability and thus a lower SpreadAdjustedRate
(which means it will be discounted less).
So finally, this is my problem. At present my idea is to simply turn off the
blending, but the SpreadAdjustedRate won't be smooth. Any ideas on how to create
a SpreadAdjustedRate that will make sure that a non-callable convert is more
expensive than its callable equivalent?
---------- Forwarded message ----------
From: TimYee <[hidden email]>
To: <[hidden email]>
Date: Wed, 15 Aug 2007 22:59:16 +0000
Subject: [Quantlib-users] invert a matrix!!!
Dear all, I got stuck while inverting a matrix via quantlib. The declaration and output of the matrix was OK, just don't know how to invert it. Can "Disposable< Matrix > inverse (const Matrix &m)" do the inversion of the matrix? Or I need something else???
Please help!!! Thanks very much! Tim
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---------- Forwarded message ----------
From: [hidden email]
To: TimYee <[hidden email]>
Date: Mon, 20 Aug 2007 09:08:58 +0200
Subject: Re: [Quantlib-users] invert a matrix!!!
Hi Tim,
I tried to replicate the code in your
previous e-mail (the one where you said you have compilation problems):
I have no problems at all and I get the correct inverted matrix.
Do you still have compilation problems?
Bye
Marco
Dear all,
I got stuck while inverting a matrix via quantlib. The declaration and
output of the matrix was OK, just don't know how to invert it.
Can "Disposable< Matrix > inverse (const Matrix &m)"
do the inversion of the matrix? Or I need something else???
Please help!!!
Thanks very much!
Tim
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---------- Forwarded message ----------
From: "Tom Hafner" <[hidden email]>
To: [hidden email]
Date: Sun, 05 Aug 2007 14:29:19 -0500
Subject: [Quantlib-users] Whaley Vega Question
Hello,
First off, thank you so much for putting in the obvious effort required to
pull off a project of this scope. Thank you!
But down to business, I've downloaded and installed the XL addin. I am
trying to obtain a function (or even just a formula to code my own function,
if need be) which would give me the vega (and later the gamma, delta, and
theta) of an American option under the Barone-Adesi/Whaley model.
So I opened the file, c:\Program
Files\QuantLibXL-0.8.0\Workbooks\StandaloneExamples\options.xls and took a
peek around.
The formula in cell F6 on the "vanilla" tab seems to give the fair value of
the option. It looks like if I replace "qlInstrumentNPV" in that formula
with "qlInstrumentResults", then I ought to be able to see the vega of the
option ("ResultType e.g. 'vega'." from qlInstrumentResults function
arguments dialog box). But I couldn't get that to work. I just got #NUM!
or #VALUE!
I couldn't find any sort of of help files, either.
Do you think you could either instruct me on how to access a detailed help
file, listing function usage, or perhaps just point me in the direction of
some source code, from which I could glean the underlying formulae?
I found this email address ([hidden email]) at
<a onclick="return top.js.OpenExtLink(window,event,this)" href="http://quantlib.org/quantlibxl/installation.html" target="_blank">http://quantlib.org/quantlibxl/installation.html
. But I am not subscribed
to the listserv, so you may have to respond to me directly at
t_hafner@hotm**<a onclick="return top.js.OpenExtLink(window,event,this)" href="http://l.com" target="_blank">l.com I don't know.
Thanks,
--Tom.
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-- Assoc Prof Mark Joshi Centre for Actuarial Studies University of Melbourne My website is www.markjoshi.com
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