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Re: QuantLib-users Digest, Vol 82, Issue 8

Posted by Theo Boafo on Mar 21, 2013; 4:43pm
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-users-Digest-Vol-82-Issue-8-tp14157.html


Attached Message
From: Ferdinando Ametrano <[hidden email]>
To: Boafo, Theophilus <[hidden email]>
CC: quantlib-users <[hidden email]>; [hidden email]
Subject: Re: [Quantlib-users] Paper on Everything You always wanted to knowabout Multiple Interest Rate Curve Boostrapping But were Afraid to Ask
Date: Thu, 21 Mar 2013 15:44:51 +0100
On Tue, Mar 19, 2013 at 4:36 AM, Boafo, Theophilus <[hidden email]> wrote:
Please which part of the quantlib code shows the implemenation of
Multiple Interest Rate Curve Boostrapping?

the branch R01020x-branch includes all code and workbooks used to calculate data and charts: all results can be obtained using the VBA framework.

Unfortunately to provide a detailed how-to guide is not feasible for me anytime soon
Ok, how does one get acces to the the branch code and work books used to calculate data and charts?

Regards

Theo




-----Original Message-----
From: quantlib-users-request <[hidden email]>
To: quantlib-users <[hidden email]>
Sent: Thu, 21 Mar 2013 15:37
Subject: QuantLib-users Digest, Vol 82, Issue 8

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Today's Topics:

   1. Re: Option Volatility or Underlying? (cf16-2)
   2. Re: Cumulative Bivariate Distribution error in the tails -
      BivariateCumulativeNormalDistributionWe04DP (Luigi Ballabio)
   3. QLXL matrix parameter type conversion/translation	question
      ([hidden email])
   4. Re: dual bootstrap question (Ferdinando Ametrano)
   5. Re: Paper on Everything You always wanted to know about
      Multiple Interest Rate Curve Boostrapping But were Afraid to Ask
      (Ferdinando Ametrano)
   6. Re: dual bootstrap question (MN)
Attached Message
From: cf16-2 <[hidden email]>
To: [hidden email]
Subject: Re: [Quantlib-users] Option Volatility or Underlying?
Date: Tue, 19 Mar 2013 05:15:54 -0700 (PDT) 
no, you put there the volatility of the underlying's returns
if this is stock this is the square root of the quadratic variation of the
stock's log price process
see here <http://en.wikipedia.org/wiki/Black%E2%80%93Scholes>  

cf16



-----
why always me?
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View this message in context: http://quantlib.10058.n7.nabble.com/Option-Volatility-or-Underlying-tp14134p14146.html
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Attached Message
From: Luigi Ballabio <[hidden email]>
To: [hidden email]
CC: QuantLib QuantLib <[hidden email]>
Subject: Re: [Quantlib-users] Cumulative Bivariate Distribution error in thetails - BivariateCumulativeNormalDistributionWe04DP
Date: Tue, 19 Mar 2013 15:30:01 +0100 
Hi Fabien,
    I've applied your patch to the repository.

Thanks,
    Luigi


On Thu, Feb 21, 2013 at 1:31 PM, Fabien Le Floc'h <[hidden email]> wrote:
> Hello,
>
> BivariateCumulativeNormalDistributionWe04DP is imprecise in the tails: when
> the correlation is high and the x,y are very high (near +/-7), the results
> returned can exhibit some wiggling due to numerical noise. In practice this
> can lead to nonsensical greeks.
>
> A simple fix is to evaluate the univariate cumulative normal distribution
> where it is most precise, that is in the lower tail rather than in the upper
> tail, because one can achieve much higher accuracy around 0.0 vs around 1.0
> with double numbers.
>
> Attached is a small patch for BivariateCumulativeNormalDistributionWe04DP
> along with a unit test.
>
> Best regards,
>
> Fabien Le Floc'h
>
> ------------------------------------------------------------------------------
> Everyone hates slow websites. So do we.
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Attached Message
From: [hidden email]
To: QuantLib QuantLib <[hidden email]>
Subject: [Quantlib-users] QLXL matrix parameter type conversion/translationquestion
Date: Wed, 20 Mar 2013 18:04:08 +0100 (CET) 
Hello all,
Why is it when I write:

          <Parameter name='SomeVectorVector'>
            <type>QuantLib::Real</type>
            <tensorRank>matrix</tensorRank>
            <description>My Matrix.</description>
          </Parameter>

the code generated in create_myspaguetti.cpp does not write the conversion. The 
variable SomeVectorVectorLib is not declared but invoked when calling the 
constructor/meber/procedure.

Of course I can live with it since:
          <Parameter name='SomeVectorVector'>
            <type>double</type>
            <tensorRank>matrix</tensorRank>
            <description>My Matrix.</description>
          </Parameter>
goes fine.
But I must be missing something. 
?
Apologies if it is documented somewhere already.

Best regards
Pepe
Attached Message
From: Ferdinando Ametrano <[hidden email]>
To: MN <[hidden email]>
CC: QuantLib Mailing Lists <[hidden email]>
Subject: Re: [Quantlib-users] dual bootstrap question
Date: Thu, 21 Mar 2013 15:40:07 +0100
On Tue, Mar 19, 2013 at 9:57 AM, MN <[hidden email]> wrote:
I'm wondering if the dual bootstrap functionality in Quantlib provides for a
way to guarantee that different tenor curves will not cross each other eg.
that a 6m fwd curve does not go below a 3m fwd curve. I suppose the only way
to do this is to simultaneously bootstrap all tenors. Thanks.

no need in my experience to enforce such a condition: input market rates for 6M are higher the 3M ones, resulting in a non crossing curves

Nando
Attached Message
From: Ferdinando Ametrano <[hidden email]>
To: Boafo, Theophilus <[hidden email]>
CC: quantlib-users <[hidden email]>; [hidden email]
Subject: Re: [Quantlib-users] Paper on Everything You always wanted to knowabout Multiple Interest Rate Curve Boostrapping But were Afraid to Ask
Date: Thu, 21 Mar 2013 15:44:51 +0100
On Tue, Mar 19, 2013 at 4:36 AM, Boafo, Theophilus <[hidden email]> wrote:
Please which part of the quantlib code shows the implemenation of
Multiple Interest Rate Curve Boostrapping?

the branch R01020x-branch includes all code and workbooks used to calculate data and charts: all results can be obtained using the VBA framework.

Unfortunately to provide a detailed how-to guide is not feasible for me anytime soon
Attached Message
From: MN <[hidden email]>
To: 'Ferdinando Ametrano' <[hidden email]>; [hidden email]
Subject: Re: [Quantlib-users] dual bootstrap question
Date: Thu, 21 Mar 2013 16:17:42 +0100
Ok, however, in my experience it may happen for some interpolation models where oscillation can cause problems in the long end.
 
/Magnus
 
From: Ferdinando Ametrano [[hidden email]]
Sent: Thursday, March 21, 2013 3:40 PM
To: MN
Cc: QuantLib Mailing Lists
Subject: Re: [Quantlib-users] dual bootstrap question
 
On Tue, Mar 19, 2013 at 9:57 AM, MN <[hidden email]> wrote:
I'm wondering if the dual bootstrap functionality in Quantlib provides for a
way to guarantee that different tenor curves will not cross each other eg.
that a 6m fwd curve does not go below a 3m fwd curve. I suppose the only way
to do this is to simultaneously bootstrap all tenors. Thanks.
 
no need in my experience to enforce such a condition: input market rates for 6M are higher the 3M ones, resulting in a non crossing curves
 
Nando
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