Non-arbitrage is true only in theory and
could be used as A benchmark (or reference). Any sort of pricers or calibrations
are approximation.
Thanks,
---------------------------
Guowen Han
Risk Management
(212) 855 - 5753
------------------------------------
DTCC Confidential (Yellow)
Hi, I was wondering if input data (usually
"market data") such as rate or vol term structures, or vol surfaces
are tested to see if they satisfy the no-arb conditions before being
fed to pricers, calibration routines etc. If so, can you point me
to the names, examples of such.
I raise this because I'd like to perturb/shock the input data to
see the resulting impact (on P&L, sensitivities, etc.). If
example code for doing such analysis, that would be very helpful too.
thanks in advance
P.C. Venkatesh
FMI-Risk Analytics (RBOPS), Federal Reserve Board,
20th & C, Washington, D.C. 20551
vox: 202 452 3847
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