Hello
I'm looking for wing volatility fitting model with standard parameters: atm vol, Slope, put curve and call curve. Does that exist in QL ? Thank you very much for helping Jonathan |
A not very helpful suggestion: wing model can be done using modeling tools like Matlab or R. Once the modeling part is OK, then it can be converted into C++ like version. Hong Yu -----原始邮件----- From: Jonathan.issan Sent: Sunday, August 31, 2014 10:07 AM To: [hidden email] Subject: [Quantlib-dev] wing volatility model Hello I'm looking for wing volatility fitting model with standard parameters: atm vol, Slope, put curve and call curve. Does that exist in QL ? Thank you very much for helping Jonathan -- View this message in context: http://quantlib.10058.n7.nabble.com/wing-volatility-model-tp15820.html Sent from the quantlib-dev mailing list archive at Nabble.com. ------------------------------------------------------------------------------ Slashdot TV. Video for Nerds. Stuff that matters. http://tv.slashdot.org/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ Slashdot TV. Video for Nerds. Stuff that matters. http://tv.slashdot.org/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi wong Hu
And do you have some sample code for arbitrage free wing model? Thanks Jonathan |
Attached please find the wing model specification document I used in 2011. I do keep the R and EXCEL work for that small project. However, those not-well-organized code usually let you hard to follow and may not fit your specific needs, thus earn me no good comments, even if I kindly give you for free. So as this is not brand new nor tough theory, if you or your team will work on it, I shall be happy to provide suggestions from my past experiences. Or if you would like me to do for your inquiry, can discuss. Hong Yu -----原始邮件----- From: Jonathan.issan Sent: Sunday, August 31, 2014 11:03 AM To: [hidden email] Subject: Re: [Quantlib-dev] wing volatility model Hi wong Hu And do you have some simple code for arbitrage free wing model? Thanks Jonathan -- View this message in context: http://quantlib.10058.n7.nabble.com/wing-volatility-model-tp15820p15822.html Sent from the quantlib-dev mailing list archive at Nabble.com. ------------------------------------------------------------------------------ Slashdot TV. Video for Nerds. Stuff that matters. http://tv.slashdot.org/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ Slashdot TV. Video for Nerds. Stuff that matters. http://tv.slashdot.org/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev OrcWingModel.pdf (111K) Download Attachment |
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