wing volatility model

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wing volatility model

Jonathan.issan
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
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Re: wing volatility model

YuHong-4

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



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Re: wing volatility model

Jonathan.issan
This post was updated on .
Hi wong Hu

And do you have some sample code for arbitrage free wing model?

Thanks

Jonathan
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Re: wing volatility model

YuHong-4

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



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OrcWingModel.pdf (111K) Download Attachment