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seen Sep 13 at 20:13

May
7
accepted VaR implementation using quantlib?
May
7
comment VaR implementation using quantlib?
We already have a curves defined within our system, so as much as possible, I would like to reuse that. My initial thought is to use quantlib for the pricing. I'll take a look at the link you posted and see if it generates any further ideas. Thanks for your input.
May
4
comment VaR implementation using quantlib?
@LuigiBallabio: Which list do you recommend - 'users 'or 'dev' for VaR implementation related questions?
May
4
comment VaR implementation using quantlib?
@LuigiBallabio: re type of VaR: historical simulation VaR. The system is a proprietary (internally developed) one we use for trading. HTH.
May
3
asked VaR implementation using quantlib?
Mar
4
accepted Modified bisection formula for deriving implied volatility for a dividend paying american option
Mar
4
revised How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
edited title
Mar
4
accepted Is there a measure for the 'degree' of cointegration
Mar
4
asked Modified bisection formula for deriving implied volatility for a dividend paying american option
Mar
4
answered How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Mar
4
comment How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Thanks for your answer. Its not the smile that I want to calculate (as I mentioned earlier, I am working with only ATM options - so at the most, I am working with two strikes [if the underlying lies between two strikes]). I am looking to find a way to calculate a SINGLE number from the ATM calls and puts (using some kind of weighting). The more I think of it, since I am only dealing with two strikes at the most, a simple linear interpolation will do - although I may probably weight the vols by Open Interest
Mar
3
asked How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Feb
10
asked Why are there so many different ways of calculating historical volatility
Feb
6
comment Calculating log returns using R
@PatrickBurns: +1 for your input. I preferred your more succinct syntax. Would have accepted that as an answer.
Feb
6
accepted Calculating log returns using R
Feb
6
awarded  Editor
Feb
6
revised Calculating log returns using R
edited body
Feb
6
asked Calculating log returns using R
Jan
31
accepted A gentle introduction to cointegration
Jan
31
asked A gentle introduction to cointegration