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 Aug6 answered Duration of a floating rate note Jul4 answered expected value of the discounted payoff Jun27 awarded Commentator Jun27 comment How to numerically obtain delta? in this case it's hard for me to tell anything without looking at actual code and values Jun27 comment How to numerically obtain delta? But basically I'd suggest you to check if your black-scholes price coincides with Matlab's blsprice. Jun27 comment How to numerically obtain delta? That's really interesting. I never used gradient function to calculate derivatives manually. In case C(:) is vector of call prices and S(:) is vector of spot prices, I calculate delta numerically like this: Delta = diff(C)./diff(S). Jun27 revised Change option B&S pricing Forgot about T Jun26 comment How to numerically obtain delta? I can only imagine option with non-smooth value, like barrier option close to the barrier. In this case numerical derivative might give result very different from analytical one. Could it be your case? Jun26 answered Change option B&S pricing Jun21 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees 3) I completely agree with you that first eigenvector would not give a great estimate, it will explain 20-40% of all variability of the curve. But! Maybe it is still better then simple historical volatilities? Jun21 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees 2) Not sure whether that question is quite relevant, because the guy in there wants to price option on basket, while I want to model short rate using information on dynamics of the whole curve Jun21 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees 1) 1D tree is a kind of nonsense, sorry for that. I meant, well, usual tree in two dimensions - asset and time. Now, such tree is built using two 1xN vectors - interest rate curve and volatility. Example code here link Jun21 answered What is the analytic value of an asset's risk contribution, if $n=2$? Jun20 awarded Autobiographer Jun20 answered Does YTM represent interest? Jun20 awarded Supporter Jun20 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees You see, I want to build 1D flat tree, the question is only how would it be better to choose volatility structure to calibrate the model. The choice I see now is use either straightforward historical volatilities without any account for correlations, or calculate covariance matrix and take first PCA component from it. In both cases I have 1xN vector with volatilities, which I (technically) can use as a starting point of building a tree Jun20 revised How to estimate real-world probabilities Added missing words Jun20 awarded Teacher Jun20 answered How to estimate real-world probabilities