525 reputation
112
bio website
location
age
visits member for 1 year, 9 months
seen Jul 9 at 8:55

Jul
2
awarded  Curious
May
5
awarded  Self-Learner
Apr
24
awarded  Popular Question
Apr
7
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
You should not compare the help manual of an expensive solution like MATLAB with the open source environment of R, quite a miracle considering results that have been produced standardizing efforts from hundreds of users. I would be really shocked to know that MATLAB support manual was worse than R's one, in that case something'd be really going wrong... for MathWorks.
Apr
4
comment Weighted average implied optionlet/swaptions volatility
As of your hint, Brian B, I was wondering how would you roughly average a curve for pricing if you had at your disposal the ATM values only and swaps OR optionlets tenors spanning from 1Y to 30Y... something more like a curve than a surface... thinking about how convexity adjustements work, maybe weighting the average more on the long term ATM volatilites could be a possibility?
Apr
3
asked Weighted average implied optionlet/swaptions volatility
Feb
26
asked What's the link between EURIBOR3M futures volatility and rates volatility?
Feb
24
revised Does Bakshi, Kapadia and Madan (2003) VIX building approach underestimate volatility?
added 1 characters in body
Feb
24
comment Does Bakshi, Kapadia and Madan (2003) VIX building approach underestimate volatility?
I'm not able to figure out what you mean when you say that VIX uses historical data.
Feb
24
asked Does Bakshi, Kapadia and Madan (2003) VIX building approach underestimate volatility?
Jan
15
accepted Expected payoff and weighted average price
Jan
12
revised Expected payoff and weighted average price
added 534 characters in body
Jan
12
revised Expected payoff and weighted average price
added 285 characters in body
Jan
12
asked Expected payoff and weighted average price
Dec
2
accepted How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class
Nov
30
revised How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class
deleted 8 characters in body
Nov
29
asked How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class
Nov
11
accepted How to sum interest rate curves in QuantLib
Nov
8
comment How to sum interest rate curves in QuantLib
Hi, Luigi. Actually the one you've mentioned above is a clarification which I didn't want to involve in this issue. You may consider the snippet just an attempt to build a generic rate curve, regardless of what instruments it comes from. As instance, what if they were CDS spreads instead of swap rates?
Nov
8
asked How to sum interest rate curves in QuantLib