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Aug
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comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
That's great, Luigi, and your blog is gonna become my Holy Bible. Site threats me for moving out to chat, but I had to write this last remark to thank you ;)
Aug
5
accepted QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Aaah... that's nice, maybe I got it! In fact, that was my doubt from your link where you wrote: "In all these cases, the reference date will be provided to client code by means of the referenceDate method.". So evaluating a kind of "forward price" for an option with a constructor that involves a term structure does not require the user to amend evaluation date: it's actually sufficient to give in the chosen implied term structure to have a "forward" pricing. May you confirm this point?
Aug
5
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
That's okay, but options have an expiry date: shouldn't moving evaluation date change days to expiry and hence have an impact on option value? In my example price doesn't change at all, neither if you move evaluation date forward by 60 days (which has of course a big impact on options time value!). If you Date forwardDate = calendar.advance(todaysDate, 60, Days); you see that options evaluated today with forward volatility surface referenced at July 24th 2014 have the same value as evaluated 60 days later (81.1986 vs. "manual" 116.506), albeit their time to maturity is really different.
Aug
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revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
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revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
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revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
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comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Thank you for your competent and detailed answer, Luigi, but there's still a point that I am missing. If you call my three "pricers" (EurVanillaSurfacePricerBlack, EurVanillaSurfacePricerBSM and EurVanillaPricer) before changing evaluation date and after having changed that, you'll see a weird thing: while EurVanillaPricer returns different values like we would expect, the volatility surface wrappers return the same price seemingly regardless of evaluation date. How would you explain this? (I've amendend the code if you wanted to re-run it...).
Aug
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revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
4
comment QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Hi, @LuigiBallabio. You're right, errors from amending the code to make it reproducible here (in real strikes are taken from data sources as well as underlying). I've corrected the code, now it runs as intended (or at least it should!).
Aug
4
revised QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Aug
1
asked QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
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Apr
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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?