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Sep
30
asked Callable bond price sensitivity to Hull-White volatility changes
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Sep
18
accepted CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?
Sep
18
comment CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?
Thank you for your answer, Luigi, but I'm still missing a point: are there advantages in deriving CallableFloatingRateBond class either from CallableBond and FloatingRateBond? Or wouldn't this give me any device to manage more easily the issue of capped/floored forward rates according to short term rate dynamic?
Sep
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asked CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?
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Mar
31
accepted Black model: Delta - strike relationship regardless of expiry?
Mar
31
comment Black model: Delta - strike relationship regardless of expiry?
You should give it an answer, Luigi... something like: «As far as I know, there's no way to go straight from Delta to strike without knowing $T$... and you're a lazy ass who doesn't read my codes from the beginning» ...Ahahah, always thank you for your help :)
Mar
31
revised Black model: Delta - strike relationship regardless of expiry?
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Mar
31
asked Black model: Delta - strike relationship regardless of expiry?
Nov
17
comment BlackProcess' constructor $x_{0}$ argument in QuantLib
"[...] The BlackProcess class assumes there's no dividend yield", there is the answer. My belief was that $x_{0}$ was the forward price, the engine made all "forward" calculations (taking cost of carry implicitly into account) and lastly used risk free TS to discount prices. Actually, I was wrong. Please, wait for me checking calculations under BlackScholesMertonProcess process with a dividend yield TS before accepting your kind answer. I guess such a TS should contain annual dividend yields, like an interest rate TS (constructor asks for an Handle< YieldTermStructure > for both).
Nov
17
comment BlackProcess' constructor $x_{0}$ argument in QuantLib
I see, but in that example BlackProcess is not actually used: on the contrary, BlackScholesMertonProcess is taken, for which using spot as $x_{0}$ is theoretically correct.