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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?
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.
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?
Oct
23
comment Fixed Income free research available online
Ah, this is why your previous comments suddenly disappeared :) I will give a look at Reuters Messenger meanwhile, thank you.
Oct
18
comment From $AR(p)$ to SDE
Of course there's interest, and I bet this is not just for me but for all readers. Please, go on with the case you're thinking about, even if it's an $ARMA(p,q)$ process instead of a simple $AR(2)$.
Oct
18
comment From $AR(p)$ to SDE
I am really not sure, Brian B: in fact, the only certainty I have got regards the $AR(1)$ with respect to Vasicek. I would be satisfied to find the link with $AR(2)$, at least.
Oct
18
comment From $AR(p)$ to SDE
Indeed this could be a good way to proceed.
Oct
7
comment Question about Merton model to estimate default probability and recovery rate of the company
I've played a bit with the basic version on Merton's model, that is, the one without any kind of stochastic volatility and exotic options' adjustments to simulate the mess following an haircut of issuer's debt. I've often seen gradient-based optimisation algorithms to fail, i.e. to produce inconsistent results. I would suggest you to give a look at nleqslv, which can solve non linear equation systems according to the way Hull himself suggest in his book. Excel solver is not the best way to deal with such a problem.
Sep
22
comment Implied term structure from risky discount curve: does it make sense?
I still do not understand. I've just revised all my 22 Quantitative Finance questions: of all those questions which had at least one answers, this is the only one without an acceptance. I do not see any other way to improve my acceptance rate, I am sorry.
Sep
22
comment Implied term structure from risky discount curve: does it make sense?
Was this one the offending behavior of mine?
Sep
22
comment Implied term structure from risky discount curve: does it make sense?
@MattWolf, wow... I would have never thought my accept rate was considered too low, considering I've always been fast to accept and upvote the answers to my questions (at least on Quantitative Finance, although on Stack Overflow I must confess a bit more of slowness). By the way: any idea about the topic?
Sep
20
comment Automatic fixing of missing floating rate in QuantLib's addFixing()
That's what I've done, thank you :)
Sep
20
comment Automatic fixing of missing floating rate in QuantLib's addFixing()
Hi, Luigi! Instead of making an IborIndex object for each bond, I think a better idea would be to create a unique IborIndex object for each tenor (the most frequent tenors on the market are 3M, 4M, 6M and 12M) with a looong array of fixing dates. This could avoid any issue related to any fixing dates should come in the past and in the future.
Sep
19
comment Definition of “tenor” argument in QuantLib's Schedule class object
Thank you, phi. If I'm right, this means that a bond which pays quarterly EURIBOR every 2 months requires an IborIndex object whose tenor is equal to 3M for what regards the floating rate and a Schedule object whose tenor is equal to 2M for what regards the payment frequency.
Sep
18
comment Definition of “tenor” argument in QuantLib's Schedule class object
Uhmm... I guess it's not really clear to me what Schedule is. Doesn't a Schedule object states all the "temporal" elements of a bond? Let you have a bond like the UCGIM Float 10/31/13 ~ IT0004416886 (this one pays quarterly EURIBOR): if you had to price it via QuantLib, what the tenor argument of Schedule would be equal to? Thanks,
Sep
18
comment Definition of “tenor” argument in QuantLib's Schedule class object
Then what's the tenor argument of Schedule?
Sep
6
comment How to price a bond at specified dates in QuantLib
In QuantLibXL SettingsSetEvaluationDate is available, and it can do what you said above. Currently I've played a bit with ZeroCurve class to accomplish the second type of simulation, that is, shifting the zero curve along the tenor axis as it should keep its current shape in the future, too. I am looking forward to experiment with the ImpliedTermStructure class following your advices. By the way... Luigi, you're becoming my very QuantLib savior on this site :) How much reputation do you wanna get, actually? :D
Sep
6
comment How to price a bond at specified dates in QuantLib
What if I amend the issueDate argument (Default value = QuantLib::Date()) and the zero curve? The former can bet set equal to today() + 6M; the latter can be shifted in order to make, as instance, the 1Y tenor become the 18M tenor (= 1Y + 6M) of the "new" curve... and so on.
Sep
4
comment Smoothing Term Curve
Local regression (LOESS) or SVM regression (radial basis kernel) on log-rates vs. tenors. Non parametric regression could do the work as well.