562 reputation
113
bio website
location
age
visits member for 1 year, 11 months
seen Aug 20 at 7:20

Aug
5
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
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
5
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
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!).
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.