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5h
awarded  Yearling
2d
answered Why QuantLib assumes zero rates to discount factor is continuous?
Jan
9
awarded  Informed
Jan
7
comment QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class
That would cause VanillaOptionFuture to inherit twice from Instrument (once privately through VanillaOption and once publicly because it is an Instrument). It's diamond inheritance, and Instrument has a lot of behavior. Making it work might be more trouble than it's worth.
Jan
5
answered QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class
Jan
4
answered AmericanOptionImpliedVolatility strange answers for calls IV's
Jan
4
comment AmericanOptionImpliedVolatility strange answers for calls IV's
@Rime: no, 1.5 would be 150%.
Jan
2
comment AmericanOptionImpliedVolatility - root not bracketed issue in QuantLib/R
Yes. There's no way that a put option with underlying at 55 and strike at 60 has a value of 2.7. It has to be worth at least 5, because that's what you would gain by exercising now.
Dec
10
reviewed Approve How do one solve $ \int_t^T \exp[\int_0^u-( r-\delta_s)ds] dW_u $? Double integral with general deterministic function $\delta(t)$
Oct
23
answered QuantLib C++: Monte Carlo Engine with SequenceStatistics
Oct
21
comment QuantLib: Is the StochasticProcess class adapt for a HJM type of modelling?
I guess it depends on how you'll use it. If you want to have processes on different $T$, and especially if you pass them around to other objects, it might be better to have different instances. By changing the time into an existing one, you run the risk that some other object is still holding on to it and will see the new maturity when recalculating.
Oct
21
answered QuantLib: Is the StochasticProcess class adapt for a HJM type of modelling?
Oct
8
reviewed Approve Where can I find a database of ALL ETFs, sorted by age?
Oct
8
reviewed Edit How to record tick data from Google/Yahoo Finance data streams?
Oct
8
revised How to record tick data from Google/Yahoo Finance data streams?
updated formatting
Oct
7
comment Why does it take so many lines of code to price even the simplest of options with QuantLib
Yes, just send me a PR.
Oct
6
comment Why does it take so many lines of code to price even the simplest of options with QuantLib
There was some initial effort in this direction (see for instance the MakeVanillaSwap class, which provides reasonable defaults and the means to override them). The idea might be worth pursuing further.
Oct
5
comment Why does it take so many lines of code to price even the simplest of options with QuantLib
The simple wrapper might help, but see my answer.
Oct
5
answered Why does it take so many lines of code to price even the simplest of options with QuantLib
Oct
5
reviewed Edit What are the advantages of financial modelling in R?