gmane.comp.finance.quantlib.user

Re: Heston Calibration for American

nabbleuser2008 — 2008-07-23T20:01:26

Hi Klaus, Thanks much for the reply, even though I that is not the reply I was hoping for ;) I found the following article which talks about an efficient numerical method to price american options using Heston stochastic model. http://www.mit.jyu.fi/tene/papers/reportB07-05.pdf Any idea how hard it would be to incorporate it into QL. Has anyone looked at this method already ? Thanks a lot. C

Re: QuantLib-users Digest, Vol 26, Issue 7

Matteo Castagna — 2008-07-23T18:47:42

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Questions about Asian pricing engines

Robert Buchanan — 2008-07-23T16:48:29

Quantlib Benchmark: Monte Carlo methods and FiniteDifference

jean-marc mercier — 2008-07-22T22:09:13

Re: Heston Calibration for American

Klaus Spanderen — 2008-07-22T18:54:27

Hi no, at the time being you can't calibrate a heston model to american options using QL out of the box... and IMHO it isn't an easy task as you can't rely on semi-analytic pricers. regards Klaus On Monday 21 July 2008 22:12:45 nabbleuser2008 wrote: ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/

Re: Problems with object handler

Eric Ehlers — 2008-07-22T11:43:24

Hi All, I have added this item to the FAQ: http://quantlib.org/quantlibaddin/faq.html#faq_item_winheader Regards, Eric On Tue, July 15, 2008 21:59, Neil Firth wrote: 2003 Behalf visual ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': open ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': ) : fatal error C1083: Cannot open include file: 'windows.h': open ) : fatal error C1

Re: How to use class BlackVarianceCurve

Max — 2008-07-22T03:58:26

Re: Quantlib+Boost+Visual Studio 2008

Nick Procyk — 2008-07-22T01:43:19

Inputs of Quantlib

Serhat Güven — 2008-07-21T22:23:31

Re: Quantlib+Boost+Visual Studio 2008

2008-07-21T21:09:04

Heston Calibration for American

nabbleuser2008 — 2008-07-21T20:12:45

Hi, Is there a way to calibrate a heston model to american options using QL ? Has anyone done it. Thank you very much. C

Re: problem with QuantLibAddin installation

Eric Ehlers — 2008-07-21T20:16:55

Hello, Rename the directories for gensrc, ObjectHandler, and QuantLibAddin - remove the "-0.9.0" suffix from each directory name, so you have only the application name, not the version number. This problem will be fixed in the next release. Also, you probably want to re-run configure for QuantLibAddin as follows: ./configure --enable-addin-cpp (plus whatever other arguments you may require) so that the command line C++ environment for QLA is built. Regards, Eric On Mon, July 21, 2008 19:25, aymen zarroug wrote: ------------------------- Eric Ehlers nazcatech sprl | Brussels | http://www.nazcatech.be Distributed computing for pricing analytics - Use Microsoft Excel as a client to the Grid ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://mob

problem with QuantLibAddin installation

aymen zarroug — 2008-07-21T18:25:17

Question about asian option pricing engines

Robert Buchanan — 2008-07-17T21:34:19

Hello, I was browsing the online documentation for QuantLib's asian option pricing engines and now I have a question. I see there are pricing engines for continuously sampled, geometrically averaged asian options (an analytic engine), for discretely sampled, geometrically averaged asian options (an analytic engine), and for discretely sampled, arithmetically averaged asian options (a Monte Carlo engine). However, I did not see a pricing engine for continuously sampled, arithmetically averaged asian options. Why is that? Is the developer group waiting for someone to volunteer to implement that? Are there any PDE, perhaps finite difference-based pricing engines for these types of asian options? Thanks, Bob ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event a

negative yields

MJC1 — 2008-07-17T14:26:58

Hi, I'm using the yield to maturity and IRR methods for inflation linked bonds. When the real yield is <0 the methods are returning errors. Does anybody have any suggestions for alternative methods to use to compute yield for this asset class? Thanks, Mike

Re: Problems with object handler

Neil Firth — 2008-07-15T20:59:53

Re: Simulating multiple correlatedstochasticprocesses

Luigi Ballabio — 2008-07-15T16:07:14

Yong, apologies for the delay. I have been on vacation and I have lost track of old posts. On Tue, 2008-07-01 at 06:30 -0700, yong cai wrote: You can have a look at the Swap example--it builds a term structure based on deposits, futures, and swaps. Luigi

Using QuantLib for pricing Variance Swaps...

Scott Robik — 2008-07-14T18:36:57

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Problems with object handler

Andrea Bellucci — 2008-07-14T08:09:09

Re: VAR?

Debashis Dutta — 2008-07-13T20:38:37

Re: BFS2008

Chris Kenyon — 2008-07-13T20:06:44