gmane.comp.finance.quantlib.user

Questions about Asian pricing engines

Robert Buchanan — 2008-07-23T16:48:29

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Quantlib Benchmark: Monte Carlo methods and FiniteDifference

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

Inputs of Quantlib

Serhat Güven — 2008-07-21T22:23:31

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

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

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

VAR?

Philip Corriher — 2008-07-11T16:59:54

Bachelier conference

Neil Firth — 2008-07-11T16:16:54

Performance

snovik — 2008-07-06T21:51:51

How long does it take to run an EquityOption example an a typical pc? By typical I mean something like duo-core 2GHz I have a feeling that it take too long on my machine.

HestonDAXCalibration with dividends

cc2008 — 2008-07-08T17:10:03

Hi, I've modified parts of the test-suite/hestonmodel.cpp to incorporate dividends. Specifically, I've changed the testDAXCalibration method to include some descrete divident values (paid at the same dates in the program) as follows (full source code attached): vector dividends; for (i = 0; i < 8; ++i) { dates.push_back(settlementDate + t[i]); rates.push_back(r[i]); dividends.push_back(0.1); } Handle dividendTS( boost::shared_ptr( new ZeroCurve(dates, dividends, dayCounter))); When I run the program, it aborts. On Linux, I get the following trace using gdb. Continuing. Testing Heston model calibration using DAX volatility data... Program received signal SIGABRT, Aborted. 0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6 (gdb) where #0 0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6 #1 0x0000002a96440abf in abort () from /lib64/tls/libc.so.6 #2 0x0000002a9606fca6 in __cxxabiv1::__termina

OH/QLA/QLXL Support Offline

Eric Ehlers — 2008-07-05T22:12:42

Hi All, I'm on vacation 8-18 June and will respond to any unanswered ObjectHandler / QuantLibAddin / QuantLibXL questions when I get back. Regards, Eric ------------------------- Eric Ehlers nazcatech sprl | Brussels | http://www.nazcatech.be Distributed computing for pricing analytics - Use Microsoft Excel as a client to the Grid ------------------------------------------------------------------------- Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW! Studies have shown that voting for your favorite open source project, along with a healthy diet, reduces your potential for chronic lameness and boredom. Vote Now at http://www.sourceforge.net/community/cca08

Monte Carlo simulation convergence issue

Yomi — 2008-07-01T08:40:17

Hi, I have created different engiens based on the MC simulation framework. I am experiencing some convergence issues. If I increase the number of steps the Max Time Step by year, the price starts to diverge. An example would be the following graph: http://www.nabble.com/file/p18211801/MC%2Bissues.jpg I have the following questions: 1. have you ever encountered such issues? 2. How to use the error estimate? Whatever the RNG I put (Low Discrenpancies, Pseudo Random...) I can nto access the error which might be usefull. Thanks

Example compilation

Yatis Dodia — 2008-06-26T15:21:29

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Simulating multiple correlated stochastic processes

Max — 2008-06-25T16:08:39

How can I get QuantLib 0.3.3?

horacio aliaga — 2008-06-23T19:11:28

Can the Bates be used together with Monte Carlo?

horacio aliaga — 2008-06-19T19:08:07

quantlib first compilation

bbouaziz — 2008-06-17T10:46:28

How to overwrite the local vol calculation

Yomi — 2008-06-17T09:59:23

Hi, I have a local vol surface that has been calibrated to market data. I want to create a derivated GeneralizedBlackScholesProcess using only this vol surface. i could use in my constructor a flat vol, but then after I would like to link my localVolSurface_ to the one I pass as argument. Any idea how to do? Cheers