Implementing Piterbarg's paper - effective skew calculation [Octave Matlab]

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Category: Matlab	View Full Details
Implementing Piterbarg's paper - effective skew calculation
Submitter: vanna	Date: 2008/11/27

Description: Average parameters are an essential tool for efficiency in calibration and are becoming more popular nowadays. This file implements calculation of effective skew as mentioned in Piterbarg's paper "Time to Smile". Input data is taken from the section on "Test Results". Output value of effective skew using formula 11 (column 3 below) is compared to values mentioned in paper (column 2 below). The first column is expiry `1.00000 0.90000 0.90066 2.00000 0.80000 0.80334 3.00000 0.70000 0.70475 4.00000 0.60000 0.60442 5.00000 0.50000 0.50528 6.00000 0.40000 0.40541 7.00000 0.30000 0.30502` Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
506 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Piterbarg's paper - calculate effective volatility of volatility
Submitter: vanna	Date: 2008/12/3

Description: This script implements calculation of vol. of vol parameter for different maturities using formula (6) mentioned in Piterbar's paper "Time to Smile". It uses same input data, and generates calculated values for expiry 1 to 7 years. Following is generated output after running this program: `results = 0.00000 0.75000 0.75000 1.00000 0.81000 0.80376 2.00000 0.87000 0.86260 3.00000 0.93000 0.92393 4.00000 0.99000 0.98561 5.00000 0.10500 1.04716 6.00000 0.11100 1.10816 7.00000 0.11700 1.16848` Columns in the above table are: column 1 : expiry column 2 : effective vol of vol values mentioned in paper column 3 : calculated values for effcetive vol of vol Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
548 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Quanto differential swap pricing
Submitter: vanna	Date: 2007/5/6

Description: Calculates spread of quanto differential swap for USD/GBP Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
553 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
Piterbarg's paper - calibration of instantaneous skew
Submitter: vanna	Date: 2008/11/28

Description: This file demonstrates how instantaneous values are backed out from everage parameters. as mentioned in paper "Time to Smile" by Piterbarg, the avergae or effective parameters are calibrated to market prices of options. Using the formulas for effective parameters, the instantaeous parameters are then backed out in an iterative way. Input parameters are taken from "Test results" section of Pierbarg's paper. Following is output of this program: `0.00000 1.00000 1.00000 1.00000 0.85000 0.84583 2.00000 0.71000 0.70672 3.00000 0.56000 0.55303 4.00000 0.41000 0.40841 5.00000 0.26000 0.24904 6.00000 0.10000 0.10079 7.00000 -0.05000 -0.06346` 1st column : expiry 2nd column : instaneous skew mentioned in paper 3rd column : calibrated/calculated value of instanaeous skew Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
565 0 bytes Octave Matlab http://www.quantcode.com/
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Category: Matlab	View Full Details
BAW American Option Pricer (Matlab)
Submitter: heatrate	Date: 2010/6/29

Description: Folks - I have attached the BAW American option pricing approximation model in Matlab code. If anyone else has a BAW implementation that they can use to test against my implementation for accuracy I would greatly appreciate it. If there are any errors please feel free to bring them to my attention so that I can correct and re-distribute. Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
579 0 bytes http://www.quantcode.com/modules/docmanager/view_file.php?curent_file=265&curent_dir=1
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