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About QuantCode

Requested and Answered by Vanna on 27-Jan-2011 16:10 (5407 reads)

Thanks for visiting this page!

Quantcode.com is a website trying to serve the purpose of being a directory of useful resources for Quantitative Finance and Trading. We have a limited set of users visiting this site, but are a pretty close group like family members and try to help each other out in the quest for knowledge. This is a free for everyone site, and all source code created here is freely downloadable

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2350 Comment(s)

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Anonymous	Posted: 2011/1/30 13:05 Updated: 2011/1/30 13:05
	Guest book Where can I find example excel spreadsheet to calculate greeks using MC simulation? Thanks

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vanna	Posted: 2011/1/30 17:08 Updated: 2011/1/30 17:09
Just can't stay away Joined: 2007/3/21 From: Posts: 104	Re: Guest book It was in my backburner of my mind for things to do this year, thanks for reminding me! Regards

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Anonymous	Posted: 2011/2/2 12:37 Updated: 2011/2/2 12:37
	Guest book / About QuantCode Thanks for your hard work in maintaining this site, I like it!

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Anonymous	Posted: 2011/2/8 1:52 Updated: 2011/2/8 1:52
	Guest book / About QuantCode Hello, Your website is really amazing. A wealth of information and code. I found your implied vol. VBA for excel and it's really GREAT! Amazing... you press a button and that's all! CONGRATS! The only thing is that at times it does not include the strikes above the current price, in the vol. plotting (but it seems that it downloads the data). Is there a way to expand the range of the strike prices included in the plot? Thanks a lot and keep up the good work PS: I can send you the files with my notes directly there if it helps . Best.

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Anonymous	Posted: 2011/2/8 2:08 Updated: 2011/2/8 2:08
	Guest book / About QuantCode Thanks for your encouraging words and your valuable feedback! As far as I remember, the data gets copied from the temporary book to avgsummary, then to implied vols then filteredvols and then volsurface and then to the chart. can you tell me the symbol which is not displaying all the strikes? I think it could be a bug or hard coded maximum value somewhere in this chain which is causing this. Thanks for using QunatCode

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Anonymous	Posted: 2011/2/8 17:22 Updated: 2011/2/8 17:22
	Guest book / About QuantCode In book1 where it downloads the data (you can see it below, also) it downloads all the strikes but the implied Vol. chart stopped at 7.5 (so 10, 11, etc. in book1 you can see up to strike 30, but the in the chart are not displayed. it stopped at 7.5. Changing the strike step did not 'force' the strike range upward). Unfortunately, I was trying to reproduce it but when I pushed start it connects, downloads the data but THEN I got: Type mismatch error. and then from Microsoft Visual Basic: Run-time error '13': Type mismatch. I've never seen it before. I tried the PC of a friend same thing..... a few days ago it was running fine... really buffling... Thanks in advance, you guys really ROCK

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Anonymous	Posted: 2011/4/13 19:44 Updated: 2011/4/13 19:44
	About QuantCode Great job with the site!! I was wondering if you could help me find some working code for calculating Greeks using Malliavin Calculus for Barrier options..please let me know Cheers!

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Anonymous	Posted: 2011/5/17 14:41 Updated: 2011/5/17 14:41
	About QuantCode Hey guys, great website. Loved the MC code in Importance sampling. Can you show show the likelihood ratio formula used in the importance sampling Matlab code is derived? Thanks.

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Anonymous	Posted: 2011/7/12 6:01 Updated: 2011/7/14 10:48
	About QuantCode Hi Vanna im looking for one of your earlier(2006) links you sugested-simulation of interest rates by vasicek where can i find the paper/code

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Anonymous	Posted: 2011/7/13 5:27 Updated: 2011/7/14 10:47
	About QuantCode hi, where can i find this(SIMULATION OF THE SHORT INTEREST RATE BY THE VASICEK MODEL) does anyone have a copy the link is no longer available Roadrunner

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Anonymous	Posted: 2012/1/5 11:22 Updated: 2012/1/28 18:47
	About QuantCode Hi, I'm now using the ADF test excel file from you. There's one thing I really can't understand. In the CreateRegression Matrix, you used the data to decide the lag order. I'm so confused about that formula. Could you tell me where is that formula from? Thx so much!

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Anonymous	Posted: 2012/1/5 12:04 Updated: 2012/1/28 18:46
	About QuantCode Hi, I'm now using the ADF test excel file provided by you. In the "CreatRegression Matrix", you used the data size to decide the optimal lag order for the ADF test. I'm a bit confused why the formula to decide the lag order should look like that. Could you please tell me about that? Thx so much!

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Anonymous	Posted: 2012/1/8 9:08 Updated: 2012/1/28 18:37
	About QuantCode hi vanna greaaaaaaaaaaaat work realy your site is very helpful ;) im looking for a class that perform the value at risk model using c# . thank u

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Anonymous	Posted: 2012/1/31 11:16 Updated: 2012/3/18 11:15
	About QuantCode Hi, I'm working with the simplex method. I'm trying to solve my problem with your file you posted : neldertut2.xls (here : http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=9&lid=423) I've some questions for you regarding the simplex method and your VBA algorithm. Can you reply me if you're Ok to help me : dambeh21@gmail.com Thank a lot best regards

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Anonymous	Posted: 2012/3/4 12:57 Updated: 2012/3/18 11:07
	About QuantCode Hi vanna, thanks in advance for all you have posted here, i found it very helpfull. I am interest into Asian option pricing using finite difference methods. You have posted a c++ code for it but i need it in matlab and, thats bad, i dont know c++ at all. Can you help me? Thanks Filippo PS: my mail is filippogasco@gmail.com

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Anonymous	Posted: 2012/3/26 7:26 Updated: 2012/5/6 19:24
	About QuantCode Thanks for your insightfull materials. I have problem of implementing clayton copula dependencies between several assets. How to go from 2 to many assets like we have with the linear correlation matrix between each of the asset dependency number. Can you post example of this. thanks in advance.

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Anonymous	Posted: 2012/4/13 12:34 Updated: 2012/5/6 19:19
	About QuantCode Hi Vanna, great site, incredibly good stuff here. I'm currently looking for a developer to help with building an ATS in C# .NET and wondering if you do contract project work. email me at chad.gray@cfgraytrading.com if interested in discussing

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