[Quantlib-dev] Heads up - Volatility model classes / Shanghai warrants

[Joseph W. <jo...@gn...>]

Just a heads up.  I'm currently working on some C++ classes that convert quote 
time series information into a volatility time series.  I'm started with a 
dead simple model that does a constant weighting of terms, but eventually, 
I'm hoping to put in a GARCH model.

In case anyone is interested, I'm finding some *really* interesting things 
about Shanghai warrants.  The really interesting thing is that the implied 
volatility for the put warrants are a linear function of the call warrants, 
but they implied volatilities are different from each other,  The thing that 
I need to do now is to compare the two with the volatility as calculated from 
the underlying, which requires some code to convert from quotes to 
volatilities.

Also, the prices of the warrants started off being insane, but are now not 
nearly as crazy now as they were Q3 last year.

Joseph Wang Ph.D.
China Derivatives Researcher
http://www.gnacademy.org/joe