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From: <TB...@ao...> - 2006-04-04 10:36:56
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Hi Luigi, I did not get your reply for some reason, so I have subscribed to developers mailing list and I am resending my previous e-mail. I want to do some further Quantlib development on the following: 1) extend the convertible bond engine to include discrete dividends. I have an idea which involves recursion but which is okay if you have program in a non OO approach, but in Quantlib where its strongly OO it may be a bit tricky but essentially we would need to construct a separate tree for each dividend date work out the call values and compare with early exercise of (adjusted spot by divided -strike) and eventually all these vector of call values become the call values of the previous dividend date which in a way will join the separate trees. For each of the separate trees you may need to store or apply call or putable features, coupon payments 2) extend the convertible bond engine to allow cater for partial recovery of bond and stock price going to 0 or partial recovery of stock if there is a default. 3) price Mortgage Backed Security. In the case of the MBS, I am trying to work out how a hullwhite short rate model can be modelled using Monte Carlo in Quantlib. Its not very clear how the dynamics of the short rate process can be passed to Monte Carlo class. If it was a stock process then fine. Regards Theo |
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From: Toyin A. <toy...@ho...> - 2006-04-04 11:41:03
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Hi Theo, I too have not worked out how one can use the interest rate short rate models within a MonteCarlo setting. I'm even looking for how one can use two correlated short rate models. All, For the LMM model, there are several nice examples within the test files. One question regarding the LMM model under the Monte Carlo setting, if one wanted to price a quanto structure (where the fixings thus need a quanto adjustment), is it the case that we simply multiply the initial libor rates by the convexity adjustment ( exp(- FXVol*Vol*Correlation) ) and then simulate? Or do we apply this adjustment on the simulated libor rates at the end of each simulation? Or do we require another model entirely? Toy out. >From: TB...@ao... >To: qua...@li... >Subject: [Quantlib-dev] QuantLib developement >Date: Tue, 4 Apr 2006 06:36:15 EDT > > >Hi Luigi, > >I did not get your reply for some reason, so I have subscribed to >developers >mailing list and >I am resending my previous e-mail. > >I want to do some further Quantlib development on the following: > >1) extend the convertible bond engine to include discrete dividends. I >have an idea which involves recursion but which is okay if you have >program in a >non OO approach, but in Quantlib where its strongly OO it may be a bit >tricky but essentially we would need to construct a separate tree for each >dividend date work out the call values and compare with early exercise of >(adjusted >spot by divided -strike) and eventually all these vector of call values >become the call values of the previous dividend date which in a way will >join the >separate trees. For each of the separate trees you may need to store or >apply call or putable features, coupon payments > >2) extend the convertible bond engine to allow cater for partial recovery >of >bond >and stock price going to 0 or partial recovery of stock if there is a >default. > >3) price Mortgage Backed Security. In the case of the MBS, I am trying to >work out >how a hullwhite short rate model can be modelled using Monte Carlo in >Quantlib. Its not >very clear how the dynamics of the short rate process can be passed to >Monte >Carlo class. >If it was a stock process then fine. > > >Regards > >Theo > |
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From: Klaus S. <kla...@fr...> - 2006-04-10 20:02:59
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Hi Toy, I found the following slides on LMM and quanto structures quite good http://www.christian-fries.de/finmath/PDF/ CrossCurrencyLIBORModels-MarkovFunctionalModel_Koeln2004.pdf cheers Klaus |
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From: Toyin A. <toy...@ho...> - 2006-04-11 11:58:31
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Hi Klaus, Thanks for the pdf file. Looks like it's not going to be as easy as I thought. What would you suggest would be the best method of integration of Quanto rates into the LMM model given that we already have a BlackScholesProcess object within quantLib. Toy out. >From: Klaus Spanderen <kla...@fr...> >Reply-To: kla...@fr... >To: "Toyin Akin" <toy...@ho...> >CC: qua...@li... >Subject: Re: [Quantlib-dev] QuantLib developement >Date: Mon, 10 Apr 2006 08:36:23 +0200 > >Hi Toy, > >I found the following slides on LMM and quanto structures quite good > >http://www.christian-fries.de/finmath/PDF/ >CrossCurrencyLIBORModels-MarkovFunctionalModel_Koeln2004.pdf > >cheers > Klaus > > |
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From: Klaus S. <kla...@fr...> - 2006-04-19 23:44:24
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Hi Toy, An interesting solution would be to simulate the multi currency LMM as proposed by e.g. Fries by using a composite stochastic process consisting of a Black Scholes process for FX, a plain "home" LMM interest rate and a foreign LMM interest rate having the "quanto adjustment"...plus a bunch of new correlations between the three processes (calibrated using historical correlations?) cheers Klaus On Tuesday 11 April 2006 1:58 pm, Toyin Akin wrote: > Hi Klaus, > > Thanks for the pdf file. > > Looks like it's not going to be as easy as I thought. > > What would you suggest would be the best method of integration of Quanto > rates into the LMM model given that we already have a BlackScholesProcess > object within quantLib. > > Toy out. > > From: Klaus Spanderen <kla...@fr...> > > >Reply-To: kla...@fr... > >To: "Toyin Akin" <toy...@ho...> > >CC: qua...@li... > >Subject: Re: [Quantlib-dev] QuantLib developement > >Date: Mon, 10 Apr 2006 08:36:23 +0200 > > > >Hi Toy, > > > >I found the following slides on LMM and quanto structures quite good > > > >http://www.christian-fries.de/finmath/PDF/ > >CrossCurrencyLIBORModels-MarkovFunctionalModel_Koeln2004.pdf > > > >cheers > > Klaus > > ------------------------------------------------------- > This SF.Net email is sponsored by xPML, a groundbreaking scripting language > that extends applications into web and mobile media. Attend the live > webcast and join the prime developer group breaking into this new coding > territory! > http://sel.as-us.falkag.net/sel?cmd=lnk&kid=110944&bid=241720&dat=121642 > _______________________________________________ > Quantlib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Luigi B. <lui...@gm...> - 2006-04-11 11:54:24
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On 4/4/06, TB...@ao... <TB...@ao...> wrote:
> Hi Luigi,
>
> I did not get your reply for some reason, so I have subscribed to develop=
ers
> mailing list and
> I am resending my previous e-mail.
Yes, the mail I'm sending to your AOL address keep bouncing back. The
developers' list is the preferred place for discussion anyway.
> I want to do some further Quantlib development on the following:
>
> 1) extend the convertible bond engine to include discrete dividends. I
> have an idea which involves recursion...
It looks kind of computationally intensive. How are discrete dividends
managed in practice and/or literature? Anyone, any references?
> 2) extend the convertible bond engine to allow cater for partial recovery=
of
> bond
> and stock price going to 0 or partial recovery of stock if there is a
> default.
Ok.
> 3) price Mortgage Backed Security. In the case of the MBS, I am trying t=
o
> work out
> how a hullwhite short rate model can be modelled using Monte Carlo in
> Quantlib. Its not
> very clear how the dynamics of the short rate process can be passed to Mo=
nte
> Carlo class.
I'll be committing shortly a contribution I received. It provides
processes based on Hull-White that can be used in a Monte Carlo model.
I'll let you know when they're available.
Later,
Luigi
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From: Luigi B. <lui...@gm...> - 2006-04-28 11:11:13
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On 4/11/06, Luigi Ballabio <lui...@gm...> wrote: > I'll be committing shortly a contribution I received. It provides > processes based on Hull-White that can be used in a Monte Carlo model. > I'll let you know when they're available. Done. There are a few new processes in ql/Processes and a new engine in ql/PricingEngines/CapFloor that shows how to use them. Luigi |
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From: Toyin A. <toy...@ho...> - 2006-04-28 14:14:44
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Hi Luigi, Is it possible to derive the G2Process and G2ForwardProcess classes from the XXX1D base class as you have done with the HullWhite versions? Toy out. >From: "Luigi Ballabio" <lui...@gm...> >To: "TB...@ao..." <TB...@ao...> >CC: qua...@li...,"Toyin Akin" ><toy...@ho...> >Subject: Re: [Quantlib-dev] QuantLib developement >Date: Fri, 28 Apr 2006 13:11:02 +0200 > >On 4/11/06, Luigi Ballabio <lui...@gm...> wrote: >>I'll be committing shortly a contribution I received. It provides >>processes based on Hull-White that can be used in a Monte Carlo model. >>I'll let you know when they're available. > >Done. There are a few new processes in ql/Processes and a new engine >in ql/PricingEngines/CapFloor that shows how to use them. > >Luigi > > >------------------------------------------------------- >Using Tomcat but need to do more? Need to support web services, security? >Get stuff done quickly with pre-integrated technology to make your job >easier >Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo >http://sel.as-us.falkag.net/sel?cmd=lnk&kid0709&bid&3057&dat1642 >_______________________________________________ >Quantlib-dev mailing list >Qua...@li... >https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Toyin A. <toy...@ho...> - 2006-04-29 04:47:15
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Hi, Sorry, silly request, G2 is a 2-factor model !! Toy out. >From: "Toyin Akin" <toy...@ho...> >To: lui...@gm..., TB...@ao... >CC: qua...@li... >Subject: Re: [Quantlib-dev] QuantLib developement >Date: Fri, 28 Apr 2006 15:14:41 +0100 > > >Hi Luigi, > >Is it possible to derive the G2Process and G2ForwardProcess classes from >the XXX1D base class as you have done with the HullWhite versions? > >Toy out. > >>From: "Luigi Ballabio" <lui...@gm...> >>To: "TB...@ao..." <TB...@ao...> >>CC: qua...@li...,"Toyin Akin" >><toy...@ho...> >>Subject: Re: [Quantlib-dev] QuantLib developement >>Date: Fri, 28 Apr 2006 13:11:02 +0200 >> >>On 4/11/06, Luigi Ballabio <lui...@gm...> wrote: >>>I'll be committing shortly a contribution I received. It provides >>>processes based on Hull-White that can be used in a Monte Carlo model. >>>I'll let you know when they're available. >> >>Done. There are a few new processes in ql/Processes and a new engine >>in ql/PricingEngines/CapFloor that shows how to use them. >> >>Luigi >> >> >>------------------------------------------------------- >>Using Tomcat but need to do more? Need to support web services, security? >>Get stuff done quickly with pre-integrated technology to make your job >>easier >>Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo >>http://sel.as-us.falkag.net/sel?cmd=lnk&kid0709&bid&3057&dat1642 >>_______________________________________________ >>Quantlib-dev mailing list >>Qua...@li... >>https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > >------------------------------------------------------- >Using Tomcat but need to do more? Need to support web services, security? >Get stuff done quickly with pre-integrated technology to make your job >easier >Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo >http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642 >_______________________________________________ >Quantlib-dev mailing list >Qua...@li... >https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Toyin A. <toy...@ho...> - 2006-04-28 14:47:36
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Hi Luigi, One further question regarding the new process framework... Let's say one wanted to price a spread option via monte-carlo between 2 differnet indexes so that the payoff is max( (fixing_Index1 - fixing_Index2) - X, 0.0). It looks like to me that the two interest rate processes (fixing_Index1 and fixing_Index2) along with the correlation between the two can be modelled via the StochasticProcessArray class and thus the spread option priced correctly via monte-carlo. I guess you can even simulate the FX between the two (if the indexes represents rates in different currencies) and have three correlated processes. Would you agree that under the new process framework, the set-up I have presented above is correct and would be priced correctly? I'm not too sure whether the interest rate processes along with a correlation matrix is compatible with the StochasticProcessArray class. The interfaces suggest yes, but will the computed rates from the simulation account correctly for the correlation? Toy out. |
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From: Toyin A. <toy...@ho...> - 2006-05-11 04:31:56
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Hi Theo, Is the ConvertibleBond framework operating correctly within quantlib? I seem to remember previous postings suggesting that the implementation was incorrect. Is this still the case? Best Regards, Toyin Akin. |
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From: Luigi B. <lui...@gm...> - 2006-05-11 06:53:13
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On 05/11/2006 06:31:51 AM, Toyin Akin wrote: > Is the ConvertibleBond framework operating correctly within quantlib? To the best of my knowledge, the released version is correct. Later, Luigi ---------------------------------------- The first rule of intelligent tinkering is to save all the parts. -- Paul Erlich |
