Category: Derivatives
As we already discussed, financial institutions use more and more Credit Support Annex (CSA) to protect themselves against a potential default of their counterparties and more generally to…
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As 2016 started, we wish you and your family a great year ahead. Happy New Year! This post is a continuation of our discussion on swap and VBA swaption pricing, and a conclusion…
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VBA and Quant finance This article is actually a first part of an introductory course to VBA coding, given at Solvay School of Economics in Feb. 2014. The Excel…
Read more...When comparing to other vanilla derivatives, Cap and Floor pricing offers an additional complexity, as it does not involve a single volatility number. Indeed a Cap/Floor can be…
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Break-even Volatility skew In a future article we will introduce a methodology to compute the rolling average correlation smile of an index for a given tenor (say, 3-Month, 1-Year). To do so,…
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This article suggests another architectural approach to the one elaborated in part 2 of this series of articles dedicated to option pricing via Python. In the latter indeed, we…
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This article introduces two ways to perform parallel programming with a pricing library such as QLNet. First we get an idea of the time required to do sequentially a…
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In a previous post we discussed the new paradigm of Swap pricing throughout the use of collateralization. We now propose a simple VBA code to price a Cross-Currency…
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In a previous article we presented how to build and install QuantLib so that it could be called in a Python script. Here we introduce how to use…
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Option greeks: formula proofs and python implementation – Part 2 This documents is the second part of a general overview of vanilla options partial sensitivities (option greeks). In a…
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Second part of our journey in the new Swap Curve construction framework. Tenor-Based Pricing Libor Fragmentation In the middle of the crisis we have seen a crucial change…
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Pretty much like in any Popperian scheme of trial and error, the Interest Rate Swap market has come to a new stage of its history. Since the theatric…
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Option greeks: formula proofs and python implementation. This documents is the first part of a general overview of vanilla options partial sensitivities (option greeks). Here we provide 1st…
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According to Stoic philosophy, ataraxia is the state of complete absence of trouble, where the sage becomes insensitive to any trouble and by extension to the volatility of…
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