Re: Need formula

Hello Dima,

is there any documentation on the modified Malz's formula that you mention below ? Or you plan to comment directly into the code ?

Many thanks

Marco

-----Original Message-----
From: Dima [mailto:dimathematician@...]
Sent: lunedì 20 aprile 2009 11.22
To: ramesh.pedhamalla@...
Cc: quantlib-dev@...
Subject: Re: [Quantlib-dev] Need formula

Hi Ramesh,

This is Malz's formula and I hope you're aware of its assumptions errors and
of all the FX quotations implicit in it. (ATM quote of 0.5, put+call delta=1)

Well actually I'm planing to code it in QuantLib this or the next week. I'll
implement a more correct version which I've derived a while ago, taking
into account other fx conventions, such as premium adjusted.

What do you need this for if I might ask?





Actually,

2009/4/20 Ramesh Pedhamalla <ramesh.pedhamalla@...>

 

 

Hello

 

   I am trying to implement volatility formula using quantlib.I am using visual studio 6.0.

 

I have below inputs which will be use in computing the  formula.We need to implement in different time intervals like 1 week,2 week,1 month…..

•             At The Money volatility (ATM), denoted by 
•             25 Delta Risk Reversal, denoted by 
•             25 Delta Butterfly, denoted by 
•             Delta

 

This is the formula we need to implement in quantlib.

 

 Please guide me regarding the my task.

       

Thanks in advance

Ramesh

 

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