Comments (5)
domokane
commented on July 22, 2024
1
Hi Matt
I have actually put this function - your issue 1 - on my to-do list - I discussed this with Saeed Amen last week.
I can probably do this quite quickly. Regarding the error in #2, I will take a look later today and get back to you.
Regards
D
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domokane
commented on July 22, 2024
1
It needed work. I have fixed it now. Look at the test example in TestFinEquityVolSurface.
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domokane
commented on July 22, 2024
Matt - take a look at the latest version I just pushed. There are two new functions -
volatilityFromDeltaDate
volatilityFromStrikeDate
The name says what they do. I have added an example to TestFinFXVolSurfacePlus
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mattdoub
commented on July 22, 2024
Looks good!
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mattdoub
commented on July 22, 2024
Hi Dominic - volatilityfromDeltaDate looks to be commented in the FinEquityVolSurface class. Any particular reason?
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Related Issues (20)
- Some swap suggestions
- argument type issue - FXVanillaOption with SABR model HOT 3
- Re-generate manual when master is updated HOT 5
- Date Schedule._generate issue HOT 2
- Example of SOFR curve
- Potential issues for CDS pricing HOT 4
- Major implementation change for ibor_swap? A notebook example doesn't tie out anymore. HOT 12
- Bond Curve Fitting HOT 1
- Inconsistency in Day Count in Index Curve? HOT 3
- CDSOption insensitive to vol for Receiver HOT 4
- Division with wrong day count convention causes incorrect forward rates HOT 1
- Bond OAS and accrued interest HOT 2
- barrierOpt.value issue HOT 2
- choose to apply a Black'76 in Fx Vanilla option HOT 1
- Build SOFR curve - suggestions
- Updated FINGBMPROCESS_generatePaths HOT 4
- Backtesting of Strategy HOT 4
- 'bond.print_payments' error HOT 2
- typo in "acccrued"
- Name 'swap_types' is not defined HOT 3
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