Dominic O'Kane
Dominic O'Kane
The current FX implied volatility calculator uses Newton Raphson with an analytical first derivative (vega). This has numerical issues for short-dated ITM options. Needs to be fixed by converting ITM...
Some functions take a date as an input. However I would like to be able to pass in a vector/list of dates and/or a vector of enums and get a...
Bootstrap discount factors from the OIS.
You'll need to offer curve calibration using outright OIS & IBOR tenor swaps, OIS meeting date swaps, basis swaps of either IBOR/IBOR, IBOR/OIS or OIS/OIS, OIS and IBOR futures, IBOR...
Value a floating-floating cross currency swap with a basis adjustment.
Allow users to select Sobol numbers instead of Quasi random numbers in Asian option pricing.
Generic framework for fitting an interest rate model to the swaption market
Update BDT tree to allow for shifted rates (and negative rates)
Create an object to store volatility by start tenor, swap tenor and strike Also does interpolation.