usage of volatility and time period
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Eric Tang
Jul 19, 2010, 12:47:02 PM7/19/10
to cf_group6
One more thing. When you are going through the codes, please help to
check the followings:
1. usage of volatility and vc in call pricing. Volatility(i,j) are
input from the return data and vc(i,j) are calculated / iterative vc()
[note: also include the vcitr() ]
2. time period in calling BSCall BSCallDelta, i.e. maturity-horizon
I find that using and passing of these variables are quite tricky.
There are also redundant codes in each subroutines to remove before
submission.
Eric
check the followings:
1. usage of volatility and vc in call pricing. Volatility(i,j) are
input from the return data and vc(i,j) are calculated / iterative vc()
[note: also include the vcitr() ]
2. time period in calling BSCall BSCallDelta, i.e. maturity-horizon
I find that using and passing of these variables are quite tricky.
There are also redundant codes in each subroutines to remove before
submission.
Eric
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