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Latest news
Updates
Updated resources (probabilities and vols): skews keeps on flattening, longer vols creep up despite spots up.
Also updated: feedback, and touched up the software pages.
Updated SX5Eprobabilities
In the news
Feedback
Updating
Major release: version 2.0 is available
Version 2 of our software is out. Major release with many upgrades, including:
- New improved volsurface model (EQFB2), extends the global fitting region to the short maturities (~1 month)
- Multi-yieldcurve framework introduced: application to OTC pricing and structured products
- VolManager: additional fitting tools, including dividend futures and synthetics
- Data Management: all market data now viewable and editable in pop-ups, timestamps and tags added, simple tools for saving and loading from DB
Update glossary
Interesting piece in Invesment Week
Website: added glossary
Website upgrade: probabilities
Website upgrade
Beta testing of EQFB2 is drawing to an end
Finalised asymptotics - now fitting eurostoxx even at 10 days, and doing well even with the high OTM calls in long term SPX. (See some pictures in the download area).
We'll get round to release officially in the new year, together with all the other new features. Already available in Beta.
Radio interview
Quite promising...
We have been working and testing on our improved volsurface model and it seems to keep on doing v well. Good fitting with only global parameters from one month expiries to several years. We'll keep on testing it, now out in beta (1.7.0). Get in touch if interested to try it. Some pictures done in august on SPX listed options.
