26.05.2020
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29.09.2016
Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
07.09.2016
"Trading realised variance using listed vanillas" recently published - see more and download here
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VolManager and Calibrator

Tools to calibrate volatility surfaces and forwards to market prices. They can be called from EQF Addin or via the toolbox/API.

The volatility surface is described as an analytical, global parameterisation: NOT a grid of numbers , nor a set of unrelated parameterisations at each expiry, as is often the case.

  • Tools for auto-fitting, editing and displaying make the process simple and efficient.
  • Dedicated tools for dividends maintenance allow to reduce drastically the amount of time usually spent calibrating them.
  • User-supplied live market prices (both listed and OTC !) are read from Excel, CSV files or other customisable sources, so it is not dependent on specific data vendors. Direct feed is possible, as well as customised functions and fitting to OTC automated feeds. 

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