Twofish's Blog

August 17, 2006

Negative volatility mystery solved – Functors in R – Wikiversity

Filed under: china, quantitative finance, quantlib — twofish @ 11:11 pm

http://www.wilmott.com/messageview.cfm?catid=3&threadid=41001

It turns out that what happened was that the underlying in the warrant issued a dividend and when that happens the strike price of the Shanghai warrant changes.  That means that I’ll have to work a bit to get my R scripts to handle dividend issuance, but on the bright side it probably cleans up the graphs a lot.

The other problem that I’m running into is that I’m trying to figure out how to implement functors and deferencing in R-SWIG.  I thought that I could overload “(” but that doesn’t seem possible.

The other thing that I’ve done is to start a page for quantitative finance on Wikiversity.  There is a huge amount of information on the net and Wikiversity seems like a good place to try to start to organize all of this.

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