[news.eclipse.technology.ofmp] Re: OFMP Services

[Richard Gomes <rgomes1997@xxxxxxxxxxx>]

Hi Frederic,

Sorry for the long delay.
I was working hard on JQuantLib and I had to find enough time to answer your
question properly.

In fact JQuantLib is simply a price valuation engine (among other things!)
and it is not meant to obtain/keep/manage historical data.

You can obtain volatility from historical data and pass this data to
JQuantLib in order to obtain the 'fair' price of an option, for instance.

In adition, JQuantLib also supports implied volatility, which is 'what the
market behaves the actual volatility is'. This value is based on
* strike price
* maturity (expiry date)
* current price of underlying instrument
* 'zero-risk' interest rate.

Feel free to contact me directly.

Kind Regards

-- 
Richard Gomes
http://wiki.jquantlib.org/index.php/RichardGomes


Frederic Conrotte wrote:

> Hi Richard
> 
> "Richard Gomes" <rgomes1997@xxxxxxxxxxx> wrote in message
> news:frrjpt$um2$1@xxxxxxxxxxxxxxxxxxxx
>> We are planning to have european option valuation via Black and Scholes
>> entering in unit test phase till end of april. At the moment, I'm working
>> on the core object model which supports all intruments and pricing
>> engines implemented by QuantLib/C++
> 
> Interesting topic for OFMP.
> 
> What source of input do you use to get volatility data ?
> What type of volatility do you support ?
> 
> Frederic

-- 
Richard Gomes
http://wiki.jquantlib.org/index.php/RichardGomes