re : implementation of smothing algorithm for forward forward volatilities calculation
winston ,
i am sending you the documentation on the new methodology for creating ffvols
from implied vols . this methodology requires some minimization procedure
to fit the given vol curve with a smoothing function . i am sending you the
code i wrote that performs minimization with simulated annealing method from
numerical recipes .
we might need to discuss some details . please , let me know if you have
questions .
tanya .
re : implementation of smothing algorithm for forward forward
volatilities calculation
winston ,
i am sending you the documentation on the new methodology for creating ffvols
from implied vols . this methodology requires some minimization procedure
to fit the given vol curve with a smoothing function . i am sending you the
code i wrote that performs minimization with simulated annealing method from
numerical recipes .
we might need to discuss some details . please , let me know if you have
questions .
tanya .