Validation of the Tremor Stochastic-Local Volatility Model

The Tremor Model
Implementation of . . .
Validation Experiment
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The Tremor Stochastic-Local-Volatility

Model
Independent Validation by
MathFinance
Uwe Wystup
uwe.wystup@mathfinance.com
June 2011
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Abstract. In this document we summarize the hybrid

stochastic-local volatility model, called the Tremor-model
implemented by Murex, and validate the implementation
of the values and Greeks of vanilla and first generation
exotic options using a Monte Carlo engine. The implementation by Murex is based on finite difference method
of the model partial differential equation. The calibration
of the model parameters is done by Murex. What is validated in this report are the derivatives values and Greeks
based on the calibrated model parameters delivered by
Murex. The calibration as such is not part of this report.
The Tremor Model

1. The Tremor Model
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Model a the forward as ( [7], [8])

mathfinance.com
(1)
dftT = vt g(ftT )dWt ,
(2)
dvt = ( vt)dt + vtdWt
g(f ) = min(a + bf + cf 2, cap f )
(1)
(2)
Cov(dWt , dWt ) = dt
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(1)
(2)
(3)
(4)
The name Tremor originates from Pascal Tremoureux, a senior member of the quant team at Murex
The Tremor Model

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ftT forward to maturity T seen from t

vt variance process
v0 initial instantaneous variance
long-term variance set to v0
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> 0 rate of mean-reversion
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instantaneous correlation between ftT and vt
volatility of variance (vol of vol)
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a, b, c parameters of g the local volatility function

cap: 500%
1.1. Parameter Choices in Murex and the MathFinance Implementation

The Tremor Model
Local volatility parameters displayed in the Murex screen are
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a0 : Slope
b0 : Parabola Minimum
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c0 : Normalization Forward
These are shown in the MathFinance test results.
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1.1. Parameter Choices in Murex and the MathFinance Implementation

The Tremor Model
Local volatility parameters displayed in the Murex screen are
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a0 : Slope
b0 : Parabola Minimum
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c0 : Normalization Forward
These are shown in the MathFinance test results.
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They are related by (Source:[9])

a = c0 (1 b0 + a0 ),
b = b0 2a0 ,
c = a0 /c0 .
(5)
(6)
(7)
The Tremor Model

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2. Implementation of the Tremor model by

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2.1. Discretization
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We sample the distribution of the variance process directly following the quadratic-exponential (QE) scheme
described by Andersen in [1].
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2.1. Discretization
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N = 224 simulated paths (Euler scheme in spot)
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2.1. Discretization
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N = 224 simulated paths (Euler scheme in spot)
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Equidistant time steps dt = 0.5 days = 0.00137, for all

test deals.
2.2. Continuity Correction

weights starting with value 1 at time zero.
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u: upper barrier
d: lower barrier

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u: upper barrier
d: lower barrier
In any time step we check if the simulated path is not
beyond the barrier, and in such a case the weights
are multiplied with
wN T U p = 1 e
wN T Down = 1 e
2 (us(t))(us(t+dt))
v(t)s(t)2 dt
2 (s(t)d)(s(t+dt)d)
v(t)s(t)2 dt

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u: upper barrier
d: lower barrier
are multiplied with
wN T U p = 1 e
wN T Down = 1 e
2 (us(t))(us(t+dt))
v(t)s(t)2 dt
2 (s(t)d)(s(t+dt)d)
v(t)s(t)2 dt
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If the barrier is touched, then we set w = 1.

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u: upper barrier
d: lower barrier
are multiplied with
wN T U p = 1 e
wN T Down = 1 e
2 (us(t))(us(t+dt))
v(t)s(t)2 dt
2 (s(t)d)(s(t+dt)d)
v(t)s(t)2 dt
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If the barrier is touched, then we set w = 1.

If it is not touched explicitly, we compute the touch
probability as 1 minus the product of the weights
above.
The Tremor Model

2.3. Feller Condition
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The CIR process for the variance (2), remains strictly

positive if
4
2.
2
(8)
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positive if
4
2.
2
(8)
42% of the examined markets yield calibrated parameters

that do not satisfy the Feller condition.
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positive if
4
2.
2
(8)
42% of the examined markets yield calibrated parameters

that do not satisfy the Feller condition.
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Therefore: use fine time grid in PDEs or Monte Carlo.
The Tremor Model

3. Validation Experiment
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Implement independent pricing engine (Monte Carlo

and PDE)
Calibration: parameter delivered by Murex for a
given maturity based on spot, rates, ATM vol, 25
delta risk reversals and butterflies
Communication: Murex produces files irsmform.xml and irsmout.xml containing all the
necessary information on market input, calibrated
parameters, contract data and results
MathFinance compares prices and Greeks
3.1. Deals under Consideration
The Tremor Model

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EUR/CHF,5 USD/MXN,3
EUR/PLN,3
USD/BRL,3
EUR/HUF,3
EUR/TRY 5
EUR/TRY,5
AUD/JPY,2
USD/TRY,
EUR/GBP,7
6
NZD/USD,8
GBP/JPY,1
AUD/NZD,1
AUD/CAD,1
/
,
GBP/CHF,1
USD/SGD,1
USD/CHF,14
USD/CAD,11
EUR/JPY,14
USD/JPY,170
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GBP/USD 23
GBP/USD,23
AUD/USD,26
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EUR/USD, 80
EUR/USD,80
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388dealsin22currencypairsconsidered
388 deals in 22 currency pairs considered
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Figure 1: Distribution of currency pairs.
5
The Tremor Model
matur
maturity
4.5
4
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2.5
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1
0.5
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11%
22%
33%
44%
55%
67%
78%
89%
10
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Figure 2: Distribution of maturities.
3.2. Test Results

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delta
in per cent
price Mkt
Given market price provided by Murex
price Calib
Analytic approximation computed by Murex after calibration
price Comp
Price computed by MathFinance with Monte Carlo simulation
price Comp D
4 standard deviations of the simulated price
vols Mkt
Given market Black-Scholes implied vols provided by Murex
vols Mkt i
Implied vols computed by MathFinance based on price Mkt
vols Calib
Implied vols provided by Murex based on price Calib
vols Calib i
Implied vols computed by MathFinance based on price Calib
vols Comp i
Implied vols computed by MathFinance based on price Comp
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Table 1: Explanations of Test Results
3.3. Vanilla Consistency Check

Detailed test results for many vanilla markets showed that
the pricing of vanilla options consistently agrees with our
simulation based values.
The Tremor Model
market
expiry
fwd comp
fwd factor
spot
rd
rf
v0
USD/JPY
0.99178
103.32762
103.32762
105.28181
0.01284
0.03173
0.10129
Greeks
c0
b0
a0
Summary
0.01026
0.11674
-0.41524
103.32762
-2.48952
10.44604
delta
-10
-25
50
25
10
strike
84.58869
95.17271
102.7913
109.33172
114.97983
price Mkt
0.75692
1.84591
4.18465
1.34143
0.40213
price Calib
0.79372
1.79034
4.20102
1.37707
0.3534
price Comp
0.81574
1.81104
4.20651
1.36733
0.34323
price Comp D
0.00479
0.00661
0.00487
0.00283
0.00141
vols Mkt
0.16375
0.12768
0.10234
0.08714
0.08366
vols Mkt i
0.16375
0.12768
0.10234
0.08714
0.08366
vols Calib
0.16598
0.12582
0.10277
0.08825
0.08085
vols Calib i
0.16598
0.12582
0.10277
0.08825
0.08085
vols Comp i
0.16729
0.12652
0.10291
0.08795
0.08024
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Table 2: USD-JPY vanilla market check: example

data irsm201008/02052008/irsmform_hp222srv_
28945_6684515_premium_133.xml
3.4. Exotic Options

The Tremor Model
24 KID
knock-in down
13 KIU
knock-in up
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21 KOD knock-out down

72 KOU knock-out up
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49 OTD one-touch down

53 OTU one-touch up
153 DNT double-no-touch
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3 DOT double-one-touch
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Table 3: Number of exotic option types under consideration with abbreviations used by Murex
The Tremor Model

3.5. Test Results
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type
payCcy
strike
call/put
down
up
maturity
KID
101
101
0.991781
delta
-10
-25
50
25
10
vanilla (FDM)
0.81898
1.81489
4.20619
1.36789
0.34419
price MF(MC)
dev
price MF (FDM)
price MX
2.18414
0.00386
2.20382
2.21282
Table 4: Example: USD-JPY Down-and-in Call
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dealno market
hp222srv_ USD/CAD
hp222srv_ EUR/USD
hp222srv_ GBP/CHF
hp222srv_ EUR/JPY
hp222srv_ GBP/USD
hp222srv_ USD/CAD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ AUD/USD
hp222srv_
hp222srv EUR/USD
EUR/USD
hp222srv_ GBP/USD
hp222srv_ GBP/USD
hp222srv_ EUR/HUF
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ AUD/USD
hp222srv_ EUR/GBP
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ GBP/USD
hp222srv_ GBP/USD
hp222srv_ USD/CAD
hp222srv_ USD/TRY
hp222srv_
p
_ EUR/GBP
/
hp222srv_ USD/JPY
hp222srv_ EUR/USD
hp222srv_ AUD/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ GBP/USD
hp222srv_ NZD/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_
hp222srv EUR/USD
EUR/USD
hp222srv_ USD/CHF
hp222srv_ EUR/HUF
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ EUR/CHF
hp222srv_ EUR/HUF
hp222srv_ EUR/USD
hp222srv_ USD/CAD
hp222srv_ USD/TRY
hp222srv_ GBP/USD
hp222srv_ USD/SGD
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_
p
_ EUR/USD
/
hp222srv_ USD/CAD
hp222srv_ USD/JPY
hp222srv_ AUD/JPY
hp222srv_ EUR/JPY
hp222srv_ EUR/PLN
hp222srv_ EUR/TRY
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv_ GBP/USD
hp222srv_ USD/CAD
hp222srv_ USD/CAD
hp222srv_
h 222
USD/JPY
USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/MXN
hp222srv_ USD/JPY
hp222srv_ EUR/USD
hp222srv_ GBP/USD
hp222srv_ GBP/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ EUR/USD
hp222srv_ EUR/USD
hp222srv
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ EUR/PLN
hp222srv_ EUR/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ AUD/USD
hp222srv_ AUD/USD
hp222srv_ GBP/USD
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
hp222srv_ USD/JPY
fwdcomp
1.00634
1.57731
2.06857
162.2243
1.93926
1.00137
104.4931
104.4931
104.5263
1.55536
104.3067
107.7252
103.7217
104.4681
0.63585
1 58457
1.58457
1.97065
1.97065
246.6435
1.53746
104.3868
104.0332
0.9257
0.79147
1.58215
1.58215
1.53952
1.46635
1.93085
1.02072
1.33744
0.81184
103.9347
1.55629
0.92481
1.56792
1.58314
104.0725
1.58098
1.58098
1.52995
95.715
97.40974
1.92727
0.76969
105.7794
102.0235
102.4356
1 5508
1.5508
1.04695
251.6484
1.52544
101.7619
106.6887
1.59511
259.6129
1.24475
0.99337
1.3647
1.91786
1.33962
1.52135
101.6337
101.8045
1.5349
1.00631
102.0082
90.7273
159.9301
3.44612
2.19888
1.51265
1.51265
1.2666
1.51925
1.52433
1.53221
1.53238
1.49077
1.01075
0.9967
96
96.3495
3495
96.2575
96.2575
94.29129
94.865
94.945
105.404
10.9128
101.1335
1.54265
1.91806
1.91806
94.33162
101.357
1.53088
1.53088
1.53433
98.99303
3.49189
1.51941
100.7655
100.3289
99.73927
0.86509
0.8785
1.45814
99.11916
100.5546
94.67948
99.81544
99.44543
98.8109
98.91557
spot
rd
rf
1.00622 0.02908 0.02273
1.579 0.02258 0.04119
2.07214 0.02177 0.05174
162.5849 0.00552 0.04235
1.9436
0.0253 0.05345
1.00093 0.03043 0.02491
104.6586 0.00454 0.02446
104.6586 0.00454 0.02446
104.7173
0.0041 0.02631
1.55796 0.02498 0.04345
104.5194 0.00708 0.02961
107.9219 0.00476 0.02494
103.99 0.00671 0.02915
104.74 0.00699 0.02635
0.6388 0.02281 0.05051
1 58843 0.02947
1.58843
0 02947
0 044
0.044
1.9801 0.02603 0.05419
1.9801 0.02603 0.05419
245.0201 0.08315 0.04489
1.5421 0.02736 0.04481
104.7345 0.00757 0.02683
104.3653 0.00752 0.02598
0.93455 0.02712 0.07534
0.78961 0.05488 0.04541
1.5883 0.02975 0.04531
1.5883 0.02975 0.04531
1.5467 0.02733 0.04578
1.4677 0.02253 0.02618
1.945 0.02859 0.05756
1.0196 0.03279 0.02843
1.2916 0.16653 0.02967
0.81177 0.03591 0.03554
104.5185
0.0087 0.03022
1.5642 0.03038
0.0469
0.9395 0.03046
0.078
1.57803 0.02743 0.04683
1.59146 0.02977 0.04546
104.88 0.00978 0.02884
1.59146 0.03049 0.04646
1.59146 0.03049 0.04646
1.5416 0.02962 0.04772
96.42
0.006
0.0208
98.05355 0.00812 0.02133
1.95252 0.02946 0.05543
0.7928 0.03129 0.09029
106.9175 0.01007 0.03142
103.12 0.00996 0.03129
103.5082 0.01055 0.03132
1 5642 0.03103
1.5642
0 03103
0 0481
0.0481
1.04761 0.02822 0.02945
246.758 0.08699 0.04847
1.54026 0.02896 0.04793
102.6294
0.0104 0.02705
107.9234 0.00955 0.03213
1.61156 0.02809 0.04812
253.6063
0.0863 0.04798
1.251 0.01965 0.02635
0.99221 0.03141 0.02986
1.229 0.16895 0.03044
1.95652 0.03019 0.05649
1.35219 0.01935 0.03166
1.54175
0.0304 0.04788
103.0906 0.01207 0.03075
103.52 0.01222 0.03255
1.55795 0.03127 0.04911
1.0048 0.03236 0.03074
103.9845
0.014 0.03324
97.15966 0.01275 0.08125
166.4536 0.01274 0.05272
3.39564 0.06481 0.05006
1.94497 0.17216 0.04946
1.5365
0.0277 0.04334
1.5365
0.0277 0.04334
1.2692 0.02139 0.02344
1.5453 0.03306 0.05006
1.5512 0.03222 0.04969
1.5575 0.03663 0.05301
1.55627 0.03327 0.04873
1.49607 0.01967 0.02322
1.0069 0.03704 0.03321
0.9944 0.03401 0.03169
97
97.77
77 0
0.00648
00648 0
0.02111
02111
97.465 0.00702 0.01949
97.465 0.00702 0.01949
95.53314 0.00658 0.01967
96.39 0.00544 0.02139
96.42 0.00497 0.02038
107.9 0.01323 0.03663
10.4283 0.08195 0.03653
103.0908 0.01259 0.03166
1.57003 0.03272 0.05016
1.9801
0.0331 0.05864
1.9801
0.0331 0.05864
96.39 0.00546 0.02177
104.2655 0.01373 0.03289
1.56338 0.03349 0.04751
1.56338 0.03349 0.04751
1.5642 0.03285 0.04569
103.0287 0.01168 0.03169
3.39962 0.05875 0.04536
1.55311 0.03152 0.04248
104.8685 0.01237 0.03232
104.36 0.01198 0.03167
103.6591 0.01156 0.03083
0.94122 0.03231 0.07436
0.96174 0.03223 0.07737
1.46773
0.0232 0.02647
102.9808 0.01099 0.03004
104.7517 0.01192 0.03231
98.06407 0.00661
0.0241
103.9788 0.01241 0.03207
105.3068 0.01224 0.03516
103.9784
0.0128
0.0332
104.5189
0.0122 0.03418
10
0.10737
0.10066
0.15004
0.13866
0.10184
0.10567
0.15557
0.15557
0.14276
0.10138
0.16185
0.15503
0.15971
0.14622
0.44674
0 1216
0.1216
0.097
0.097
0.09044
0.11131
0.14787
0.16454
0.13618
0.0846
0.12133
0.12133
0.10926
0.31961
0.10492
0.10745
0.14103
0.15389
0.16375
0.11578
0.14602
0.11441
0.12208
0.16112
0.12272
0.12272
0.11915
0.33733
0.32341
0.10951
0.16941
0.1607
0.18022
0.17972
0 11711
0.11711
0.12361
0.07614
0.12059
0.14667
0.1723
0.0806
0.08572
0.23455
0.11451
0.14222
0.11276
0.07428
0.12029
0.16936
0.18434
0.1125
0.11573
0.17222
0.27209
0.16331
0.06627
0.14966
0.09852
0.09852
0.23065
0.11474
0.11224
0.11977
0.11713
0.23884
0.11913
0.1156
0
0.31168
31168
0.31648
0.31648
0.32863
0.33127
0.3294
0.16439
0.07447
0.17276
0.11655
0.1086
0.1086
0.32334
0.17111
0.11604
0.11604
0.11666
0.17014
0.06543
0.11559
0.16876
0.16438
0.16533
0.14551
0.14316
0.24631
0.17632
0.16309
0.29257
0.16978
0.1645
0.17033
0.17325
25
0.10464
0.09604
0.13627
0.12029
0.09442
0.10205
0.13189
0.13189
0.12227
0.0954
0.13979
0.12787
0.13642
0.12381
0.38454
0 11157
0.11157
0.0886
0.0886
0.0866
0.10617
0.12394
0.13713
0.12378
0.08057
0.11115
0.11115
0.10123
0.28276
0.09606
0.10245
0.14429
0.1468
0.1361
0.10595
0.12973
0.10541
0.1111
0.1298
0.11101
0.11101
0.10661
0.23908
0.23254
0.09965
0.14813
0.13015
0.14089
0.14038
0 1063
0.1063
0.11075
0.07582
0.10856
0.13588
0.13348
0.06419
0.08644
0.20124
0.1065
0.14749
0.10077
0.06386
0.10705
0.13061
0.13861
0.10095
0.10694
0.13138
0.20321
0.12754
0.06084
0.15526
0.09585
0.09585
0.19631
0.103
0.1005
0.10801
0.10462
0.2017
0.1094
0.107
0
0.21609
21609
0.21806
0.21806
0.22927
0.22939
0.22603
0.12583
0.06973
0.13034
0.10514
0.09338
0.09338
0.22226
0.12911
0.10367
0.10367
0.10371
0.12678
0.06015
0.10265
0.12654
0.12313
0.12393
0.12683
0.12448
0.20867
0.13118
0.12204
0.20137
0.12731
0.12286
0.12722
0.12955
50
0.10361
0.09435
0.12686
0.10748
0.08919
0.10068
0.11607
0.11607
0.10905
0.09228
0.12486
0.10859
0.12078
0.10943
0.34016
0 10641
0.10641
0.08338
0.08338
0.09053
0.10431
0.10859
0.11912
0.11665
0.08159
0.10607
0.10607
0.09774
0.25826
0.08973
0.10115
0.15821
0.1468
0.11811
0.1008
0.12121
0.10137
0.10561
0.11019
0.10514
0.10514
0.10032
0.18038
0.17798
0.09302
0.13813
0.11152
0.11771
0.11721
0 10064
0.10064
0.10408
0.082
0.10254
0.12116
0.109
0.05493
0.09284
0.18551
0.10392
0.16043
0.09375
0.0595
0.10048
0.10777
0.11327
0.09557
0.10422
0.10788
0.16932
0.10765
0.06077
0.16947
0.09427
0.09427
0.17996
0.0976
0.0951
0.1027
0.09861
0.18047
0.10609
0.10415
0
0.16126
16126
0.16212
0.16212
0.17276
0.17175
0.16715
0.10345
0.07097
0.10626
0.10009
0.08641
0.08641
0.16493
0.10527
0.09816
0.09816
0.0976
0.10115
0.06033
0.09588
0.10112
0.09891
0.09911
0.11618
0.11383
0.18535
0.10454
0.098
0.14725
0.10232
0.09752
0.10186
0.1036
25
0.10465
0.09603
0.12178
0.09951
0.08718
0.10206
0.10668
0.10668
0.1018
0.09251
0.11586
0.09593
0.11128
0.10133
0.31399
0 10715
0.10715
0.08223
0.08223
0.10403
0.10617
0.09971
0.10814
0.11519
0.08733
0.10669
0.10669
0.09927
0.24871
0.08697
0.10422
0.18707
0.15433
0.10693
0.10085
0.12103
0.10266
0.1061
0.09798
0.10547
0.10547
0.10066
0.14316
0.14291
0.09025
0.13693
0.10007
0.10346
0.10296
0 10042
0.10042
0.10373
0.0982
0.10285
0.11028
0.09309
0.05066
0.10881
0.18908
0.10699
0.18866
0.09158
0.06049
0.10055
0.09336
0.09778
0.09631
0.1077
0.09281
0.14901
0.09492
0.06661
0.20042
0.09464
0.09464
0.18329
0.09831
0.09581
0.1036
0.09838
0.17637
0.10992
0.10702
0
0.12555
12555
0.12624
0.12624
0.1354
0.13417
0.12926
0.08893
0.07837
0.09122
0.10118
0.08519
0.08519
0.12746
0.08933
0.09877
0.09877
0.09712
0.08411
0.06701
0.09596
0.08401
0.08303
0.08237
0.11426
0.11191
0.17867
0.08673
0.08234
0.11104
0.08569
0.07979
0.08466
0.08571
10 25RR
25BF
vol0
kappa
0.10735 0.00002 0.00103 0.10499
0.10067
0 0.00168 0.09498
0.12074 0.01449 0.00216 0.12654
0.09541 0.02077 0.00242 0.10657
0.08881 0.00724 0.00161 0.09155
0.10567 0.00001 0.00138 0.10279
0.10245
0.0252 0.00322 0.11526
0.10245
0.0252 0.00322 0.11526
0.09939 0.02048 0.00298 0.10815
0.09579 0.00289 0.00167 0.09297
0.11191 0.02393 0.00297 0.12394
0.08843 0.03194 0.00332 0.10831
0.10698 0.02514 0.00307 0.11989
0.09842 0.02248 0.00314 0.10852
0.3039 0.07055 0.00911 0.35033
0 1136 0.00443
0.1136
0 00443 0.00295
0 00295 0.11001
0 11001
0.08575 0.00636 0.00203 0.08604
0.08575 0.00636 0.00203 0.08604
0.12898 0.01743 0.00478 0.09133
0.11132
0 0.00186 0.10544
0.09621 0.02423 0.00324 0.10773
0.10309 0.02898 0.00352 0.11828
0.12077 0.00859 0.00284 0.12005
0.09689 0.00677 0.00236 0.08439
0.11316 0.00446 0.00285 0.10837
0.11316 0.00446 0.00285 0.10837
0.10559 0.00196 0.00251 0.09957
0.25587 0.03405 0.00748 0.26975
0.08829 0.00909 0.00178
0.0927
0.11133 0.00177 0.00218 0.10257
0.22272 0.04278 0.00747 0.17053
0.16811 0.00752 0.00377
0.15
0.1018 0.02917 0.00341 0.11725
0.10619
0.0051
0.0026 0.10294
0.1315 0.00869 0.00417 0.12694
0.10924 0.00276 0.00267 0.10305
0.11307
0.005 0.00299 0.10826
0.092 0.03182
0.0037 0.10896
0.11297 0.00554 0.00311
0.1082
0.11297 0.00554 0.00311
0.1082
0.10833 0.00594 0.00331 0.10356
0.12659 0.09592 0.01074 0.18237
0.12681 0.08964 0.00974 0.17894
0.09174 0.00941 0.00193 0.09606
0.14531
0.0112
0.0044
0.1391
0.09499 0.03008 0.00359 0.11013
0.09705 0.03743 0.00446 0.11645
0.09653 0.03742 0.00446 0.11597
0 1061 0.00588
0.1061
0 00588 0.00273
0 00273 0.10327
0 10327
0.11055 0.00702 0.00316 0.10691
0.12629 0.02238 0.00501 0.08366
0.11018 0.00571 0.00316 0.10572
0.09995
0.0256 0.00192 0.12004
0.08431 0.04039 0.00428 0.10824
0.05088 0.01353 0.00249 0.05568
0.1351 0.02237 0.00478 0.09408
0.21266 0.01216 0.00966 0.20028
0.11561 0.00048 0.00283
0.1061
0.22688 0.04117 0.00765 0.16678
0.09464 0.00918 0.00243 0.09666
0.06764 0.00336 0.00268 0.06011
0.10829
0.0065 0.00332
0.1044
0.08596 0.03725 0.00422 0.10606
0.09061 0.04083 0.00492 0.11151
0.10396 0.00464 0.00306 0.09898
0.11748 0.00076
0.0031
0.1068
0.0851 0.03857 0.00422 0.10624
0.14379
0.0542
0.0068 0.16587
0.08851 0.03262 0.00358 0.10521
0.07776 0.00577 0.00296 0.06363
0.23798 0.04516 0.00837 0.18087
0.0974 0.00121 0.00097 0.09557
0.0974 0.00121 0.00097 0.09557
0.20729 0.01302 0.00984 0.19657
0.1061 0.00469 0.00306 0.10126
0.1036 0.00469 0.00306 0.09878
0.11153 0.00441
0.0031
0.1063
0.10501 0.00624 0.00289 0.10175
0.19242 0.02533 0.00857 0.19914
0.12002 0.00052 0.00357 0.11246
0.11562 0.00002 0.00286
0.1065
0
0.11008
11008 0.09054
0 09054 0
0.00956
00956 0
0.16409
16409
0.11126 0.09182 0.01003
0.1656
0.11126 0.09182 0.01003
0.1656
0.11967 0.09388 0.00957 0.17516
0.11872 0.09522 0.01003 0.17506
0.11376 0.09677 0.01049 0.17165
0.08118
0.0369 0.00393 0.10192
0.0913 0.00864 0.00308 0.07479
0.08376 0.03913 0.00452 0.10474
0.10929 0.00396 0.00307 0.10362
0.09007 0.00819 0.00288 0.08684
0.09007 0.00819 0.00288 0.08684
0.11311 0.09479 0.00993 0.17246
0.08085 0.03977 0.00395
0.104
0.10687 0.00489 0.00306
0.1026
0.10687 0.00489 0.00306
0.1026
0.1034 0.00659
0.00659 0.00282 0.10129
0.07508 0.04268 0.00429 0.09841
0.07953 0.00686 0.00324 0.06391
0.10334 0.00669 0.00342
0.1012
0.07511 0.04253 0.00415 0.09922
0.07481 0.04011 0.00417 0.09623
0.07331 0.04156 0.00404 0.09648
0.1219 0.01257 0.00437 0.12587
0.11955 0.01257 0.00437
0.1235
0.18918
0.03 0.00832
0.2083
0.07734 0.04445 0.00441 0.10167
0.07428
0.0397 0.00419 0.09536
0.09646 0.09033 0.00896 0.15314
0.07714 0.04161 0.00418 0.09948
0.07002 0.04307
0.0038 0.09498
0.07583 0.04256 0.00408
0.099
0.07638 0.04384 0.00402 0.10071
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
theta
xi
rho
a
b
c
cursor
Fellerok type
0.01102 0.49224 0.02794 1.00634 0.37658 77.58444
0.9
0 DNT
0.00902 0.26109 0.00333 1.57731 0.96847 117.0344
0.65
0 DNT
0.01601 0.29029
0.3337 2.06857 1.37946 75.71854
0.5
0 DNT
0.01136 0.20719
0.2806 162.2243 6.97593 117.6013
0.35
0 DNT
0.00838 0.28843 0.34699 1.93926 2.37821 63.08655
0.85
0 DNT
0.01057 0.28317 0.02194 1.00137 0.70589 20.12226
0.9
0 DNT
0.01328 0.25521 0.35866 104.4931 5.01944 85.53857
0.4
0 DNT
0.01328 0.25521 0.35866 104.4931 5.01944 85.53857
0.4
0 DNT
0.0117 0.22868 0.32413 104.5263 4.37677 104.8127
0.4
0 DNT
0.00864 0.20994 0.15554 1.55536 1.18979 80.51514
0.65
0 DNT
0.01536 0.23663 0.33289 104.3067 3.76938 60.91757
0.4
0 DNT
0.01173 0.25004 0.43247 107.7252 7.33594 58.27808
0.4
0 DNT
0.01437 0.21624 0.35107 103.7217
3.6745 52.27585
0.4
0 DNT
0.01178 0.19336 0.34278 104.4681
3.5253 64.36268
0.4
0 DNT
0.12273
0.7683 0.48752 0.63585 0.28169 3.08732
0.6
0 DNT
0 0121 0.28763
0.0121
0 28763 0.15282
0 15282 1.58457
1 58457 1.30382
1 30382 27.18037
27 18037
08
0.8
0 DNT
0.0074 0.21502 0.35719 1.97065 2.86402 54.71836 0.80167
0 DNT
0.0074 0.21502 0.35719 1.97065 2.86402 54.71836 0.80167
0 DNT
0.00834 0.23836 0.39997 246.6435 2.20144 111.5049
0.5
0 DNT
0.01112
0.1892 0.00179 1.53746 0.93344 27.9297
0.7
0 DNT
0.0116 0.17956 0.36098 104.3868 3.33727 50.18435
0.4
0 DNT
0.01399 0.20054 0.37964 104.0332 3.38493 37.71477
0.4
0 DNT
0.01441 0.27339 0.47018
0.9257 3.26003 37.01666
0.75
0 DNT
0.00712 0.19381 0.37344 0.79147 0.99464 42.42097
0.8
0 DNT
0.01174 0.21365 0.21479 1.58215 1.60992 27.55763
0.7
0 DNT
0.01174 0.21365 0.21479 1.58215 1.60992 27.55763
0.7
0 DNT
0.00991 0.18868 0.08672 1.53952 1.08479 28.86466
0.7
0 DNT
0.07277 0.60502
0.4471 1.46635
1.2505
4.7711
0.75
0 DNT
0.00859 0.18804 0.39433 1.93085 1.80777 21.97632
0.85
0 DNT
0.01052
0.1736 0.04034 1.02072 1.17286 23.10635
0.7
0 DNT
0.02908
0.51 0.40982 1.33744 2.28403 0.68884
0.9
0 DNT
0.0225 0.29245 0.28743 0.81184 0.19713 11.63782
0.75
0 DNT
0.01375 0.17039 0.38101 103.9347 2.66435 25.1264
0.4
0 DNT
0.0106 0.18386 0.23253 1.55629 1.46976 24.1345
0.7
0 DNT
0.01611 0.28785 0.39197 0.92481 2.64478 21.57236
0.75
0 DNT
0.01062 0.17231 0.13777 1.56792 1.24341 23.44427 0.66593
0 DNT
0.01172 0.19934 0.26495 1.58314 1.84776 22.83253
0.7
0 DNT
0.01187 0.13546 0.37869 104.0725 2.98419 20.63508
0.35
1 DNT
0.01171
0.1923 0.33657 1.58098 2.24163 21.35668
0.7
0 DNT
0.01171
0.1923 0.33657 1.58098 2.24163 21.35668
0.7
0 DNT
0.01073 0.19489 0.28087 1.52995 1.83734 22.13073
0.7
0 DNT
0.03326 0.39414 0.55706
95.715 2.12966 3.01075
0.35
0 DNT
0.03202
0.3596 0.53609 97.40974 2.13905 3.43402
0.35
0 DNT
0.00923 0.15018 0.41227 1.92727
1.6036 13.05363
0.8
0 DNT
0.01935 0.19113 0.38135 0.76969 1.27958 15.84212
0.5
1 DNT
0.01213 0.12651 0.35705 105.7794 2.31899 17.5673
0.35
1 DNT
0.01356 0.15517 0.40783 102.0235
2.4651 15.79213
0.35
1 DNT
0.01345 0.15498 0.40945 102.4356
2.4896 15.90576
0.35
1 DNT
0 01066 0.16365
0.01066
0 16365 0.29961
0 29961
1 5508 1.69753
1.5508
1 69753 16.56696
16 56696
07
0.7
0 DNT
0.01143
0.1853
0.2152 1.04695 1.20537 14.90141
0.7
0 DNT
0.007 0.15891 0.45303 251.6484 2.76179 38.10052
0.5
0 DNT
0.01118 0.18054 0.29057 1.52544 1.80212 17.09168
0.7
0 DNT
0.01441 0.03277 0.08501 101.7619 2.61224 4.85146
0.35
1 DNT
0.01172
0.1475 0.45381 106.6887 3.43821 12.69486
0.35
1 DNT
0.0031 0.10086 0.44532 1.59511 1.52126 84.60618
0.5
0 DNT
0.00885 0.14586
0.4144 259.6129 2.63704 22.04448
0.5
0 DNT
0.04011
0.4522 0.20159 1.24475 1.06937 2.98187
0.75
0 DNT
0.01126 0.14945 0.10754 0.99337
0.5063 8.59089
0.7
1 DNT
0.02782 0.27578 0.49121
1.3647 1.59739
2.3616
0.7
0 DNT
0.00934 0.13939 0.40538 1.91786 1.53478 13.00344
0.7
0 DNT
0.00361 0.08992 0.30345 1.33962 2.49506 64.44449
0.5
0 DNT
0.0109 0.17194 0.32607 1.52135
1.8129 12.87369
0.7
0 DNT
0.01125 0.11684 0.39066 101.6337 2.73081 12.53405
0.3
1 DNT
0.01243 0.13664 0.41279 101.8045 2.33067 11.75301
0.3
1 DNT
0.0098 0.15679 0.25147
1.5349 1.58181 11.71255
0.7
0 DNT
0.01141 0.15434 0.11826 1.00631 0.50628 7.30813
0.7
0 DNT
0.01129
0.1193 0.40755 102.0082 2.30197 9.27385
0.3
1 DNT
0.02751 0.22937 0.39436 90.7273 0.70247
5.9953
0.3
1 DNT
0.01107 0.08898 0.23708 159.9301 2.54801 11.77291
0.25
1 DNT
0.00405 0.11755 0.31462 3.44612 0.14676 26.25276
0.7
0 DNT
0.03271
0.3322 0.56104 2.19888 1.08493 0.63124
0.9
0 DNT
0.00913 0.08077
0.3541 1.51265
1.9219 4.97286
0.75
1 DNT
0.00913 0.08077
0.3541 1.51265
1.9219 4.97286
0.75
1 DNT
0.03864 0.44414 0.22704
1.2666 1.09701 2.35634
0.75
0 DNT
0.01025 0.15606 0.26696 1.51925 1.59471 9.51353
0.7
0 DNT
0.00976 0.15468 0.26719 1.52433 1.61454 10.12568
0.7
0 DNT
0.0113 0.16013 0.22615 1.53221 1.39438
8.0279
0.7
0 DNT
0.01035 0.14332 0.41675 1.53238 2.03874 12.42715
0.65
1 DNT
0.03966 0.42192 0.47574 1.49077 1.53491 3.42801
0.75
0 DNT
0.01265 0.20962 0.08154 1.01075 0.58752
2.4405
0.9
0 DNT
0.01134 0.14622 0.13308
0.9967 0.37484 6.51431
0.7
1 DNT
0
0.02692
02692 0
0.32495
32495 0.54792
0 54792 96
96.3495
3495 1.71208
1 71208 1
1.03303
03303
0
0.3
3
0 DNT
0.02742 0.34044 0.55884 96.2575 1.59234 1.22339
0.3
0 DNT
0.02742 0.34044 0.55884 96.2575 1.59234 1.22339
0.3
0 DNT
0.03068 0.34067 0.53899 94.29129
1.4455
1.2017
0.3
0 DNT
0.03064 0.35613 0.54914
94.865 1.42707 1.17222
0.3
0 DNT
0.02946 0.36719 0.56496
94.945 1.53478
0.8344
0.3
0 DNT
0.01039 0.11184 0.40954 105.404 2.48941 9.57065
0.3
1 DNT
0.00559 0.13663 0.50105 10.9128 1.13826 21.90776
0.75
0 DNT
0.01097 0.12398 0.41744 101.1335 2.32378 9.94407
0.3
1 DNT
0.01074 0.15703 0.22134 1.54265 1.43918 8.44999
0.7
0 DNT
0.00754 0.09896 0.30686 1.91806 0.72562 16.65889 0.45027
1 DNT
0.00754 0.09896 0.30686 1.91806 0.72562 16.65889 0.45027
1 DNT
0.02974
0.3962
0.5705 94.33162
1.071 0.31968
0.3
0 DNT
0.01082 0.12334 0.43736 101.357 1.87056 5.56022
0.3
1 DNT
0.01053 0.15915 0.29513 1.53088 1.58642
6.5163
0.7
0 DNT
0.01053 0.15915 0.29513 1.53088 1.58642
6.5163
0.7
0 DNT
0.01026 0.14156 0.41177
0.41177 1.53433 1.78293 8.21063
0.65
1 DNT
0.00968 0.08653 0.33914 98.99303 2.36089 5.37989
0.2
1 DNT
0.00408 0.12342
0.3671 3.49189 0.08901 13.18394
0.7
0 DNT
0.01024 0.15701 0.43655 1.51941 1.93547 6.20451
0.7
0 DNT
0.00984 0.10545 0.42395 100.7655 1.94455 4.17636
0.25
1 DNT
0.00926 0.08207 0.29544 100.3289
2.3872 6.13738
0.2
1 DNT
0.00931 0.08164 0.34262 99.73927 2.43759 5.28063
0.2
1 DNT
0.01584 0.21799 0.53169 0.86509 1.90115 4.51991
0.75
0 DNT
0.01525 0.21679 0.53213
0.8785 1.92518 4.73391
0.75
0 DNT
0.04339 0.41638 0.50756 1.45814 1.26036 1.37738
0.75
0 DNT
0.01034 0.09088 0.34597 99.11916 2.25112 4.94482
0.2
1 DNT
0.00909 0.08176
0.2903 100.5546 2.41378 6.34701
0.2
1 DNT
0.02345 0.33973 0.55741 94.67948 1.16947 0.47872
0.25
0 DNT
0.0099 0.08569 0.29844 99.81544 2.21868 5.35251
0.2
1 DNT
0.00902 0.08663 0.39928 99.44543 2.18294 3.43594
0.2
1 DNT
0.0098 0.09173 0.32896 98.8109 1.95011 4.14977
0.2
1 DNT
0.01014 0.09301
0.3471 98.91557
1.9166 3.70065
0.2
1 DNT
payCcy
strike
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
call/put
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
down
up
maturity delivery priceMF dev
priceMX mktcalib mktmc
0.965
1.035 0.01918 0.03014 0.93307 0.00024 0.92899
0
0
1.539
1.591 0.05753 0.06849 0.10989
0.0003 0.11797
0
0
1.92
2.14 0.05753 0.06301
0.7055 0.00044 0.70499 0.00001 0.00001
150
175 0.06027 0.07123 0.96787 0.00017 0.96094 0.00002 0.00002
1.905
1.985 0.07945 0.09041 0.26088 0.00043 0.26791
0 0.00001
0.985
1.025 0.07945 0.08767 0.14424 0.00034 0.15527
0
0
102
106 0.07945 0.09041 0.04445
0.0002 0.05333 0.00005 0.00006
102
106 0.07945 0.09041 0.04445
0.0002 0.05333 0.00005 0.00006
102.5
106.5 0.08219 0.09315 0.07452 0.00026 0.08622 0.00004 0.00004
1.51
1.565 0.09041 0.09589 0.03548 0.00018 0.04007 0.00001 0.00001
102.5
106.25 0.09041 0.09589 0.01643 0.00012 0.02307 0.00004 0.00005
104.5
109.5 0.09041 0.09589 0.10014 0.00029 0.11231 0.00008 0.00009
101.5
107 0.11507 0.12055 0.10839
0.0003 0.12131 0.00006 0.00007
98.55
108 0.13425 0.14521 0.42601 0.00048
0.4319 0.00007 0.00008
0.615
0.725 0.16712
0.1726
0.0814 0.00027 0.08626 0.00066 0.00087
1 55
1.55
1 7 0.16712
1.7
0 16712
0 1726 0.34853
0.1726
0 34853 0.00047
0 00047 0.34961
0 34961
0 0.00001
0 00001
1.93
2.03 0.16986 0.17534 0.20697 0.00039 0.21083
0 0.00001
1.93
2.03 0.16986 0.17534 0.20697 0.00039 0.21083
0 0.00001
237
252
0.1726 0.18356
0.2968 0.00044 0.29228 0.00015 0.00029
1.5135
1.5935
0.1726 0.18356 0.06725 0.00024 0.07583 0.00001 0.00001
102.5
107.5
0.1726
0.1863
0.0453
0.0002 0.05496 0.00011 0.00013
99
105
0.1726 0.18356 0.01154
0.0001 0.01367 0.00014 0.00016
0.8875
0.9575 0.19726 0.20822 0.16111 0.00036 0.17039
0 0.00008
0.77
0.815 0.24932
0.2548 0.17821 0.00037 0.18056
0 0.00003
1.55
1.7 0.24932 0.26027 0.23031 0.00041 0.23073
0 0.00001
1.55
1.7 0.24932 0.26027 0.23031 0.00041 0.23073
0 0.00001
1.505
1.595 0.25206 0.25753 0.09279 0.00028 0.09666 0.00001 0.00001
1.39
1.59 0.25206 0.26301 0.06631 0.00025 0.07185 0.00029 0.00066
1.855
1.995 0.25206 0.26301 0.22274
0.0004
0.2268 0.00002 0.00003
0.9725
1.04 0.25206
0.2548 0.10087 0.00029 0.10449 0.00001 0.00001
1.1
1.35
0.2548 0.25753 0.34569 0.00044
0.3484 0.00002 0.00014
0.745
0.835 0.26027 0.26575 0.15923 0.00035 0.15949
0 0.00004
100
110 0.26027 0.26575
0.2523 0.00043 0.25672 0.00019 0.00023
1.49
1.625 0.30685 0.31233 0.22295
0.0004 0.22379 0.00001 0.00002
0.895
0.975 0.33151 0.33699 0.13792 0.00033 0.13828 0.00001 0.00019
1.5
1.63 0.33151 0.34247 0.16326 0.00036 0.16485 0.00001 0.00001
1.53
1.73 0.33425 0.34521 0.35299 0.00047 0.35156
0 0.00003
98
107.5 0.40548 0.41096 0.06657 0.00024 0.06811 0.00038 0.00045
1.54
1.69
0.4137 0.42466 0.15704 0.00036 0.15667
0 0.00007
1.42
1.62
0.4137 0.42466 0.15362 0.00034 0.15337
0 0.00007
1.35
1.605 0.41918 0.43014 0.44637 0.00047 0.44282
0 0.00005
90
105 0.49589 0.50137 0.21308 0.00041
0.2088 0.00352 0.00343
85
105 0.49863 0.50959 0.25013 0.00042 0.25182 0.00302 0.00303
1.9
2.1 0.50137 0.51233 0.17121 0.00037 0.16986 0.00006
0.0001
0.73
0.845 0.50137 0.50685 0.19472 0.00038 0.19437 0.00015 0.00054
100
112 0.50137 0.51233
0.1612 0.00036 0.16148 0.00039 0.00049
101
111 0.50137 0.50685 0.08327 0.00027 0.08359 0.00038 0.00054
89.5
105.5 0.50137 0.51233 0.09433 0.00028 0.09504 0.00039 0.00055
1 485
1.485
1 665 0.50411
1.665
0 50411 0.50959
0 50959
0 2509 0.00042
0.2509
0 00042 0.24968
0 24968 0.00001
0 00001 0.00005
0 00005
1.015
1.095 0.50685 0.51233 0.06538 0.00024 0.06656 0.00001 0.00004
244
272 0.50959 0.51507 0.11334 0.00031
0.1146 0.00053 0.00105
1.46
1.6 0.50959 0.51507 0.12361 0.00032 0.12412
0 0.00006
90.5
105 0.50959 0.51507 0.07665 0.00025 0.07813 0.03428 0.03438
102
114 0.50959 0.51507 0.21657
0.0004 0.21677 0.00069 0.00078
1.55
1.65 0.51233 0.51781 0.26775 0.00043
0.2656 0.00014 0.00028
230
270 0.61096 0.61644
0.4496 0.00046 0.44805 0.00059 0.00103
1.14
1.435 0.74795 0.75343
0.2558 0.00043
0.2525
0 0.00036
0.93
1.07 0.75616 0.76438 0.22834
0.0004 0.22772 0.00002 0.00006
1.17
1.53 0.75616
0.7589 0.27438 0.00042 0.27264
0.0006 0.00133
1.86
2.1
0.7589 0.76986 0.20195 0.00039 0.20065 0.00016
0.0003
1.285
1.385
0.7589 0.76438
0.1727 0.00036 0.17481
0 0.00015
1.45
1.65 0.76164 0.76712 0.21941
0.0004 0.21802 0.00001 0.00015
91
110 0.76164 0.76712 0.37023 0.00047 0.36939 0.00118 0.00132
95.1
110.25 0.82192
0.8274 0.20159 0.00039 0.20142 0.00124 0.00145
1.415
1.6 0.83562
0.8411 0.11676
0.0003 0.11744 0.00001 0.00008
0.96
1.13 0.92603 0.92877 0.20482 0.00039 0.20511
0 0.00004
99.25
111.5 0.99726 1.00548 0.08756 0.00028 0.08794 0.00168 0.00186
85
108
1 1.00548 0.23821 0.00041 0.23614 0.01136 0.01199
144
173.5
1 1.01096 0.18275 0.00037 0.18152
0.0015 0.00151
3.18
3.61
1 1.01096 0.44547 0.00046 0.44194 0.00006 0.00026
1.75
2.45
1 1.00274 0.40646 0.00044 0.39995 0.00015 0.00057
1.25
1.6
1 1.01096 0.32024 0.00042 0.31953 0.00645 0.00654
1.25
1.6
1 1.01096 0.32024 0.00042 0.31953 0.00645 0.00654
1.1
1.4
1 1.01096 0.21001 0.00039 0.21182
0 0.00054
1.3175
1.6175
1 1.01096 0.30092 0.00042 0.30188 0.00001 0.00011
1.305
1.605
1 1.00548 0.24907
0.0004 0.25043 0.00001 0.00011
1.35
1.6
1 1.00548 0.13145 0.00031 0.13244 0.00003
0.0001
1.415
1.645
1
1.0137 0.20022 0.00038 0.20044 0.00001 0.00045
1.3
1.8
1 1.01096 0.39046 0.00049 0.38749 0.00041 0.00463
0.94
1.19
1 1.00274 0.41935 0.00048 0.41765 0.00001 0.00007
0.945
1.115
1 1.00274 0.20404 0.00039 0.20417 0.00003 0.00008
93
133
1 1
1.01096
01096 0
0.32558
32558 0
0.00049
00049 0
0.32364
32364 0
0.00432
00432 0
0.00368
00368
77.5
105
1 1.00548 0.25848 0.00042 0.25916
0.0046 0.00394
77.5
105
1 1.00548 0.25848 0.00042 0.25916
0.0046 0.00394
92
119
1 1.01096 0.22743 0.00043 0.22729 0.00457 0.00392
85.75
105.5
1 1.01096 0.19299 0.00039 0.19347 0.00494 0.00421
92.75
128.25
1 1.00548 0.26016 0.00045 0.25945 0.00481 0.00401
102
114
1 1.00548 0.07616 0.00026 0.07573 0.00149 0.00165
10.15
11.25
1 1.00548 0.18622 0.00037 0.18401 0.00003 0.00078
98
118 1.00548 1.01096
0.3231 0.00047 0.32153 0.00193 0.00212
1.26
1.63 1.00822
1.0137 0.28649 0.00041 0.28811 0.00001 0.00007
1.685
2.155 1.24658 1.25206 0.53438 0.00045
0.5328 0.00053 0.00087
1.685
2.155 1.24658 1.25206 0.53438 0.00045
0.5328 0.00053 0.00087
84
126 1.32329 1.33425 0.57123 0.00052 0.56861 0.00699 0.00607
95
125 1.47671 1.48219 0.48371
0.0005 0.47917 0.00286 0.00311
1.305
1.705 1.49863 1.50959 0.42538 0.00045 0.42758 0.00003
0.0003
1.305
1.705 1.49863 1.50959 0.42538 0.00045 0.42758 0.00003
0.0003
1.48
1.74 1.50137 1.50685 0.14067 0.00034 0.13857 0.00005 0.00075
78.25
108.25 1.99726 2.00822 0.20585 0.00037
0.2016 0.00358 0.00334
3.1
3.6
2
2.0137 0.28601
0.0004 0.28233 0.00016
0.0008
1.45
1.75
2 2.01096 0.16202 0.00035 0.15802
0
0.0012
76
111.25
2 2.01096 0.30115 0.00042 0.29847 0.00297 0.00303
91
109
2 2.00548 0.06565 0.00023 0.06412 0.00328 0.00307
101
131
2 2.01096 0.14011 0.00035 0.14113 0.00311 0.00295
0.71
0.99 2.00548 2.01096 0.23309 0.00037 0.23898
0.0001 0.00361
0.89
1.19 2.00548 2.01096 0.17887 0.00037 0.17369
0.0001 0.00356
1.18
1.85 2.00548 2.01096 0.33289 0.00046 0.33303 0.00154 0.00989
93
117 2.00548 2.01096 0.31304 0.00046 0.31187 0.00391 0.00365
92
115 2.00548 2.01096 0.28788 0.00043 0.28531
0.0033 0.00308
92.5
117.5 2.00822
2.0137 0.22255 0.00042 0.22328 0.00807
0.0086
94.5
114.5 2.07945 2.09041 0.17044 0.00036 0.16972 0.00354 0.00331
87.75
110.75 2.49863 2.50959 0.12189 0.00031 0.11714 0.00368 0.00348
93
118 2.49863 2.50959 0.27488 0.00043 0.27308 0.00438 0.00405
89.75
110.25 2.50685 2.51233 0.07423 0.00025 0.07256 0.00433 0.00405
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Figure 3: Screenshot of Detailed Test Results.
PriceComparisonofallFORpayingDNT
100%
The Tremor Model
Murex (PDE)
90%
80%
Greeks
70%
Summary
Contact Information
60%
50%
mathfinance.com
40%
Title Page
JJ
II
Page 17 of 41
30%
20%
10%
MathFinance (Monte Carlo)
Go Back
0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Full Screen
Close
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Figure 4: Prices of all FOR-paying DNT compared in a

Q-Q-Plot.
NormalizedDifferencesforallFORpayingDNT
The Tremor Model
4%
Greeks
3%
2%
Summary
Contact Information
1%
0..02
0..08
0..08
0..12
0..17
0..17
0..25
0..25
0..26
0..33
0..42
0..50
0..50
0..51
0..75
0..76
0..84
1..00
1..00
1..00
1..00
1..00
1..00
1..25
1..50
2..00
2..01
2..01
2..50
2..53
3..00
3..00
3..18
4..00
4..51
0%
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2%
3%
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Figure 5: Difference
of MathFinance and Murex Price
normalized by T as a function of maturity T .
The Tremor Model

Greeks
4. Greeks
Summary
Contact Information
Finite quotients with a default of forward differences

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4. Greeks
Summary
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Symmetric differences for gamma and volga
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4. Greeks
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hybrid Greeks: only the spot changes; all other parameters are fixed. Only available for spot sensitivities.
The Tremor Model

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hybrid Greeks: only the spot changes; all other parameters are fixed. Only available for spot sensitivities.
sticky delta Greeks: all the parameters of the model
are recalibrated.
4.1. Test Results for Greeks

The Tremor Model
Greeks
Summary
value
spot+
spot-
vol+
vol-
rd +
rf +
s+v+
s+v-
mc
2.31554
2.30138
2.32966
2.62364
2.01903
2.33777
2.29133
2.60775
2.00662
mx
2.32886
2.31491
2.34290
2.63886
2.03159
2.35127
2.30464
2.62223
2.01957
diff
value
delta
delta2
gamma
vega
vega2
volga
vanna
rhod
mc
2.31554
-0.13456
-0.13433
-0.00458
0.30809
0.30230
0.01158
-0.01681
0.22224
mx
2.32886
-0.13257
-0.13292
0.00712
0.31000
0.30363
0.01273
-0.01715
0.22405
cash
value
delta
delta2
delta PI
delta2 PI
gamma
vega
vega2
volga
mc
-21994
134560
134330
156553
156324
4581
-2926
-2871
-110
mx
-22120
132567
132923
154687
155044
-7124
-2944
-2884
-121
shifts
spot
vol
rates
0.105281
0.01
0.001
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Table 5: Sticky Delta Greeks for the USD-JPY Downand-in Call: example data irsm201008/02052008/
irsmform_hp222srv_28945_6684515_premium_
133.xml
The Tremor Model
4.2. Stability of Greeks
Greeks
Spot
rd
rf
-10
-25
50
25
10
25 RR
25 BF
1.5416
0.02962
0.04772
0.11915
0.10661
0.10032
0.10066
0.10833
-0.00594
0.00331
v0
c0
b0
a0
0.10356
0.01073
0.19489
-0.28087
1.52995
1.83734
22.13073
down
up
maturity
delivery
price MF
std dev
price MX
1.35
1.605
0.41918
0.43014
0.44637
0.00047
0.44282
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Table 6: Greeks Stability: Example EUR-USD DNT trade

6684518 paying EUR
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Generally watch out: Greeks depend on currency, numerous conventions, shift size, symmetric vs. forward
differences, absolute vs. relative
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P&L
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Thousand
Greeks
1000
900
800
700
600
500
400
300
200
100
0
1.3
1.35
1.4
1.45
Spot
1.5
1.55
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Figure 6: Spot Ladder: Value.
1.6
1.65
The Tremor Model

Delta
Summary
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Thousand
Greeks
15000
10000
5000
0
5000
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10000
15000
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1.3
1.35
1.4
1.45
1.5
1.55
Spot
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Figure 7: Spot Ladder: Delta.
1.6
1.65
The Tremor Model

Gamma
Summary
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Thousand
Greeks
1000
500
0
500 1.3
1.35
1.4
1.45
1.5
1.55
1000
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1500
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2000
2500
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Figure 8: Spot Ladder: Gamma.
1.6
1.65
The Tremor Model

Vega
Summary
Contact Information
Thousand
Greeks
0
20
1.35
1.4
1.45
1.5
1.55
40
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100
120
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1.3
Spot
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Figure 9: Spot Ladder: Vega.
1.6
1.65
The Tremor Model

Volga
Summary
Contact Information
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Thousand
Greeks
14
12
10
8
6
4
2
0
2 1.3
4
6
1.35
1.4
1.45
1.5
1.55
Spot
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Figure 10: Spot Ladder: Volga.
1.6
1.65
The Tremor Model

Vanna
Summary
Contact Information
Thousand
Greeks
2500
2000
1500
1000
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500
0
500 1.3
1.35
1.4
1.45
1.5
1.55
1000
1500
Spot
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Figure 11: Spot Ladder: Vanna.
1.6
1.65
The Tremor Model

RhoUSD
Summary
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Thousand
Greeks
20
15
10
5
0
5 1.3
10
10
15
20
25
30
1.35
1.4
1.45
1.5
1.55
Spot
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Figure 12: Spot Ladder: Rhod.
1.6
1.65
The Tremor Model

RhoFEUR
Summary
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Thousand
Greeks
25
20
15
10
5
0
5 1.3
5
10
15
20
25
1.35
1.4
1.45
1.5
1.55
Spot
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Figure 13: Spot Ladder: Rhof.
1.6
1.65
The Tremor Model

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Thousand
Greeks
1,600.00
1,400.00
1,200.00
1,000.00
800.00
600.00
400.00
200.00
0.00
0
9 10 11 12 13 14 15 16 17 18 19
Vol
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Figure 14: Vol Ladder: Value.
The Tremor Model

Delta
Greeks
0.00
Summary
Contact Information
2,000.00
9 10 11 12 13 14 15 16 17 18 19
4,000.00
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8,000.00
8 000 00
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10,000.00
12,000.00
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Vol
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Figure 15: Vol Ladder: Delta.
The Tremor Model

Gamma
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0.00
500.00 0
1,000.00
1,500.00
2,000.00
2,500.00
3,000.00
3,500.00
4,000.00
4,500.00
5,000.00
9 10 11 12 13 14 15 16 17 18 19
Vol
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Figure 16: Vol Ladder: Gamma.
The Tremor Model

Vega
Greeks
0.00
Summary
Contact Information
20.00 0
9 10 11 12 13 14 15 16 17 18 19
40.00
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80.00
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100.00
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120.00
140.00
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Vol
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Figure 17: Vol Ladder: Vega.
The Tremor Model

Volga
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Summary
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15.00
10.00
5.00
0.00
5.00 0
10.00
15 00
15.00
20.00
25.00
30.00
9 10 11 12 13 14 15 16 17 18 19
Vol
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Figure 18: Vol Ladder: Volga.
The Tremor Model

Vanna
Greeks
1,500.00
Summary
Contact Information
1,000.00
500.00
0.00
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500.00 0
9 10 11 12 13 14 15 16 17 18 19
1,000.00
1,500.00
2,000.00
2,500.00
Vol
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Figure 19: Vol Ladder: Vanna.
The Tremor Model

Rho
Greeks
30.00
Summary
Contact Information
20.00
10.00
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0.00
10.00 0
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9 10 11 12 13 14 15 16 17 18 19
Rh USD
RhoUSD
20.00
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30.00
40.00
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RhofEUR
Vol
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Figure 20: Vol Ladder: Rhos.
The Tremor Model

Greeks
Summary
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5. Summary
Vanilla pricing consistent
First Generation Exotics pricing within typical Monte
Carlo Simulation based ranges
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Stable Greeks
The Tremor Model

Greeks
6. Contact Information
Summary
Contact Information
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Uwe Wystup
MathFinance AG
Mainluststrae 4
60329 Frankfurt am Main
Germany
+49-700-MATHFINANCE
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References
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[1] Andersen, L. (2007). Efficient Simulation of the Heston Stochastic

Volatility Model. Bank of America Working paper, available at http:
//ssrn.com/abstract=946405.
[2] Black, F. and Scholes, M. (1973). The pricing of Options and Corporate Liabilities, Journal of Political Economy 81 (3): 637-654.
[3] Broadie, M and Kaya, O. (2006). Exact Simulation of Stochastic
Volatility and other Affine Jump Diffusion Processes. Operations Research, Vol.54, No.2, 217231.
[4] Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering.
Springer, Berlin.
[5] Jeanblanc, M., Yor, M. and Chesney, M. (2009). Mathematical
Methods for Financial Markets, Springer.
[6] Matsumoto, M. and Nishimura, T. (1998). Mersenne Twister. A 623dimensionally Equidistributed Uniform Pseudorandom Number Generator.
ACM Transactions on Modeling and Computer Simulation, ISSN 10493301, 8, 3-30.
[7] Murex. (2008). Tremor Model Flyer.
[8] Murex. (2008). Tremor Model and Smile Dynamics.
[9] Murex. (2010). Data Exchange Format - Tremor Validation Project, V

0.2, March 2010.
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Summary
Contact Information
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[10] Murex. (2010). Greeks Validation - Tremor Validation Project, V 1.0,

November 2010.
[11] Reiswich, D. and Wystup, U. (2010). The FX Options Quant Book.
MathFinance, Waldems.
[12] Rogers, L.C.G. and Williams, D. (2000). Diffusions, Markov Processes, and Martingales Volume Two: Ito Calculus, McGraw-Hill.
The Tremor Model

Index
continuity correction, 7
Feller condition, 8
Greeks
Summary
hybrid Greeks, 19
Contact Information
local volatility function, 4

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quadratic-exponential scheme, 6
sticky delta Greeks, 19

Validation of the Tremor Stochastic-Local Volatility Model

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Validation of the Tremor Stochastic-Local Volatility Model

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The Tremor Model

The Tremor Stochastic-Local-Volatility

The Tremor Model

Abstract. In this document we summarize the hybrid

The Tremor Model

1. The Tremor Model

Model a the forward as ( [7], [8])

The Tremor Model

ftT forward to maturity T seen from t

> 0 rate of mean-reversion

instantaneous correlation between ftT and vt

volatility of variance (vol of vol)

a, b, c parameters of g the local volatility function

1.1. Parameter Choices in Murex and the MathFinance Implementation

Local volatility parameters displayed in the Murex screen are

1.1. Parameter Choices in Murex and the MathFinance Implementation

Local volatility parameters displayed in the Murex screen are

They are related by (Source:[9])

The Tremor Model

2. Implementation of the Tremor model by

The Tremor Model

2. Implementation of the Tremor model by

The Tremor Model

2. Implementation of the Tremor model by

Equidistant time steps dt = 0.5 days = 0.00137, for all

2.2. Continuity Correction

2.2. Continuity Correction

2.2. Continuity Correction

If the barrier is touched, then we set w = 1.

2.2. Continuity Correction

If the barrier is touched, then we set w = 1.

The Tremor Model

2.3. Feller Condition

The CIR process for the variance (2), remains strictly

The Tremor Model

2.3. Feller Condition

The CIR process for the variance (2), remains strictly

42% of the examined markets yield calibrated parameters

The Tremor Model

2.3. Feller Condition

The CIR process for the variance (2), remains strictly

42% of the examined markets yield calibrated parameters

Therefore: use fine time grid in PDEs or Monte Carlo.

The Tremor Model

Implement independent pricing engine (Monte Carlo

3.1. Deals under Consideration

The Tremor Model

Figure 1: Distribution of currency pairs.

Figure 2: Distribution of maturities.

3.2. Test Results

Given market price provided by Murex

Analytic approximation computed by Murex after calibration

Price computed by MathFinance with Monte Carlo simulation

4 standard deviations of the simulated price

Given market Black-Scholes implied vols provided by Murex

Implied vols computed by MathFinance based on price Mkt

Implied vols provided by Murex based on price Calib

Implied vols computed by MathFinance based on price Calib

Implied vols computed by MathFinance based on price Comp

Table 1: Explanations of Test Results

3.3. Vanilla Consistency Check

Table 2: USD-JPY vanilla market check: example