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Questions tagged [volatility]

175 questions
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Volatility failed to scan memory dump of Virtualbox

I done a memory dump with elf format using Virtualbox manager. VBoxManage debugvm "image_name" dumpguestcore --filename test.elf It worked well. Then I try to analyze the dump with volatility. The imageinfo worked well and get the…
user1150246
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interpolating option volatility in R

I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. I was thinking of simply doing the following: #first convert everything to moneyness type measure sample_delta = c(seq(-.5, -.05, by=.05),…
Alex
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where is python getting this build command from?

background I am installing volatility from this walkthrough. I am doing this on a windows 7 64 bit install and i have python 2.7 installed. I had cygwin installed months ago and removed it probably 6+ months ago. I have cleared all references to it…
toosweetnitemare
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Computing Quadratic Variation in R

In order to compute the quadratic variation of a timeseries in R, I would like to to sum for every point the square of log returns of the current point and the last x points. I know that you can build the square of log returns of py by typing…
BlueTrin
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QuantLib parametrization stochastic volaltility

I was trying to replicate this paper (which is about to the Heston Model) using QuantLib tool (python 3.5). Following the Python Quantlib Cookbook I was able to setup the parameters of page 12 from the paper. Quantlib´s result is 0.0497495 which…
Newbie
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Adjusted Realized Volatility

Suppose these are the returns (1000 rows): 1-a 2-b 3-c I want to calculate adjusted volatility: drop first return calculate realized volatility, then drop the second one and calculate the realized volatility and etc. if you have n returns you will…
Soheil
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volatility and java

I'm new to both forensics and java. I just learnt java and I find it quite useful. Recently, I am learning how to integrate commands into the java coding. Is this possible? I am currently using volatility (CLI) software. I am trying to create a GUI…
Linify
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One sided filter, online filtering, caual filtering

This is actually a repost of a question of mine from some weeks ago. I got good hints but I couldn't inf the perfect solution yet. I am looking for a Filter which just uses historic data for "smoothing". I tried several filters from the…
chameau13
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Correlation Matrix by group/category

I'm writing a code to calculate a portfolio's volatility for different clients in my company but I'm stuck in a process that will be explained below: Sample: dat <- structure(list(CNPJ = c(101425781, 101825381, 101824382, 101823383, 101343863,…
Vinícius Felizatti
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Which interest rate to use for computing IV: FlatForward doesn't make sense?

I am confused by quantlib yield classes: it doesn't make sense to use one interest rate, e.g., today's rate, for an option chain that has different expiry. Say you have a yield curve at time t (today) that goes out from one month to thirty years.…
Ivan
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