Hi Kris, thanks a lot for your very insightful posts and the tools you provide. Today tried the Event Volatility Extractor but it did not work (calculating for a long time like it's in a loop). Could please check? Thanks!
It's almost certainly because you picked vols that impossible (if you put in vols where the total variance in M1 exceeds M2 you've created a negative forward)
Yes, I made this mistake. Today it worked .But the good part is, that it triggered me to replicate it in a spreadsheet. Thanks to you I slowly learn to fish :-)
Hi Kris, thanks a lot for your very insightful posts and the tools you provide. Today tried the Event Volatility Extractor but it did not work (calculating for a long time like it's in a loop). Could please check? Thanks!
It's almost certainly because you picked vols that impossible (if you put in vols where the total variance in M1 exceeds M2 you've created a negative forward)
Yes, I made this mistake. Today it worked .But the good part is, that it triggered me to replicate it in a spreadsheet. Thanks to you I slowly learn to fish :-)