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by sam
February 28th, 2006, 3:54 pm
Forum: Numerical Methods Forum
Topic: Douglas-Rachford or Peaceman-Rachford?
Replies: 8
Views: 122487

Douglas-Rachford or Peaceman-Rachford?

<t>Hi,Just had a query on Douglas Rachford in 2 space dmiensions...I understand that the scheme is unconditionally stable for 3-D (no cross terms). Is it also stable under 2-D? Or do I have to resort to Peaceman Rachford for the 2-D case?Are there any benefits of using Douglas-Rachford over Peacman ...
by sam
February 20th, 2006, 1:17 pm
Forum: Numerical Methods Forum
Topic: Boundary conditions for stoch Vol PDE
Replies: 2
Views: 118564

Boundary conditions for stoch Vol PDE

Excellent... many thanks
by sam
February 19th, 2006, 8:36 pm
Forum: Numerical Methods Forum
Topic: Boundary conditions for stoch Vol PDE
Replies: 2
Views: 118564

Boundary conditions for stoch Vol PDE

<t>Hi all,Just curious... For a 2-D stochastic vol PDE (first dimension is the underlying, second the vol, e.g Heston)... do people use a set of 'typical' boundary conditions for the vol? For e.g. in 1-D BS, one can make impose a boundary condition vis the delta or the gamma... what could you use fo...
by sam
February 8th, 2006, 11:14 am
Forum: Technical Forum
Topic: Fitting CMS reuters page CMS01
Replies: 23
Views: 163852

Fitting CMS reuters page CMS01

Does anyone understand why there is a 1/q in numerator for the middle line of equation 2.9??I understand why the R_{s}(t) is divided by q (compounding freq) but do not understand why this again needs to be adjusted by 1/q.What am I missing?Thanks,
by sam
December 29th, 2005, 5:24 pm
Forum: Numerical Methods Forum
Topic: Is Alternating Direction Implicit (ADI) good CLASSIC version?
Replies: 57
Views: 173718

Is Alternating Direction Implicit (ADI) good CLASSIC version?

Thanks folks!Let me look at this a bit more... I will definately report back.Sam
by sam
December 28th, 2005, 10:24 pm
Forum: Technical Forum
Topic: bond price
Replies: 12
Views: 126274

bond price

I would have thought that all the default information is incorporated in the 'yield' as you pointed out.In fact, you should be able to use the yield data to work out what the default probability is (assuming an intensiy model for deafult)...I agree with the 0.64 answer; seems rational.Regards,
by sam
December 28th, 2005, 10:18 pm
Forum: Numerical Methods Forum
Topic: Is Alternating Direction Implicit (ADI) good CLASSIC version?
Replies: 57
Views: 173718

Is Alternating Direction Implicit (ADI) good CLASSIC version?

<t>Hi,Rather than start a new post, I'll hijack this one since my question is very related...Say we have just 2-D (time and space)... and we had a PDE where the coefficients were non constant (e.g. the Black Scholes PDE without making the X = LN(S) substitution)... will the PDE still solve with an i...
by sam
November 28th, 2005, 9:44 pm
Forum: Student Forum
Topic: ADI PDE technique
Replies: 1
Views: 128562

ADI PDE technique

<t>Hi,If anyone can shed some light on this then it will be much appreciated.Basically I am trying to understand the limitations of applying the ADI technique as it is written in volume 2 of wilmott. The 3-D PDE has coefficients a,b and in the general case they are functions of t and the 2 underlyin...
by sam
November 26th, 2005, 5:30 pm
Forum: Careers Forum
Topic: How to prepare well for an exotic hybrid credit trading role
Replies: 11
Views: 130107

How to prepare well for an exotic hybrid credit trading role

It is an excellent conference, although in some of the talks it is quite hard to keep up.
by sam
October 31st, 2005, 3:03 pm
Forum: Programming and Software Forum
Topic: complex C++ class
Replies: 8
Views: 131769

complex C++ class

A.real(2) does work and it sets the real part to 2. I glanced over the header file where the class and its members/methods are declared and there isnt an overloaded version of the A.real() function which returns by reference, hence what I was initially trying to do was failing...Thanks,
by sam
October 31st, 2005, 12:14 pm
Forum: Programming and Software Forum
Topic: complex C++ class
Replies: 8
Views: 131769

complex C++ class

I knew I was missing something!Many Thanks Lee.Regards,
by sam
October 31st, 2005, 11:47 am
Forum: Programming and Software Forum
Topic: complex C++ class
Replies: 8
Views: 131769

complex C++ class

<t>Hi,Has anyone here used the complex C++ class before Header <complex>? I am trying to do something VERY straightforward but there doesnt seem to be any way to do it!Basically, I define a complex, and then want to re-asign its real and imaginary parts:complex<double> A(1,1); // assign real and im ...
by sam
October 21st, 2005, 9:44 am
Forum: Technical Forum
Topic: Fourier Transform of Probability distribution
Replies: 9
Views: 133074

Fourier Transform of Probability distribution

<t>Hi,Thank you all for yoru comments and insights.I have moved a step further and started to implement the integral numerically. I am setting the model to the B-S case for testing purposes (i.e. vol of vol =0) and I am comparing the probabilities from my numerical integration with the closed form v...
by sam
October 20th, 2005, 9:21 am
Forum: Technical Forum
Topic: Fourier Transform of Probability distribution
Replies: 9
Views: 133074

Fourier Transform of Probability distribution

Hi Rez,Thanks for the reply.I'm with you right until the end. Where does the 1/2 come from again? How does setting y = infinity change the integral into a 1/2??Regards,
by sam
October 19th, 2005, 8:30 pm
Forum: Technical Forum
Topic: Fourier Transform of Probability distribution
Replies: 9
Views: 133074

Fourier Transform of Probability distribution

<t>Hi,Can anyone please give me an outline for the derivation of the probability function by inverting its fourier transform, i.e.where f is the characteristic function.Basically, I do not understand where the 1/2 comes from. My approach was to calculate the fourier transform of the probabity functi...
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