<t>Hi Balazs / Boglarka,Thanks for posting the link to your article. I skimmed it and I would like to implement the algorithm to see how it performs for my calibration but I am lacking some fundamental education in optimization theory, so I need to study before tackling your article.Shamefully I got...
<t>QuoteI am wondering if I should expect any rate carry and roll-down for a instrument with optionality. The answer might be "yes". Then how should I calculate rates carry and roll-down for a swaption? same as a swap?Yes you would: the fact that you are moving in time still means that (with the ver...
<t>The one from boost is the predecessor of the one from std. You can use either of them and their behaviour and performance should be comparable.In my case, I think I will be moving towards std::shared_ptr in the long term, but since we have a lots of libraries that are compiled under different arc...
QuoteYes it isThanks Eh for making me see the light. I scanned the original question too quickly and misunderstood what was asked. My apologies to Solas and Emac
Of course they do... Generally called "Conditional curve flatteners"... They are curve flatteners created not with a spread of swaps, but a spread of swaptions
<t>As result of the credit crisis swaption are now quoted in the interbank in terms of their forward price at the option expiry and the premium is only paid on expiry.For caps&floors, I overheard a couple of traders mentioning that the market will move towards quoting caps&floors in terms of...
<t>It seems to me that the following two books cover similar areas:Practical Financial Econometricsand Market Models: A guide to Financial Data Analysis.I am expecially interested into PCA, Time series analysis and estimation of volatility and correlations.I am tempted to go for the former because p...
This thread wet my appetite and i think I'll go and watch it.Does anyone else share my feeling that if I had to write a list of best Wall Street movies, Trading Places would also come on top? (probably second or third place after Wall Street and Rogue Trader)