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by chiranjiv
June 15th, 2006, 12:14 pm
Forum: Technical Forum
Topic: Pool selection under investment guidelines constraints
Replies: 7
Views: 102081

Pool selection under investment guidelines constraints

<t>Alan- Yes, this is a special class of integer programming (In integer programming, the variables can take any integer values but here they can only be 0-1). The branch and bound algorithm is a well-known algorithm for solving integer programming problems. It involves solving the problem as an LP ...
by chiranjiv
June 14th, 2006, 9:52 am
Forum: Numerical Methods Forum
Topic: Pool selection under investment guidelines constraints
Replies: 2
Views: 102034

Pool selection under investment guidelines constraints

<t>Hi Quantie,The problem as i received it is of the form Subject towhere e_i is the exposure of ith bond,WARF_i is the weighted average rating factor for the i'th bond,WARF{max} is the WARF limit for the poolCONC{max} is the maximum concentration allowedx_i is a zero-one variable indicating inclusi...
by chiranjiv
June 14th, 2006, 9:49 am
Forum: Technical Forum
Topic: Pool selection under investment guidelines constraints
Replies: 7
Views: 102081

Pool selection under investment guidelines constraints

<t>Hi Alan,The problem as i received it is of the form Subject towhere e_i is the exposure of ith bond,WARF_i is the weighted average rating factor for the i'th bond,WARF{max} is the WARF limit for the poolCONC{max} is the maximum concentration allowedx_i is a zero-one variable indicating inclusion ...
by chiranjiv
June 13th, 2006, 4:27 pm
Forum: Numerical Methods Forum
Topic: Pool selection under investment guidelines constraints
Replies: 2
Views: 102034

Pool selection under investment guidelines constraints

<t>Hi all,I am trying to select bonds from a given pool under multiple criteria/constraints such as maximum individual obligor concentration limit, maximum Weighted average rating, maximum country concentration limit etc. The objective is to maximise the sum of par/book value/market value of the sel...
by chiranjiv
June 13th, 2006, 4:24 pm
Forum: Technical Forum
Topic: Pool selection under investment guidelines constraints
Replies: 7
Views: 102081

Pool selection under investment guidelines constraints

<t>Hi all,I am trying to select bonds from a given pool under multiple criteria/constraints such as maximum individual obligor concentration limit, maximum Weighted average rating, maximum country concentration limit etc. The objective is to maximise the sum of par/book value/market value of the sel...
by chiranjiv
May 17th, 2006, 1:14 pm
Forum: Careers Forum
Topic: Risk management
Replies: 5
Views: 106551

Risk management

<t>In my opinion, the only transferable skills/knowledge would be related to ststistical techniques/software. While these are valuable for working in any generic quant finance shop (for calibration/backtesting etc. of models), these won't be enough. You would also need to have good knowledge of vari...
by chiranjiv
October 7th, 2005, 6:30 am
Forum: Book And Research Paper Forum
Topic: Understanding Credit Derivatives and Related Instruments?
Replies: 0
Views: 133888

Understanding Credit Derivatives and Related Instruments?

Has anyone read it? Any opinions?Understanding Credit Derivatives and Related Instrumentsby Antulio N. Bomfim, Academic Press, (December 6, 2004), Hardcover, 368 pages
by chiranjiv
August 11th, 2005, 8:41 pm
Forum: Technical Forum
Topic: optimal portfolio for a cdo deal
Replies: 3
Views: 143860

optimal portfolio for a cdo deal

Maybe this will give you a starting point....
by chiranjiv
July 22nd, 2005, 9:29 am
Forum: Technical Forum
Topic: duffie & kan
Replies: 8
Views: 143303

duffie & kan

Maybe this is the answer to your needs rplat Convert PS to PDF online
by chiranjiv
July 13th, 2005, 3:20 pm
Forum: Numerical Methods Forum
Topic: Simulating Multivariate Distribution
Replies: 6
Views: 144957

Simulating Multivariate Distribution

<t>Hi Stiz,To answer to ur questions..1) There is no upper limit on the size of the correl matrix...but with bigger matrices you might see the programme take much longer to run...2) Yes, it uses VBA's RND function to generate Uniform Random numbers which it then converts to Normal Variates..if you a...
by chiranjiv
July 11th, 2005, 3:44 pm
Forum: Numerical Methods Forum
Topic: Simulating Multivariate Distribution
Replies: 6
Views: 144957

Simulating Multivariate Distribution

<t>Quick Google Search + Quick hacking produced this one. In the first prompt use mouse to select the corr matrix. There is lot of scope for improvement e.g. routines to "correct" the corr. matrix/better random number genetaion/faster eigen vlaues.. For that use Wilmott threads and Peter Jaeckel's b...
by chiranjiv
July 7th, 2005, 3:41 pm
Forum: General Forum
Topic: Need a good intro to subordination
Replies: 1
Views: 144614

Need a good intro to subordination

Here is an article on Fitch criteria for CMBS..Also attached is a very comprehensive document relating to CMBS operational details..you can see how subordination is used on pgs 46-52.Hope it helps!!
by chiranjiv
May 13th, 2005, 10:12 pm
Forum: Programming and Software Forum
Topic: Excel People, Interview Questions
Replies: 31
Views: 160183

Excel People, Interview Questions

What about this? ={INDEX ($A$1:$A$4,MATCH(MAX(IF(B1:B4<MAX(B1:B4),B1:B4)),B1:B4))}..Gotta rush to catch my cab!!!