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by quartz
January 27th, 2016, 1:26 pm
Forum: Off Topic
Topic: Technical quotes
Replies: 509
Views: 31082

Technical quotes

Regulatory trolling:Quote"PDs implied from market prices are not acceptable unless they are corrected to obtain an objective probability of default. In other words, market implied PDs are not acceptable."
by quartz
January 20th, 2016, 6:09 pm
Forum: Off Topic
Topic: Technical quotes
Replies: 509
Views: 31082

Technical quotes

Quote"There are two ways of constructing a software design: one way is to make it so simple that there are obviously no deficiencies; the other is to make it so complicated that there are no obvious deficiencies." - C.A.R. Hoare
by quartz
December 30th, 2015, 4:20 pm
Forum: Programming and Software Forum
Topic: visitor design pattern
Replies: 66
Views: 71456

visitor design pattern

<t>QuoteOriginally posted by: CuchulainnQuoteWe need it dynamic, using static_visitor dynamically requires some tricks including preprocessor stuff making it all more convoluted than a dynamic visitor, and GOF is brittle and insufficient.What are the objections to GOF Visitor? Can you quantify? What...
by quartz
December 30th, 2015, 3:38 pm
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9611

virtual calls overhead / crtp

by quartz
December 30th, 2015, 11:08 am
Forum: Programming and Software Forum
Topic: visitor design pattern
Replies: 66
Views: 71456

visitor design pattern

<t>QuoteOriginally posted by: CuchulainnI don't use OOP patterns so much anymore but we used them with much success in CAD, graphics and optical technology (holography) in several production systems. There is probably no compelling reasons to use it. Besides, you choose between Boost static_visitor ...
by quartz
December 29th, 2015, 4:21 pm
Forum: Programming and Software Forum
Topic: visitor design pattern
Replies: 66
Views: 71456

visitor design pattern

QuoteOriginally posted by: CuchulainnHad a quick look. Must say I don't like it.Me neither, but it's being referenced here and there and its pros are interesting, so maybe it shouldn't get so easily dismissed.Anyway what about the benchmarks (for what they're worth)? :-)
by quartz
December 29th, 2015, 1:17 pm
Forum: Programming and Software Forum
Topic: visitor design pattern
Replies: 66
Views: 71456

visitor design pattern

Has anyone here experience with Cooperative visitor?Here is also a nice comparison of different dynamic dispatch methods. Does anyone want to make this test portable and show some results with more recent (e.g. c++11) compilers, maybe adding cooperative visitor, boost visitor etc?
by quartz
October 13th, 2015, 4:26 pm
Forum: Off Topic
Topic: Intellectual property
Replies: 5
Views: 1577

Intellectual property

The recent trademarking of Pi: a troubling preceden
by quartz
October 13th, 2015, 1:39 pm
Forum: Off Topic
Topic: Technical quotes
Replies: 509
Views: 31082

Technical quotes

Quote "Pig Data and Bayesian Inference on Multinomial Probabilities"
by quartz
October 7th, 2015, 3:10 pm
Forum: Off Topic
Topic: Technical quotes
Replies: 509
Views: 31082

Technical quotes

Quote"CVaR is an upper bound for VaR, therefore, minimization of CVaR also reduces VaR."
by quartz
October 7th, 2015, 1:29 pm
Forum: Numerical Methods Forum
Topic: Calculating the delta of an option using a monte-carlo simulation of the underlying
Replies: 46
Views: 7935

Calculating the delta of an option using a monte-carlo simulation of the underlying

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: quartzQuoteAnd the numerical analysis of MC is underdeveloped in general.If you ever come to MCQMC or MCM &c conferences, there'll be some free drinks ;-)Let's say most quants simply dont have the time nor a sound reason to cope ...
by quartz
October 7th, 2015, 11:16 am
Forum: Numerical Methods Forum
Topic: Calculating the delta of an option using a monte-carlo simulation of the underlying
Replies: 46
Views: 7935

Calculating the delta of an option using a monte-carlo simulation of the underlying

<r>QuoteOriginally posted by: spursfanbump is just forward or backward difference as estimate for first derivativeShort for the full expression "bump and revalue" in financial/RM jargon. I thought it would disappear with time and align to finite difference but it is persistent.Now I'd like to know i...
by quartz
October 6th, 2015, 4:57 pm
Forum: Off Topic
Topic: Technical quotes
Replies: 509
Views: 31082

Technical quotes

Quote"I ran the same tests using Visual C++ 2015's compiler, but for reasons I have yet to investigate, all the timings for the hash tables were zero under that compiler." - Scott Myers
by quartz
October 5th, 2015, 3:29 pm
Forum: Book And Research Paper Forum
Topic: New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory
Replies: 10
Views: 43146

New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

<t>QuoteOriginally posted by: ishakhI have read parts of Jon Gregory's book. It's quite well-written, although it has some typos. I personally prefer it to Pykhtin's (which I believe is a Risk book, with chapters by various authors) because the former covers many more topics, and discusses open issu...
by quartz
October 5th, 2015, 9:23 am
Forum: Numerical Methods Forum
Topic: Calculating the delta of an option using a monte-carlo simulation of the underlying
Replies: 46
Views: 7935

Calculating the delta of an option using a monte-carlo simulation of the underlying

QuoteAnd the numerical analysis of MC is underdeveloped in general.If you ever come to MCQMC or MCM &c conferences, there'll be some free drinks ;-)Let's say most quants simply dont have the time nor a sound reason to cope with all that.
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