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by horacioaliaga
June 22nd, 2016, 8:24 pm
Forum: Off Topic
Topic: free kick
Replies: 1
Views: 396

free kick

messi's free kick
by horacioaliaga
August 6th, 2015, 2:57 pm
Forum: General Forum
Topic: negative rates - payer swap
Replies: 1
Views: 2681

negative rates - payer swap

<t>If I enter on an EUR 4y Swap where I pay fixed an receive EONIA 3M, the cash flows will be1) Pay Fixed coupon2) Receiving negative floating rate EONIA 3MAll cashflows would negative to me, for any given positive strike.In order to make the trade fair, the strike should be negative then, so the ca...
by horacioaliaga
July 31st, 2015, 4:46 pm
Forum: General Forum
Topic: If implied vol < historical vol, why does that imply arbitrage?
Replies: 5
Views: 3404

If implied vol < historical vol, why does that imply arbitrage?

I would say that implied vol can be lower than historical vol with no arbitrage consequences....
by horacioaliaga
July 13th, 2015, 7:04 pm
Forum: Numerical Methods Forum
Topic: Mulithreaded 1D PDE solver for black scholes equation
Replies: 18
Views: 5642

Mulithreaded 1D PDE solver for black scholes equation

"Bergische"???? hahahhaa... why would they want using this adjective. I didn't know there were mountains in Wupperthal....
by horacioaliaga
July 13th, 2015, 7:02 pm
Forum: Numerical Methods Forum
Topic: Mulithreaded 1D PDE solver for black scholes equation
Replies: 18
Views: 5642

Mulithreaded 1D PDE solver for black scholes equation

I need to perform the test Cuchulainn, I'll let you know
by horacioaliaga
July 2nd, 2015, 12:44 pm
Forum: Numerical Methods Forum
Topic: Mulithreaded 1D PDE solver for black scholes equation
Replies: 18
Views: 5642

Mulithreaded 1D PDE solver for black scholes equation

Thanks Cuchu for the replyDo you think they are Don Quixote even for 1D?
by horacioaliaga
July 1st, 2015, 5:06 pm
Forum: Numerical Methods Forum
Topic: Mulithreaded 1D PDE solver for black scholes equation
Replies: 18
Views: 5642

Mulithreaded 1D PDE solver for black scholes equation

Check out my c+11 multithreaded pde solver explicit scheme
by horacioaliaga
March 17th, 2015, 12:07 pm
Forum: General Forum
Topic: Comprehensive Capital Review and Analysis
Replies: 6
Views: 3622

Comprehensive Capital Review and Analysis

Thanks qhedge, I had the same thougts...I guess this is why the banks are trying to figure it out...
by horacioaliaga
March 16th, 2015, 6:50 pm
Forum: General Forum
Topic: Comprehensive Capital Review and Analysis
Replies: 6
Views: 3622

Comprehensive Capital Review and Analysis

<t>CCAR requires banks to stress test their portfolios based on proposed variables:Real GDP growthNominal GDP growthReal disposable income growthNominal disposable income growthUnemployment rateCPI inflation rate3-month Treasury rate5-year Treasury yield10-year Treasury yieldBBB corporate yield Mort...
by horacioaliaga
August 14th, 2014, 2:17 pm
Forum: Off Topic
Topic: NYC Drinks?
Replies: 28
Views: 5469

NYC Drinks?

I will out of town next week, but the idea looks excellent
by horacioaliaga
August 13th, 2014, 4:02 pm
Forum: Off Topic
Topic: NYC Drinks?
Replies: 28
Views: 5469

NYC Drinks?

sorry won't be able to make it
by horacioaliaga
August 11th, 2014, 8:38 pm
Forum: Off Topic
Topic: NYC Drinks?
Replies: 28
Views: 5469

NYC Drinks?

What about Snafu Bar??
by horacioaliaga
August 8th, 2014, 8:22 pm
Forum: Off Topic
Topic: NYC Drinks?
Replies: 28
Views: 5469

NYC Drinks?

<t>QuoteOriginally posted by: blycmI think lets call it Thur the 14th with location to be determined likely in/near midtown.suggested drink conversation topics:1) human shield vs level III vest with ceramic inserts vs unknown assailant with unknown mode of attack.2) are those guys at the table acros...
by horacioaliaga
August 7th, 2014, 8:35 pm
Forum: Off Topic
Topic: NYC Drinks?
Replies: 28
Views: 5469

NYC Drinks?

I will be waiting for you AnalyticalVega, I know a nice palestinian bar that you might like....
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