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by HeartOfDarkness
November 20th, 2011, 7:30 pm
Forum: General Forum
Topic: Bootstrapping the intensity of default from CDS when the CDS market is illiquid
Replies: 3
Views: 16207

Bootstrapping the intensity of default from CDS when the CDS market is illiquid

<t>Hi, all,I am having a look at how to estimate the intensity of default from CDS prices and it looks like the bootstrapping method is widely used by practitioners. But, it looks to me that it relies on the assumption that the CDS market is liquid. I would be interested to know how this method perf...
by HeartOfDarkness
May 25th, 2011, 1:54 pm
Forum: Careers Forum
Topic: Math. Fin at Imperial College
Replies: 5
Views: 25732

Math. Fin at Imperial College

<t>I am not an Alumnus of Math. Fin. at Imperial College, but I know people who have attended it recently. Definitely there is a lot of abstract work to be done, but the MSc is open only to people from Maths and Engineering, so I don't think it is the main problem.The main problem is that, as a cour...
by HeartOfDarkness
April 5th, 2011, 2:38 pm
Forum: Programming and Software Forum
Topic: R bond spreads package?
Replies: 0
Views: 21195

R bond spreads package?

<t>Hi, all,I am still new to R (mainly using Matlab), so sorry if this sounds like a naive question. I am looking for a package to carry on static spread calculations on R, like the bndspread function in Matlab. I am looking around, but can't find anything, not even in the online help of Rmetrics......
by HeartOfDarkness
January 10th, 2011, 8:05 am
Forum: Student Forum
Topic: CAPM: Correlation contradiction?
Replies: 2
Views: 21185

CAPM: Correlation contradiction?

ok, I see. Thanks very much!
by HeartOfDarkness
January 9th, 2011, 5:09 pm
Forum: Student Forum
Topic: CAPM: Correlation contradiction?
Replies: 2
Views: 21185

CAPM: Correlation contradiction?

<t>Hi, all, CAPM says that if you have an asset A whose return is negatively correlated with the "market portfolio return", you actually get less than the risk free rate, because you are "insured" against the only risk factor you are assuming in your model. BUT...The market portfolio return should b...
by HeartOfDarkness
October 19th, 2010, 1:08 pm
Forum: Programming and Software Forum
Topic: How to import data from Bloomberg into R ?
Replies: 5
Views: 30018

How to import data from Bloomberg into R ?

I could bet on it! Thanks!
by HeartOfDarkness
October 19th, 2010, 12:58 pm
Forum: Programming and Software Forum
Topic: How to import data from Bloomberg into R ?
Replies: 5
Views: 30018

How to import data from Bloomberg into R ?

mmm...so this is the "official" way. I saw this page, but was unsure as it's from 2004. Anyway, will read through. Thanks!
by HeartOfDarkness
October 19th, 2010, 12:34 pm
Forum: Programming and Software Forum
Topic: How to import data from Bloomberg into R ?
Replies: 5
Views: 30018

How to import data from Bloomberg into R ?

<t>Hi, all, little problem here.I wanted to use some Bloomberg data into a R program I am starting to work on. I was looking for the equivalent of the MATLAB "bloomberg.fetch". All I found is a R package called RBloomberg, which, however, works only for the API v2!! Does anyone know a tool/document/...
by HeartOfDarkness
August 7th, 2010, 4:19 pm
Forum: Student Forum
Topic: Covariance of the square of two brownian motions
Replies: 13
Views: 27059

Covariance of the square of two brownian motions

<t>The square of a normal distribution is chi squared distributed with 1 degree of freedom. So I think you are talking about the covariance of 2 chi squared distributions. Try looking for this, perhaps you find something around. You might find that the final distribution you get is not chi squared i...
by HeartOfDarkness
August 7th, 2010, 3:08 pm
Forum: Student Forum
Topic: GGR vs constant maturity rates: what should I use?
Replies: 0
Views: 24123

GGR vs constant maturity rates: what should I use?

<t>Dear all,I am currently working on my dissertation, and my supervisor is away...so I am turning to you for this little advice. Perhaps it is not a big problem, but I just want to make sure.Basically, I have to estimate the US yield curve. I am fine with all the possible methods that came to my ha...
by HeartOfDarkness
July 28th, 2010, 9:19 am
Forum: Student Forum
Topic: learning to design algorithms
Replies: 8
Views: 25021

learning to design algorithms

All,Thank you very much for your suggestions, very kind of you!
by HeartOfDarkness
July 27th, 2010, 6:36 pm
Forum: Student Forum
Topic: learning to design algorithms
Replies: 8
Views: 25021

learning to design algorithms

mmm...thanks Alan, I will have a look at those (will keep Knuth for later...God is God!!)
by HeartOfDarkness
July 27th, 2010, 2:42 pm
Forum: Student Forum
Topic: learning to design algorithms
Replies: 8
Views: 25021

learning to design algorithms

<t>Dear all,I have a question for you regarding the best way to learn programming. What I find hard, actually, is not much the language itself (ok ok, I tried VBA, Matlab and R, so I am somehow on the "easy" path in that sense...but I am familiar with the basic structures), but to actually analyse t...
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