SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by mtsm
November 12th, 2019, 4:40 pm
Forum: Book And Research Paper Forum
Topic: LSTM thread
Replies: 0
Views: 161

LSTM thread

ikicker, what happened to your lstm thread? I was going to post a comment. 

contact me if you are interested, we can discuss offline.
by mtsm
June 21st, 2019, 11:42 am
Forum: Programming and Software Forum
Topic: Do you agree with Yann LeCun about Deep Learning being dead and "Differentiable programming" being the next hot thing in
Replies: 11
Views: 2535

Re: Do you agree with Yann LeCun about Deep Learning being dead and "Differentiable programming" being the next hot thin

Not sure why say it's not relevant in finance. It's very relevant.  There was a huge body of work being on adjoint differentiation in quant finance a fairly long time ago. Many major IBs have such features in their systems.  For once, it feels like quant finance was significantly front running the M...
by mtsm
May 23rd, 2019, 1:42 pm
Forum: Technical Forum
Topic: Machine Learning and the physical sciences
Replies: 24
Views: 3984

Re: Machine Learning and the physical sciences

You're not a mathematician cuch, you're some kind of engineer. You're the guy with the wrench and the duct tape...

You need to do some googling about Bayesian neural nets also...
by mtsm
May 21st, 2019, 8:30 pm
Forum: Technical Forum
Topic: Machine Learning and the physical sciences
Replies: 24
Views: 3984

Re: Machine Learning and the physical sciences

Looks like a very biased review by a bunch of people who assimilate the physical sciences as being condensed matter physics... Pretty much. There is a large number of fields forming part of physical sciences where I can see this sh!t being useful, too. Did you mean a Bayesian network or a Bayesian n...
by mtsm
March 21st, 2019, 3:33 pm
Forum: Book And Research Paper Forum
Topic: Machine Learning for Bond Options pricing/hedging
Replies: 5
Views: 2231

Re: Machine Learning for Bond Options pricing/hedging

Do you mean bond futures options nohedge?

Can you post what you found about the equities market please?

It's not actually clear what you are trying to do.
by mtsm
March 21st, 2019, 3:29 pm
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 24
Views: 4304

Re: Quantlib design and usage

Thanks, these are great comments. 

I'll try and read some of your stuff on the topic. Where can I find it?
by mtsm
February 27th, 2019, 8:35 pm
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 24
Views: 4304

Re: Quantlib design and usage

So, a couple of observations... FWIW... At a high level, what strikes me as odd is that the library mixes up the 'what' of financial engineering with the 'how' at the very deepest level. There is way too much run time logic based into the basic class structure, much more than is desirable. Even 15 y...
by mtsm
February 7th, 2019, 3:31 am
Forum: General Forum
Topic: EOM rule subtleties in the swap market
Replies: 4
Views: 541

Re: EOM rule subtleties in the swap market

No I think you are right actually. I was just checking in Bloomberg for you and fonud empirically that there any short front stub less than 7 days gets folded into the first coupon period. I then found that this is what opengamma strata call smart_initial. Have a look http://strata.opengamma.io/apid...
by mtsm
February 3rd, 2019, 2:18 am
Forum: General Forum
Topic: EOM rule subtleties in the swap market
Replies: 4
Views: 541

Re: EOM rule subtleties in the swap market

I assume you care about the 1M floating leg? Start with 1/30/2019, which being a good business day is the swap effective date. Add 13M unadjusted, which takes you to 2/29/2020. Now backwards roll out an unadjusted swap schedule assuming end-of-month roll. That gives you 13 periods. Finally adjust t...
by mtsm
January 22nd, 2019, 12:04 am
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 24
Views: 4304

Quantlib design and usage

I have had to turn my attention towards quantlib lately, in view of using it as a base for a system in a buy-side context, that is able to handle both valuation, risk, pnl as well as research in time series and scenario context. One important question I am trying to answer for myself, is how I shoul...
by mtsm
August 1st, 2018, 1:36 am
Forum: Student Forum
Topic: convexity adjustment
Replies: 3
Views: 618

Re: convexity adjustment

bearish: ehnt It depends what you call a convexity adjustment.  If you define it as the adjustment that needs to be made to the expected value when valueing the index of interest under a measure other than the index's natural measure, then the convexity adjustment can be of either sign. This is a me...
by mtsm
July 23rd, 2018, 3:47 pm
Forum: General Forum
Topic: swaption implied vol under CSA discounting
Replies: 1
Views: 363

swaption implied vol under CSA discounting

What is the current market practice on the dealer side for quoted european swaption premiums or implied volatilities under various CSA discounting schemes.  Specifically, in terms of the underlying swap. In my understanding the market standard is to assume that the underlying swap is based on local ...
by mtsm
July 10th, 2018, 7:49 pm
Forum: Programming and Software Forum
Topic: commercial quant analytics library
Replies: 2
Views: 702

commercial quant analytics library

Hi, 

please recommend a commercial quant analytics library for use on the buy side mostly with linear (some non-linear) fixed income.

Should have fairly cutting edge curves building technology.

Needs to have an API.

Thanks very much!
by mtsm
April 14th, 2018, 9:14 pm
Forum: Programming and Software Forum
Topic: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python
Replies: 7
Views: 831

Re: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python

Python https://letyourmoneygrow.com/2018/04/14/quantlib-python-twisting-a-snake-to-fit-a-yieldcurve/ Excel https://letyourmoneygrow.com/2018/02/10/quantlibxl-curvy-way-fit-yield-curve/ I, myself, prefer Python. The only problem: I have not, so far, found a way to attach Python [IDE] process to Visu...
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