SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by RamneekHanda
December 8th, 2011, 2:29 pm
Forum: The Quantitative Finance Code Library Project
Topic: Version 0.0: Prototype
Replies: 56
Views: 21434

Version 0.0: Prototype

hi guys.. do we have anything checked in that i can look at and contribute to?
by RamneekHanda
October 23rd, 2011, 11:18 am
Forum: Programming and Software Forum
Topic: Roslyn
Replies: 7
Views: 18645

Roslyn

look at clang for C++.
by RamneekHanda
October 4th, 2011, 3:46 am
Forum: Student Forum
Topic: Calibrating Hull-White model - Questions on Coupon-bearing bonds
Replies: 3
Views: 18064

Calibrating Hull-White model - Questions on Coupon-bearing bonds

<r>Calibration is to check that your model will price the instrument correctly today.You calibrate depending on what market quotes and the liquid products.For example to be able to price a bond options you could calibrate to swaption prices which are quoted in terms of blacks vols and use Coudrec 20...
by RamneekHanda
October 3rd, 2011, 8:53 am
Forum: Student Forum
Topic: yield curve simulation
Replies: 4
Views: 19069

yield curve simulation

secret2, although not my thread but thanks for your detailed response.
by RamneekHanda
October 1st, 2011, 11:53 am
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<t>QuoteOriginally posted by: CuchulainnQuoteRead what the blog entry says before commenting. There are students in this forum who want to understand how to implement hull white and that's what it is for. Fair enough. So long as they don't take this design as Gospel. It's an 'in progress", version 0...
by RamneekHanda
October 1st, 2011, 3:47 am
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<t>QuoteOriginally posted by: MattFQuoteOriginally posted by: RamneekHandaok.. all said and done! anyone interested in improved implementation or just ...?At first glance it looks very abstracted and generalised but closer inspection reveals it's riddled with errors and misunderstandings. Your imple...
by RamneekHanda
September 30th, 2011, 2:16 pm
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

ok.. all said and done! anyone interested in improved implementation or just ...?
by RamneekHanda
September 30th, 2011, 11:49 am
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<t>QuoteOriginally posted by: SierpinskyJanitorMattF, my point exactly, anyway, it seems we have to propose highly generic alternatives, including Galactic calendars compatible with Alpha-Centaury 7700day years and 765hrs days in order to have a "valid suggestion" here! Our point has been made, and ...
by RamneekHanda
September 30th, 2011, 11:48 am
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<t>QuoteOriginally posted by: MattFQuoteOriginally posted by: RamneekHandai wouldn't use a string look up if i were to lookup a map for 100k times during building a tree. String comparisons are costly. if i were you i would convert 1m to still store in double format in the map. i.e. just provide a d...
by RamneekHanda
September 30th, 2011, 5:33 am
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<r>QuoteOriginally posted by: PolterWell, the width is not always different, it depends on the data model of your compiler (it's LP64 with GCC on POSIX, and it's definitely LLP64 with MSVC on MSWIN), see:<URL url="http://www.viva64.com/en/a/0024/#ID0EIDAChttp://www.viva64.com/en/t/0012/http://en.wik...
by RamneekHanda
September 30th, 2011, 2:11 am
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<r>QuoteOriginally posted by: RamneekHandaQuoteOriginally posted by: PolterQuoteOriginally posted by: RamneekHandaQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: RamneekHandai wouldn't use a string look up if i were to lookup a map for 100k times during building a tree. String compar...
by RamneekHanda
September 30th, 2011, 1:59 am
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<r>QuoteOriginally posted by: PolterQuoteOriginally posted by: RamneekHandaQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: RamneekHandai wouldn't use a string look up if i were to lookup a map for 100k times during building a tree. String comparisons are costly. if i were you i would...
by RamneekHanda
September 29th, 2011, 4:17 pm
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<r>QuoteOriginally posted by: CuchulainnQuoteBTW on another thought you could keep them in integer as number of days and then when someone asks you to get rate for n months or years you could always convert it (very fast).If performance is an issue (btw Serp said you student??) then I would not use ...
by RamneekHanda
September 29th, 2011, 4:08 pm
Forum: Student Forum
Topic: Hull White Implementation in C++
Replies: 80
Views: 22197

Hull White Implementation in C++

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: RamneekHandaQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: RamneekHandai wouldn't use a string look up if i were to lookup a map for 100k times during building a tree. String comparisons are costly. if i were you i w...
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