SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 29 matches

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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?
October 23rd, 2011, 11:25 am
Forum: Book And Research Paper Forum
Topic: any good book for commodity derivatives to recommend?
Replies: 4
Views: 23701

### any good book for commodity derivatives to recommend?

me too.. anyone?
October 23rd, 2011, 11:18 am
Forum: Programming and Software Forum
Topic: Roslyn
Replies: 7
Views: 18645

### Roslyn

look at clang for C++.
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...
October 3rd, 2011, 8:53 am
Forum: Student Forum
Topic: yield curve simulation
Replies: 4
Views: 19069

### yield curve simulation

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...
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...
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 ...?
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 ...
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...
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...
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...
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...
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 ...
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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