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by pentagram
February 15th, 2021, 10:57 pm
Forum: Student Forum
Topic: Bond SDE
Replies: 4
Views: 583

Re: Bond SDE

Ah - good question! Because P is the price of a non-dividend paying asset. [$] ln (P) [$] is a non-linear (concave) function of a price, and thus not investable.
Thanks, how would you go about "the other way around" deriving the rate dynamics from the bond price?
by pentagram
February 14th, 2021, 9:00 pm
Forum: Student Forum
Topic: Bond SDE
Replies: 4
Views: 583

Re: Bond SDE

If you multiply and divide the dA/dt term by A, you can scale out P. Once you remove the r(t)dt term you are left with an expression that has to be equal to zero to satisfy the risk neutral drift requirement, and this is one way to solve for the functional form of A given [$] \theta [$]. I personal...
by pentagram
February 14th, 2021, 11:20 am
Forum: Student Forum
Topic: FX options quote by Delta, not strike
Replies: 1
Views: 344

FX options quote by Delta, not strike

In equities vanilla options contracts have a fixed strike, their prices are also quoted per strike for a given maturity. While of course a Delta can be calculated at any point in time for a given option thus and the quote of an equities vanilla can in principle be converted to a quote for a given De...
by pentagram
February 14th, 2021, 9:50 am
Forum: Student Forum
Topic: Rates dynamics models used by banks for pricing and risk management
Replies: 5
Views: 532

Re: Rates dynamics models used by banks for pricing and risk management

Please don’t take this the wrong way, but your questions seem straight out of the early 90’s. We (well, some us) once thought there was some magic to the HJM formalism, but we (both academics and practitioners working in the area) had largely gotten over that by ca 1995. Of course, reasonable excep...
by pentagram
February 13th, 2021, 10:11 am
Forum: Student Forum
Topic: Rates dynamics models used by banks for pricing and risk management
Replies: 5
Views: 532

Rates dynamics models used by banks for pricing and risk management

I'm studying interest rates theory and in the rates world are quite a few diffusion models, Hull-White 1factor, Hull-White 2factor, Ho-Lee, Vasicek, CIR, Derman-Toy, Black-Karasinski , Chen, etc etc.  Other asset classes don't have nearly as many models. I) which of these are used by banks in produc...
by pentagram
February 13th, 2021, 9:51 am
Forum: Student Forum
Topic: Bond SDE
Replies: 4
Views: 583

Bond SDE

Hi,  I was trying to replicate the convexity adjustment between FRAs and futures under the Ho-Lee model :  convexity adjustment Ho-Lee  As part of doing this the first step was to replicate the SDE for the bond, however, I end up with a different formula to the one Hull calculates in the above pdf. ...
by pentagram
January 14th, 2011, 2:23 pm
Forum: Numerical Methods Forum
Topic: What is the best method for modeling non-linear asset prices for the purposes of forecasting?
Replies: 48
Views: 28238

What is the best method for modeling non-linear asset prices for the purposes of forecasting?

<t> ok, on the Fortran bit, tbh I'm not a big fan but when you're part of a group, you want to use libraries others have written and they want to use yours, imo it's best to stick with the group policy. When I saw that a group library existed in a matlab toolbox, I preferred matlab. For home coding ...
by pentagram
January 13th, 2011, 3:50 pm
Forum: Numerical Methods Forum
Topic: What is the best method for modeling non-linear asset prices for the purposes of forecasting?
Replies: 48
Views: 28238

What is the best method for modeling non-linear asset prices for the purposes of forecasting?

<t> btw matlab does have a .net, Java and native compiler (targets CLR, JVM, machine respectively), it is quite expensive tho. I can't say if matlab is good enough for production, haven't used it in finance, but in my PhD I had written allot of matlab code and when I run it on the cluster (natively ...
by pentagram
January 13th, 2011, 7:06 am
Forum: Numerical Methods Forum
Topic: What is the best method for modeling non-linear asset prices for the purposes of forecasting?
Replies: 48
Views: 28238

What is the best method for modeling non-linear asset prices for the purposes of forecasting?

<t>QuoteOriginally posted by: falcon00First post. I hope I am in the right place.I am a self taught quant and it has been painful because I do not quite have to math background for some of the things I read. For two years I have been hacking my way though various subjects trying to find the best met...
by pentagram
January 12th, 2011, 1:36 pm
Forum: Programming and Software Forum
Topic: Quantlib, Visual C++ Express problems
Replies: 10
Views: 26523

Quantlib, Visual C++ Express problems

<t> Thanks for the responses btw I also changed the code line which said error unsupported microsoft compiler (or something like that) and still VS 2010 had no luck. In any case, doing it with VS 2008 was pretty straightforward. Btw what is the "standard procedure" to compile quantlib for C++\CLI? I...
by pentagram
January 12th, 2011, 3:47 am
Forum: Programming and Software Forum
Topic: Quantlib, Visual C++ Express problems
Replies: 10
Views: 26523

Quantlib, Visual C++ Express problems

I did compile it with Visual C++ Express 2008. Still curious why VC++ 2010 is having trouble, if someone encountered the same bugs & solved them, pls say what you did
by pentagram
January 12th, 2011, 12:23 am
Forum: Numerical Methods Forum
Topic: Maximize product of inner products
Replies: 7
Views: 23985

Maximize product of inner products

by pentagram
January 11th, 2011, 11:40 pm
Forum: Numerical Methods Forum
Topic: C# cointegration
Replies: 9
Views: 30115

C# cointegration

<r>QuoteOriginally posted by: alderonarinoI have been trying to get GRETL to compile as C++/CLI, but Visual Studio doesn't like the forward declarations.Please let me know if you find some C/C++/C#/Java code for VECM. I have some VBA code if anyone wants it. I didn't use gretl (yet) mainly because I...
by pentagram
January 11th, 2011, 10:32 pm
Forum: Programming and Software Forum
Topic: Quantlib, Visual C++ Express problems
Replies: 10
Views: 26523

Quantlib, Visual C++ Express problems

<r>QuoteOriginally posted by: HansiTried adding the boost dirs to the global vc++ directory listings? <URL url="http://quantlib.org/install/vc9.shtml">http://quantlib.org/install/vc9.shtml</URL> Yes, I have added boost's path in VC++, the lib paths in VC++, same for C/C++ tab. I do not get error eve...
by pentagram
January 11th, 2011, 10:08 pm
Forum: Programming and Software Forum
Topic: Quantlib, Visual C++ Express problems
Replies: 10
Views: 26523

Quantlib, Visual C++ Express problems

<t>I'm trying to compile Quantlib 1.0.1 using Visual C++ Express 2010.* I have added C:\Program Files\boost\boost_1_44\ in Project->Quantlib Properties->Configuration Properties->Include Directories* I have added C:\Program Files\boost\boost_1_44\lib in Project->Quantlib Properties->Configuration Pr...