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by DavidJN
February 18th, 2003, 8:14 pm
Forum: Student Forum
Topic: What bond is based on LIBOR?
Replies: 3
Views: 189710

What bond is based on LIBOR?

<t>relica,You may be referring to a Floating Rate Note (or FRN), which is a bond whose coupon is periodically reset to then-current short-term rates. An example might be a 5-year bond whose 6-month coupon is set every half year to the then-current value of 6-month LIBOR. Since the coupon is periodic...
by DavidJN
February 11th, 2003, 2:45 pm
Forum: Student Forum
Topic: Yield Curve Interpolation
Replies: 44
Views: 205845

Yield Curve Interpolation

Try the working paper on creating swap zero curves by Uri Ron on the Bank of Canada website. The author goes in quite a bit of detail on the three commonly used methods: 1) linear, 2) log-linear and 3) cubic spline.
by DavidJN
February 7th, 2003, 8:42 pm
Forum: Technical Forum
Topic: Pricing of Time option
Replies: 13
Views: 190966

Pricing of Time option

<t>Chee,A point of clarification for our readers. I believe what you are referring to is typically called an option-dated forward. The holder must take delivery of the foreign currency, but has a time option over when they choose to do so. I am not aware of any pricing models for this very complex o...
by DavidJN
January 13th, 2003, 8:28 pm
Forum: General Forum
Topic: Charity Yield Maximisation
Replies: 9
Views: 189919

Charity Yield Maximisation

<t>Gentlemen,I have been on the Board of a performing arts organization in Canada for more than 15 years. The most important advice I can pass on to you based on my experience is the following: to get rich people (and I mean really high flyers) to part with their money you have to give them somethin...
by DavidJN
January 10th, 2003, 1:00 am
Forum: Student Forum
Topic: bond option
Replies: 2
Views: 189590

bond option

<t>gman,If you have the right to cancel the loan by repaying the $1M principal at par, this just sounds to me like a callable bond, presumably with American-style exercise feature. When rates fall you can repay the loan and refinance. If rates rise, you laugh because you have borrowed at a rate unde...
by DavidJN
December 19th, 2002, 4:03 pm
Forum: General Forum
Topic: Commodity options
Replies: 10
Views: 191147

Commodity options

<t>sarastro,One really interesting thing you also have to get your head around when thinking about commodities and commodity derivatives is the concept of convenience yield. Convenience yield is defined as the benefit accruing to the holder of a spot commodity which does not accrue to the holder of ...
by DavidJN
December 11th, 2002, 2:04 pm
Forum: General Forum
Topic: Duration of a Swap
Replies: 14
Views: 196548

Duration of a Swap

Just for the record, the duration of the floating side of an interest rate is indeed fairly small and is equal to the time in years to the next floating side reset date.
by DavidJN
December 10th, 2002, 6:17 pm
Forum: Student Forum
Topic: Utility theory - help required ...
Replies: 6
Views: 189993

Utility theory - help required ...

<t>Anjali,Utility theory tends to be fruitful when looking at decision making at the micro level (e.g. how much would I be willing to pay to enter a certain bet or avoid a certain risk) but of much less use when thinking about market prices because it is difficult to aggregate across individuals whe...
by DavidJN
December 4th, 2002, 9:42 pm
Forum: Technical Forum
Topic: Captions and Floortions
Replies: 12
Views: 191135

Captions and Floortions

tbonds,Although their normal interest rate model is seemingly out of fashion these days, Hull and White wrote a slick little paper on captions and floortions including analytic solutions a while back. I have the paper somewhere but not at hand. Anybody remember this?
by DavidJN
December 4th, 2002, 9:21 pm
Forum: Technical Forum
Topic: Asian fx option pricing
Replies: 6
Views: 190356

Asian fx option pricing

<t>Try Edmund Levy's paper "Pricing European Average Rate Currency Options", Journal of International Money and Finance, 11(5), 1992, pp. 474-491. There is also a 1-page article in Risk Magazine in the mid-1990's by the same author and I also believe Mr Levy co-wrote a paper with Stuart Turnbull on ...
by DavidJN
December 2nd, 2002, 3:33 pm
Forum: Technical Forum
Topic: Multi-dimensional normal function
Replies: 10
Views: 192039

Multi-dimensional normal function

If you don't mind translating FORTRAN into another language that you might actually use, you can definitely find papers including code in the ACM Transactions on Mathematical Software (TOMS). Start from http://www.acm.org/.Good luck.
by DavidJN
November 30th, 2002, 4:01 pm
Forum: Programming and Software Forum
Topic: Excel Email
Replies: 46
Views: 193577

Excel Email

<r>jaiman,I found this VBA snippet somewhere which calls on MS Outlook to send an e-mail message. You could embed it in a macro which tests for the condition necessitating the e-mail. Apparently you will need to create a reference to the Outlook object library in the VB editor.Sub Send_Msg()Dim objO...
by DavidJN
November 12th, 2002, 10:45 pm
Forum: Programming and Software Forum
Topic: Control Excel Addin from VBA
Replies: 3
Views: 189748

Control Excel Addin from VBA

<t>Normally I work in C, but here is a real quick and dirty VBA answer that I put together to in five minutes to win a bet with a colleague. It is specifically tailored to a 3x3 matrix, but you can generalize it yourself.Suppose you want to return a 3x3 matrix (the output_matrix), where each element...
by DavidJN
November 12th, 2002, 9:37 pm
Forum: General Forum
Topic: Treasury Note Futures
Replies: 10
Views: 190324

Treasury Note Futures

<t>The implied yield in the futures should be higher since it involves a bond trade with delayed settlement. Any bond priced for forward settlement will have a higher yield in a positively sloped yield curve environment (assuming that the coupon on the bond is higher than the short-term rate of inte...