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by DavidJN
February 13th, 2019, 4:17 am
Forum: Programming and Software Forum
Topic: Excel C API question
Replies: 5
Views: 5047

Excel C API question

I've built my XLL add-ins using the Excel C API for ages but not lately, and I've forgotten a detail. The code line below assigns an error message string that will be returned by a function if a certain argument fails a certain error check: result.val.str = "\043Time_in_years must be non-negative!" ...
by DavidJN
February 10th, 2019, 4:49 pm
Forum: Student Forum
Topic: EASY QUESTION: Is futures / cash hedge dynamic or static?
Replies: 2
Views: 917

Re: EASY QUESTION: Is futures / cash hedge dynamic or static?

Google "tailing a hedge" or "tailing a futures hedge".
by DavidJN
January 14th, 2019, 11:40 pm
Forum: Off Topic
Topic: Quants in POLAND
Replies: 165
Views: 203941

Re: Quants in POLAND

"Who has a fascist government?"
Hungary. They've been there before, of course.
by DavidJN
January 5th, 2019, 2:38 pm
Forum: General Forum
Topic: Fixing offset in AUD swaps
Replies: 7
Views: 1072

Re: Fixing offset in AUD swaps

Commonwealth countries (UK, Canada, Aussie, New Zealand) tend to have a zero day lag, that is fixing dates are the same as value dates.
by DavidJN
January 2nd, 2019, 3:10 pm
Forum: Book And Research Paper Forum
Topic: The FLAW & HOW TO FIX CAPITALISM
Replies: 17
Views: 10729

Re: The FLAW & HOW TO FIX CAPITALISM

" yes this is an interesting topic, some we can find from option theory and practice." Indeed. I did that kind of research in the late 1980's and that is partly how I informed my opinion on the topic. Have you read any of the Free Banking literature? Kevin Dowd from the UK is one proponent of this i...
by DavidJN
December 4th, 2018, 4:04 am
Forum: Book And Research Paper Forum
Topic: The FLAW & HOW TO FIX CAPITALISM
Replies: 17
Views: 10729

Re: The FLAW & HOW TO FIX CAPITALISM

Limited liability is a fascinating topic. Assuming any private company ever had the wherewithal to sell it (which I totally doubt), what would the premium to buy limited liability insurance? I imagine it would be enormous. This being so, I have always thought that the corporate tax should be fairly ...
by DavidJN
December 4th, 2018, 3:57 am
Forum: Economics Forum
Topic: Seven Deadly Innocent Frauds of Economic Policy - Mosler Economics
Replies: 3
Views: 7897

Re: Seven Deadly Innocent Frauds of Economic Policy - Mosler Economics

It is fascinating reading, at first blush its hard to tell if the guy is the next prophet (profit?) or a nut. There seems to be a lot of the confidence fairy within it, I assume that would be the angle against it that Krugman would take.As for alternate theories of finance, I find the free banking i...
by DavidJN
November 25th, 2018, 4:17 pm
Forum: Numerical Methods Forum
Topic: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio
Replies: 9
Views: 2109

Re: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio

Especially back in older days with limited computing power, it was not uncommon for risk systems to use closed-form approximations  in the interests of reducing computation times. It is not unusual to see this still today when dealing with products requiring slow path-dependent valuation like you ar...
by DavidJN
October 14th, 2018, 5:06 pm
Forum: Technical Forum
Topic: Libor rates
Replies: 1
Views: 1092

Re: Libor rates

LIBOR stands for London Interbank Offer Rate. 3-month LIBOR is the rate that applies over a 3-month interbank loan/deposit.  3-month LIBOR is not a compounded interest rate, but is typically quoted as a money market rate with the actual/360 day count. So, the PV of $1 discounted at 3-month LIBOR wou...
by DavidJN
September 30th, 2018, 4:01 am
Forum: General Forum
Topic: Different Options Dividends Adjustment
Replies: 2
Views: 913

Re: Different Options Dividends Adjustment

Presumably the strike would drop at the ex-dividend date. I am pretty sure the old finance and investment textbooks used to suggest that the ex-dividend price drop may be less than the dividend amount due to tax effects. And I recall academics used to work that logic backward to estimate the margina...
by DavidJN
July 19th, 2018, 10:51 pm
Forum: Politics Forum
Topic: Trudeau the Groper
Replies: 39
Views: 13844

Re: Trudeau the Groper

Why the hack job on Trudeau? Because he is a Liberal? He is also a pretty tough guy, check out on youtube how be beat up a brutish and much physically larger Tory senator in a charity boxing match. The loser's name was Patrick Brazzeau, who, inexplicably had pending criminal cases and previous convi...
by DavidJN
July 19th, 2018, 10:46 pm
Forum: Technical Forum
Topic: Local Volatility
Replies: 4
Views: 1745

Re: Local Volatility

It is common in option modeling to differentiate between diffusion or volatility time, and the forward period for the underlying. The instant you execute an option trade you are exposed to price movements in the underlying even though a spot trade in the underlying made at the same time hasn’t yet s...
by DavidJN
July 14th, 2018, 2:57 pm
Forum: General Forum
Topic: Should You Pay More Than Assets Less Liabilities For A Company?
Replies: 8
Views: 1398

Re: Should You Pay More Than Assets Less Liabilities For A Company?

Get a copy of the undergrad corporate finance textbook textbook by Brealey and Myers and look up their stuff on PVGO - Present Value of Growth Opportunities. 
by DavidJN
March 19th, 2018, 11:31 am
Forum: Student Forum
Topic: Valuing Currency Forward ???
Replies: 10
Views: 10132

Re: Valuing Currency Forward ???

ppauper: I am not interested in any particular jurisdiction, just trying to throw some light on the poster's questions. So there is shade in America, imagine that!
by DavidJN
March 17th, 2018, 6:01 pm
Forum: Student Forum
Topic: Valuing Currency Forward ???
Replies: 10
Views: 10132

Re: Valuing Currency Forward ???

I didn't look at the reference provided by the previous poster, but a comparison of forwards and futures now needs to take into account whether the trade is collateralized. Collateral exchange makes a forward contract behave more like a future, although there is still a difference between the consta...
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