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by DavidJN
November 24th, 2003, 5:46 pm
Forum: Student Forum
Topic: Volatilities in caps!
Replies: 3
Views: 189491

Volatilities in caps!

Iterative calibration is a numerical algorithm or procedure which chooses the short rate vol and mean reversion rate such that squared errors between actual prices and modelled prices are minimised.
by DavidJN
November 24th, 2003, 5:36 pm
Forum: Technical Forum
Topic: Numerical recipes in VBA
Replies: 11
Views: 191737

Numerical recipes in VBA

Try "Numerical Recipes in BASIC," by Julien C. Sprott, Cambridge University PressISBN 0-521-40689-7 (Book)ISBN 0-521-40688-9 (Diskette)Its an old book, so maybe try a library.
by DavidJN
November 20th, 2003, 7:58 pm
Forum: General Forum
Topic: Easter Day in VB code
Replies: 26
Views: 191766

Easter Day in VB code

See http://www.cpearson.com/excel/holidays.htm for VBA code for Easter and other holidays as well.
by DavidJN
November 20th, 2003, 3:12 pm
Forum: Student Forum
Topic: Modified Duration of IRS - Calcuation & Implication
Replies: 5
Views: 198845

Modified Duration of IRS - Calcuation & Implication

<t>rjwang,The statement that the Macaulay duration of the floating leg of a swap being equal to the time to the next reset is only true when the floating leg is ‘flat’, that is when there is no spread above/below the floating rate index.Assuming this, the logic works as follows. On every reset date ...
by DavidJN
November 14th, 2003, 6:11 pm
Forum: Student Forum
Topic: Caps quotation conventions
Replies: 12
Views: 190612

Caps quotation conventions

<t>In a spot-starting cap there will always be one less caplet than the term of the cap would otherwise indicate. For example, a 1-year spot-starting quarterly cap will have 3 caplets, the first staring in 3 months. This is because the rate for the first 3-month period starting today is already know...
by DavidJN
November 8th, 2003, 3:09 pm
Forum: Programming and Software Forum
Topic: Excel Add-in Source Code Security
Replies: 12
Views: 190195

Excel Add-in Source Code Security

<t>leo,Sorry to give you the news, but your VBA code is basically (ah, a pun!) a free resource to anyone you give your XLA add-in to. This is the downside of the open architecture of the Microsoft products that allowed you to build it in the first place.You have no real choice but to translate it in...
by DavidJN
November 2nd, 2003, 1:58 pm
Forum: Student Forum
Topic: What is calibration ?
Replies: 16
Views: 191642

What is calibration ?

<t>Yield curve models used to price fixed income derivatives are exactly that – you price a derivative by modeling the evolution of the entire yield curve rather than a single state variable like, say, the 5-year swap rate for pricing a swaption using the Black model.Yield curve models can have mult...
by DavidJN
October 28th, 2003, 6:32 pm
Forum: Technical Forum
Topic: T+?
Replies: 2
Views: 190025

T+?

Jacoan, are you asking about CAD LIBOR (which is traded in London) or CAD CDOR (which is traded in Canada)? CDOR settles T+0 if the trade is before noon, and T+1 when traded later in the day. By the way, CAD CDOR uses theAct/365 day count, whereas CAD LIBOR is probably Act/360.
by DavidJN
October 28th, 2003, 3:29 pm
Forum: Programming and Software Forum
Topic: Simple vba problem
Replies: 6
Views: 190225

Simple vba problem

<t>First, while you may have already done this, it is worth noting that you need to establish a reference to the Analysis Toolpack for VBA, specifically atpvbaen.xls.Next, there no need to loop through the elements of the data arrays in the spreadsheet. Try the following code instead.Sub test()Dim D...
by DavidJN
October 23rd, 2003, 2:39 pm
Forum: Technical Forum
Topic: yield curve section blending
Replies: 9
Views: 190086

yield curve section blending

<t>Agreed with MattF that a good curve building implementation should allow you to use either floating rate fixings or live quotes, although I always use the latter. Your swap algorithms should also allow you to either specify the first floating side rate fixing (assuming the swap is spot-starting) ...
by DavidJN
October 23rd, 2003, 2:17 pm
Forum: General Forum
Topic: Time to expiry.
Replies: 11
Views: 190264

Time to expiry.

<t>Re Johnny’s question about intra-day pricing of options coming in to expiry. In all my own software I define option maturities in terms of both a date and a time of day based on a 24 hour clock so that I can measure time premium up to the very last instant of an option’s life. There can be lots o...
by DavidJN
October 22nd, 2003, 6:31 pm
Forum: Student Forum
Topic: arb-free price v. market price
Replies: 2
Views: 189292

arb-free price v. market price

<t>Well, assuming that 1) the default-free term structure you provided is correct;2) the 6.9% coupon bond in question is also default-freethen, on a per $100 basis, multiplying the cash flows of the bond (four coupons of $6.9 and the return of principal) by the respective discount factors results in...
by DavidJN
October 21st, 2003, 5:18 pm
Forum: General Forum
Topic: Can anyone explain what these fields are?
Replies: 6
Views: 189992

Can anyone explain what these fields are?

<t>The major characteristic of the guys/gals in investment banking corp fin or m&a is that they wear really nice suits, talk about all kinds of things they may not know much about and are specialists in what is called due diligence, which in this context is a process-oriented set of procedures f...
by DavidJN
October 1st, 2003, 6:52 pm
Forum: General Forum
Topic: HOUSING BUBBLE
Replies: 6
Views: 190011

HOUSING BUBBLE

The Economist magazine a month or two (maybe three) ago had a special section devoted to the world property bubble. The US is by far not the worst in this area - Ireland and the Netherlands have had amazing housing inflation.
by DavidJN
September 30th, 2003, 7:14 pm
Forum: Programming and Software Forum
Topic: End our misery with C++>DLL/XLL/COM/Office Automation---->Excel?
Replies: 7
Views: 190361

End our misery with C++>DLL/XLL/COM/Office Automation---->Excel?

<t>Getting functionality directly into the spreadsheet is indeed pretty inelegant using COM. I worked through the COM thing a couple of years ago but abandoned it because, among other things, the resulting DLLs seemed large and slow compared to the old fashioned XLL route. Regarding Office Automatio...