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by DavidJN
September 2nd, 2003, 11:51 am
Forum: Programming and Software Forum
Topic: Significant decimal points in VBA
Replies: 3
Views: 189498

Significant decimal points in VBA

<t>I have been given a spreadsheet to vet with a range named “ThePrice” (a single cell, actually) and a VBA macro which reads the value of the cell using the syntaxP = Names("ThePrice").RefersToRange.Value, where P is dimensioned as a double.For some reason, the value of P is only showing to 4 decim...
by DavidJN
August 22nd, 2003, 5:18 pm
Forum: Programming and Software Forum
Topic: C++ Suite: Worth it?
Replies: 20
Views: 191686

C++ Suite: Worth it?

<t>Just out of curiosity, is the Watcom C++ compiler still available? It was a real drag to fight with (e.g. terrible code window GUI that crashed with alarming regularity), but if you hung in there and toughed it out, it would create executables that were nearly half the size of MS and run much, mu...
by DavidJN
August 22nd, 2003, 5:07 pm
Forum: Student Forum
Topic: Binomial model - equal probabilties
Replies: 10
Views: 190709

Binomial model - equal probabilties

If you look around the site www.mathfinancenews.com you will find somewhere there a reference to a semimar and paper which compares 9 (yes, nine) different ways of constructing binomial models.Wouldn't you prefer to use a trinomial tree anyway?
by DavidJN
August 21st, 2003, 1:03 pm
Forum: Programming and Software Forum
Topic: Valuation and Risk Management Add-ins for Excel
Replies: 7
Views: 190269

Valuation and Risk Management Add-ins for Excel

<r>For a big list of software and vendors, try Bob's Guide to Treasury and Risk Management Software at <URL url="http://www.bobsguide.com/Perhaps">http://www.bobsguide.com/Perhaps</URL> the best well known financial add-in is FINCAD. I myself find it a but clumsy, but it is pretty comprehensive. FEA...
by DavidJN
August 18th, 2003, 4:54 pm
Forum: Programming and Software Forum
Topic: process attached to file?
Replies: 3
Views: 189607

process attached to file?

In general, when you close your worksheet your macro will no longer be in memory. To get around this, you can make the macro an automatic macro, that is, one which automatically loads when you open the spreadsheet. Check Excel help for details.
by DavidJN
August 15th, 2003, 12:38 pm
Forum: Student Forum
Topic: Price and yield volatilities for bond options and swaptions
Replies: 16
Views: 210633

Price and yield volatilities for bond options and swaptions

Broker swaption vol quotes are yield vols. You can price simple European swaptions as a pure yield option using the Black futures option model and then “amortize” the result into a price option by multiplying by the value of a basis point on the underlying swap.
by DavidJN
August 15th, 2003, 12:14 pm
Forum: Student Forum
Topic: source code Java / C++ programms
Replies: 3
Views: 189768

source code Java / C++ programms

Come on! This one's too easy! Use Google next time.Try http://www.quantlib.org/Also try http://finance.bi.no/~bernt/gcc_prog/
by DavidJN
August 13th, 2003, 5:10 pm
Forum: Student Forum
Topic: Day Count/Day Roll applied to Swap Curve/IRS
Replies: 6
Views: 192813

Day Count/Day Roll applied to Swap Curve/IRS

<t>Not sure if this is exactly what you are asking, but you get the same forward rates regardless of whether you set DF(Today) = 1 or DF(Spot) = 1. In the case where DF(Spot) = 1, all the discount factors used to determine forward rates are larger than they are for DF(Today) = 1 by the same multipli...
by DavidJN
August 13th, 2003, 4:30 pm
Forum: Student Forum
Topic: How many types of yields out there? And what's the difference?
Replies: 4
Views: 190126

How many types of yields out there? And what's the difference?

<t>Street Method - the industry standard bond price/yield calculation method. Dirty price is calculated as the present value of future coupons and principal repayment per $100 par, with each cash flow discounted using compound interest. Accrued interest is subtracted from the dirty price to obtain c...
by DavidJN
August 12th, 2003, 1:22 pm
Forum: Student Forum
Topic: Day Count/Day Roll applied to Swap Curve/IRS
Replies: 6
Views: 192813

Day Count/Day Roll applied to Swap Curve/IRS

<t>Regarding date generation, good swap software allows you to either:1. specify the start date, a term in years or months and a payment frequency. In this case the set of payment dates will be computed going forward relative to the start date (subject to the date roll). This is most common. or2. sp...
by DavidJN
July 29th, 2003, 7:17 pm
Forum: Programming and Software Forum
Topic: Error handling
Replies: 21
Views: 190791

Error handling

<t>I've built some production quality windows calculators for structured bonds and found that data validation/error handling easily accounted for over half the code, maybe as high as 75%. Every input has to be checked for data type (are you expecting a number, a string, something else?) and then for...
by DavidJN
July 28th, 2003, 1:46 pm
Forum: Numerical Methods Forum
Topic: vba code for 3-D binomial array to value option?
Replies: 2
Views: 192210

vba code for 3-D binomial array to value option?

Also try Clewlow and Strickland, "Implemening Derivatives Models: Numerical Methods", Wiley Series in Financial Engineering, 1998. Good stuff there.
by DavidJN
July 24th, 2003, 8:28 pm
Forum: General Forum
Topic: which model for different options
Replies: 7
Views: 190070

which model for different options

<t>godfather,The point which I was (admittedly rather crudely) trying to make is that the proliferation of interest rate models has offered less in the way of progress towards understanding market dynamics than many had hoped for.One of the new risks facing risk managers is surely model risk. I vivi...
by DavidJN
July 24th, 2003, 12:26 pm
Forum: Student Forum
Topic: Common Structured Notes and Protections
Replies: 3
Views: 190240

Common Structured Notes and Protections

<t>A significant volume of equity derivatives transactions are designed to engineer tax arbitrage. For example, in certain jurisdictions equity swaps are used to send equity source income out of country without attracting withholding tax. For some reason a direct investment in equities attracts with...
by DavidJN
July 23rd, 2003, 2:05 pm
Forum: General Forum
Topic: which model for different options
Replies: 7
Views: 190070

which model for different options

Why do quants create new interest rate models? My own opinion is that the answer to this question is the same as the answer to the question why does a dog lick its genitals? …. because it can!