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by BrightDay
March 1st, 2012, 6:59 am
Forum: Technical Forum
Topic: Swaption forward premium
Replies: 2
Views: 15761

Swaption forward premium

<t>I am surprised that the volatility is not already quoted considering a 2 curve environment at least in those markets where a liquid OIS swap market exists (hence inverting vols assuming OIS discounting and libor only for projection. Since this is already done for swaps, what is holding off the ca...
by BrightDay
February 28th, 2012, 10:15 am
Forum: Careers Forum
Topic: In a rut (C++ programmer)
Replies: 11
Views: 16283

In a rut (C++ programmer)

<t>QuoteOriginally posted by: ashkarWhat are the right programming skills?Writing clean and efficient code, generic enough that can be modified at later point without much effort still not too generic to lose the business logic of what it is trying to achieve.In other words write code thinking after...
by BrightDay
February 28th, 2012, 7:57 am
Forum: Careers Forum
Topic: In a rut (C++ programmer)
Replies: 11
Views: 16283

In a rut (C++ programmer)

<t>Long time since I heard the term merchant bank. Do they still exist? Don't loose your hopes. Start doing some background readings (something simple to start with like the Hull's book or Wilmott's On QF) so that if there is an internal opportunity for a developer's job closer to the front desk you...
by BrightDay
November 7th, 2011, 4:51 pm
Forum: Careers Forum
Topic: getting bonus after quitting
Replies: 21
Views: 22514

getting bonus after quitting

<t>QuoteOriginally posted by: SirrainDo you honestly think you will get a bonus if you resign before the numbers are out? Dude, I hope you are not in the trade strategy group.WAIT FOR NUMBER. WAIT FOR PAYOUT. TRANSFER PMT TO ANOTHER ACCT (OR WITHDRAW CASH). WAIT ANOTHER WEEK. GIVE NOTICE.Absolutely....
by BrightDay
November 7th, 2011, 3:34 pm
Forum: Programming and Software Forum
Topic: C vs C++ ...
Replies: 54
Views: 25063

C vs C++ ...

QuoteOriginally posted by: EtukaLintrun.And then someone else would have written a new language called Lintrun++, and he would have spent the rest of his time advocating the benefits of Lintrun over Lintrun++...
by BrightDay
November 7th, 2011, 2:08 pm
Forum: Programming and Software Forum
Topic: C vs C++ ...
Replies: 54
Views: 25063

C vs C++ ...

Quotea book based on assembly or binary programming Or maybe a book on Fortran programming; alternatively he would have invented a new open source language and he would have called it Lortran!
by BrightDay
November 7th, 2011, 11:18 am
Forum: Programming and Software Forum
Topic: C vs C++ ...
Replies: 54
Views: 25063

C vs C++ ...

I think Linus is not a very good programmer. If he was he would have written the linux kernel in Fortran.Fortran is much better than C++. Socket programming for example is awesome in Fortran!
by BrightDay
April 12th, 2011, 3:57 pm
Forum: Numerical Methods Forum
Topic: Missing Hump in the market cap curve
Replies: 3
Views: 23512

Missing Hump in the market cap curve

<t>You seriously expect us to be able to read your mind. You must be a trader.At least suggesting the currency would be useful... You are talking about the Surinamese Guilder (SRG), aren't you?Also what curve? Talking about vols I would think of surfaces, but I guess you are referring to a curve of ...
by BrightDay
June 28th, 2010, 3:28 pm
Forum: Careers Forum
Topic: Did anyone have an interview with Roy Demeo at MS?
Replies: 18
Views: 30245

Did anyone have an interview with Roy Demeo at MS?

Oh my goodness, you will need some fair amount of good luck...Roy Demeo
by BrightDay
July 28th, 2009, 7:54 am
Forum: Careers Forum
Topic: Citi's Title Hierarchy Question
Replies: 11
Views: 59906

Citi's Title Hierarchy Question

<t>I think it depends on which department of Citi you are in... I believe that there are still differences between progression in areas coming from the Citibank part and Salomon part...In some areas the levels are: Graduate->Analyst->Senior Analyst->Assistant VP->VP->First VP->Senior VP->Director->M...
by BrightDay
June 26th, 2009, 11:34 am
Forum: Student Forum
Topic: Discount factor curves
Replies: 14
Views: 40793

Discount factor curves

<t>QuoteEur swaps vs 3m are annual on the fixed leg, the float leg is 3m..Has it always been this way? I just checked our system and - as you say - we have annual always for EUR but I remembered either "Fixed Annual/Floating Semi" or Fixed Semi/Floating quarterly"...faulty memory, or have the market...
by BrightDay
May 18th, 2009, 4:04 pm
Forum: Programming and Software Forum
Topic: mersenne twister very slow as derived class
Replies: 34
Views: 46280

mersenne twister very slow as derived class

<t>QuoteOriginally posted by: Y0daQuoteOriginally posted by: CuchulainnWhy invent the wheel?Many authors (such as Jäckel) recommend that we create our own RNGs.I guess it's because it may be silly to trust someone else's RNGs justlike it's silly to take random models (like the Heston model) and trus...
by BrightDay
October 15th, 2008, 2:12 pm
Forum: General Forum
Topic: question regarding static replication of Binary Option/Digital Option
Replies: 11
Views: 60455

question regarding static replication of Binary Option/Digital Option

You are thinking like a quant in terms of non-existent theoretical prices, instead of thinking like a trader in terms of what you can find on the market to hedge your risk (i.e. on the market you won't be able to hedge the binary with an "infinitesimally" narrow spread).
by BrightDay
September 9th, 2008, 3:38 pm
Forum: Careers Forum
Topic: Quant Models on an IR Swap Desk?
Replies: 7
Views: 50580

Quant Models on an IR Swap Desk?

<t>QuoteSo it's all "Technical Analysis"?Of course not, fair value based on replication strategy are essential (starting with building a yield curve to price all your IR swaps, without with you cannot price anything). But once you priced your swap, the first thing you would worry as a trader is to c...
by BrightDay
September 9th, 2008, 3:19 pm
Forum: Careers Forum
Topic: Quant Models on an IR Swap Desk?
Replies: 7
Views: 50580

Quant Models on an IR Swap Desk?

Quotemight as well throw some head and shoulders, and channel rules in there as well......Indeed, why not?
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