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by xpatagon
July 10th, 2014, 3:05 pm
Forum: Student Forum
Topic: Cholesky matrix and triangular distribution
Replies: 1
Views: 3836

Cholesky matrix and triangular distribution

<t>Does it make sense to use a cholesky decomposition when some of the random variables are based on triangular distributions and not a normal distribution?I have a monte carlo simulation where some of the variables would probably be better modelled as triangular, but others by definition are normal...
by xpatagon
July 9th, 2014, 3:06 pm
Forum: Trading Forum
Topic: Home Trading Newbie
Replies: 18
Views: 6383

Home Trading Newbie

<t>Far from an expert, but a few pointers based on my own at times painful experienceMake sure your backtest includes spreads, commissions and slippage. It is not particularly difficult to devise strategies based on EOD or open/close data that look very profitable, but after including the aforementi...
by xpatagon
July 8th, 2014, 3:20 pm
Forum: Trading Forum
Topic: Commodity case
Replies: 10
Views: 10116

Commodity case

<t>QuoteOriginally posted by: tagoma(I'm not starting a new thread for that.)I strongly disagree with their statement.I interpret it as too much rain in Argentina and Brazil will cause global soybean supply to fall, so substitution effect to US beans offsets increases in US production, increasing pr...
by xpatagon
July 7th, 2014, 7:11 pm
Forum: General Forum
Topic: Are Asians Vanillas?
Replies: 10
Views: 4904

Are Asians Vanillas?

<t>QuoteOriginally posted by: berndLHi,in PWQF i can read that the asian options are the vanillas in the commodity market. I this view shared? To me it sounds plausible. But: Looking at BBGs Screens on WTI and Brent Options i view mainly Future Options (american Style).So i would like to ask a secon...
by xpatagon
July 3rd, 2014, 7:27 pm
Forum: General Forum
Topic: Are Asians Vanillas?
Replies: 10
Views: 4904

Are Asians Vanillas?

<t>Industrial metals are often priced as monthly averages, so asian options are much more common in these markets. If you look at the london metal exchange for example, their options (TAPOs) are based on the monthly average price, using a turnbull wakeman style model to calculate the price. In much ...
by xpatagon
June 20th, 2014, 3:23 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 2219
Views: 147811

Stupid question of the day

<t>QuoteOriginally posted by: tagomaWhere does the naming conventions for futures contracts, that is F = Jan, G = Feb, ... Z = Dec, come from?There is an official response from the CME to this question on this sites competitor board - according to them the answer is that the codes were assigned in t...
by xpatagon
June 17th, 2014, 2:07 pm
Forum: Careers Forum
Topic: cqf graduate not finding a job
Replies: 53
Views: 11978

cqf graduate not finding a job

<t>Sprinter, you seem to be well qualified, but the issue is not about your absolute qualifications, but your ability/qualifications relative to the competition. If you are applying to top tier international banks then they are receiving hundreds, if not thousands, of applications from people who ar...
by xpatagon
June 13th, 2014, 2:50 pm
Forum: General Forum
Topic: Question about number of observations to make a good sample.
Replies: 7
Views: 4544

Question about number of observations to make a good sample.

<t>Thanks for posting a reference about Nyquist-Shannon sampling RMax - I had not seen this before, and it is interesting.From my quick googling it would appear that NS sampling is closely related to fourier analysis. My (limited) understanding of fourier analysis in a financial time series context ...
by xpatagon
May 13th, 2014, 2:09 pm
Forum: General Forum
Topic: when entering a swap don't you increase the credit risk?
Replies: 3
Views: 4630

when entering a swap don't you increase the credit risk?

<t>Yes, in that circumstance the benefit you receive from the lower net loan payment has an associated credit risk. The credit risk is not matched against the loan though, but against the other leg of the swap, and my original comment still holds. If I have a much worse credit rating than the swap c...
by xpatagon
May 13th, 2014, 12:50 pm
Forum: General Forum
Topic: when entering a swap don't you increase the credit risk?
Replies: 3
Views: 4630

when entering a swap don't you increase the credit risk?

The counterparty also has credit risk with you. Whether or not you increase net credit risk depends on other factors like the comparative creditworthiness of your institution and the counterparty, netting/collateral arrangements and your process for calculating CVA/DVA
by xpatagon
May 6th, 2014, 7:37 pm
Forum: Student Forum
Topic: 3M LIBOR in different curencies
Replies: 11
Views: 5401

3M LIBOR in different curencies

<t>QuoteOriginally posted by: Kamil90QuoteOriginally posted by: Traden4AlphaThink about what you are hypothesizing for a minute. Are you suggesting that because there's 101 YEN to the USD, that the 3M YEN rate is 101 times larger than the 3M USD rate?yes, sure, I understand. But when they collect th...
by xpatagon
April 21st, 2014, 2:27 pm
Forum: Programming and Software Forum
Topic: R tricks
Replies: 49
Views: 12992

R tricks

<r>Excel incorrectly treats 1900 as a leap year - see <URL url="http://support.microsoft.com/kb/214326This">http://support.microsoft.com/kb/214326This</URL> explains one day, but I dont know where the other one is coming from, but I suspect it might be a time zone issue. I have heard that under some...
by xpatagon
April 9th, 2014, 6:52 pm
Forum: Student Forum
Topic: EWMA and Monte Carlo
Replies: 0
Views: 4711

EWMA and Monte Carlo

<t>As I understand it the "typical" EWMA decay factor of 0.94 was calculated by JP Morgan in riskMetrics assuming a drift factor of zero, permitting them to relate the squared daily returns and variance and hence minimize the squared deviation of the difference over a range of asset classes.Suppose ...
by xpatagon
April 8th, 2014, 8:07 pm
Forum: General Forum
Topic: Measuring risk
Replies: 15
Views: 6324

Measuring risk

<t>QuoteOriginally posted by: teaplus1, they rely on a set of crude worst-case-scenarios when they offer credit to hedge funds.They lending, not investing, so they are not protecting against mark to market changes but against the possibility of default. Hence, measures like VaR dont make a lot of se...
by xpatagon
March 18th, 2014, 1:46 pm
Forum: General Forum
Topic: Why do energy trading houses trade in metal?
Replies: 9
Views: 5573

Why do energy trading houses trade in metal?

<t>Im guessing that it is due to the high amount of energy required to produce certain metals - electrolytic refining is very energy intensive, so a priori I would expect a relationship between energy costs and metal prices. In practice though, given warehoused stocks and low energy recycling proces...
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