transform to standard normal density and truncate the interval to a finite range, e.g. [-6, 6]

VC++ 6.0 doesn't have min and max in <algorithm>. You need to write your own.

short calendar spread?

<t>QuoteOriginally posted by: bluehonourSuppose you are asked this in an a job interview. Will you remember the formula for vega of Euro call? Will you just say its vega is non negative? How will you respond if the interviewer asks "prove that vega is nonnegative"? This is a real interview question,...

<t>QuoteOriginally posted by: bluehonourHi Everyone,Title says my question. Suppose you have a european call option that we price using BS formula. How can we prove that its price is increasing in volatility (sigma)? I do know the intution behind it so please don't make intuitive arguments. I want t...

<t>QuoteOriginally posted by: ScorpioSCan someone help me on how to perform a numerical integration with two integrals in Matlab using the quadl library? I know how to do it for one integration, but when the integrand involved another integration whose integrand involves the integrating variable of ...

<t>QuoteOriginally posted by: asdI have an array eg., x=[x1 ; x2 ; x3]I want to caculate running total arrayeg., y=[x1 ; x1+x2 ; x1+x2+x3]Can someone please suggest if there is some command or function to do this? (I am doing a loop now, and wondering if there is a better way)cumsum() is the functio...

<t>Mix len(), left(), right(). Maybe others have more elegant ways.QuoteOriginally posted by: brontosaurusI have a cell with a string of digits of unspecified length, say 12345.I'd like to create a cell for every digit in the string to be in on it's own. So if A1 = 12345 then I want A2 = 1 A3 = 2 et...

<t>QuoteOriginally posted by: noyghouWas curious about this vector<vector<double> > thing which can be used to implement variable size matrix. Tried it but a run-time error occurred on the following line ... vector<vector<double> > mtxM; mtxM.reserve(5); for (int i = 0; i < 5; i++) { mtxM.reserve(6)...

<t>I would do this,void Get_Arrary(const string file_name, <vector<vector<double> >& MyArray) {//Open file_name and copy all the relevant data into myarray}QuoteOriginally posted by: hgeorgakoGreetings,My problem involves the reading of a comma seperated text file with ~25000 lines and 8 columns...

1% USD means 1% of the face value. So the answer is b) 500 mio / 120 * 1% ( using the strike rate of the option to convert the notional amount).

It will depend on EUR/JPY.

The S language is actually developed by Chambers at Bell lab.Also, S+ runs on windows as well as unix/linux.