I came across different methods to convert price of a floater (or loan) to spread. For example, some people parallel shift spot curve to match current price, and some just assume all future coupons fixed to calculate yield to maturity. But, what is the market convention? Thanks.

hmerkinger,Thanks for your detailed explanation. I can get the graphic functions working in DLL. But, I still wonder if I can use the mcc command (as I don't have COM builder) to compile a COM object and integrate it with other client programs in MSVC. Thanks.

<t>Seems Matlab C/C++ graphics library is only officially supported to generate stand alone executable, not DLL. To compile into DLL, they recommend to use COM builder. But, I only have Excel builder installed. Can I use excel builder to compile a COM object and use it from C++ and how? Thanks. </t>

<t>I have written a matlab propram which will display some plots. Then, I compiled this in MS visual studio as a DLL. But, wheneven I call this DLL to the point that it displays the graph, it aborts. I traced in debugger, and it aborted at the point of calling the plot function.For example, the orig...

<t>Does anyone come across problem when calling a DLL from VBA which in turns needs to call other DLL's?For example, In test1.dll (the DLL I will call from VBA) , I have__declspec(dllimport) class myClass; //imported from test2.dllint __stdcall myFun(int x){ myClass anObj(x); return anObj.getValue()...

But, if I allocate memory to SAFEARRAY or VARIANT in my DLL, how can VBA delete the memory then? Thanks.

I want to compile a Matlab m-file to a COM and call it from C++. I can't find any example in the Matlab documentation to do it. There is only an example for calling from VBA. Can someone give me an example or point me to some relevant documents?Thanks.

Thanks DCFC. But if I have to return a matrix from a C++ dll to VBA, what data structure do you recommend? Furthermore, if I have to allocate memory for the matrix in the dll, how can I "delete" the matrix in VBA?

<t>HI,I want to pass a table structure stored as variant in VBA to a C/C++ function that returns the result to another variant type. Can someone give me an example of how to write the code in C/C++?Here is the outline of the VBA code.Declare Function someCFunction lib "model.dll" (a as variant, b as...

What do you think about the quant job markets in Hong Kong or Tokyo? It seems the opportunity for quant position is very slim there. Thanks.

Do you know any recruiters specialized in quantitative finance or risk management jobs in Hong Kong or Tokyo? Thanks.

<t>Thanks Aaron. But regarding the single correlation measure from (d), why are we interested in this number as we have got the basket vol from individual implied vols and the correlation matrix? Do you mean that people in practice take this single correlation as kind of "average" correlation among ...

<t>Can someone tell me how to price a basket option? If we assume each constituent follows log-normal distribution, the basket itself cannot be log-normal. To get the price "exact", I think we need to use monte-carlo simulation to simulate the constituent joint trajectories. However, is it a common ...

<t>I have a related question. Can someone tell me how to compute the probability that S will never go below certain threshold level throughout the period from t=0 to t=T? If we take S to be value of the firm and the threshold be default barrier, this will be survival (no-default) probability up to t...