The most concise treatment I've found Antoon Pelsser's book!! And very readable.

<t>Hi, I guess a simple beginner's question:Suppose I want to price a structure as follows:MTN, in USD, step-up coupon with Bermudan calls.MTN is swapped into EUR, the USD (receive) leg replicates the MTN structure including the calls, the EUR leg is just 6M Euribor +/- xy bpSuppose I had the flexib...

<t>I have a question regarding Monte Carlo simulation with structured products (MC in MC)To evaluate future exposure for e.g. swaps we MC-simulate scenarios (interest rates and FX rates) for certain horizons (e.g. 1Y) in the future and using these the pricing engine prices the swaps at these future ...

Thank you both very much - this will get me started!

Can anyone tell me where I can find a list (as far back as possible) for US and Target holidays for the last years? I have access to Bloomberg and Reuters but anything else will do.I would like to construct historic yield curves and would need that data.Any help is appreciated...ThanksD.

I think Antoon Pelsser's book is a good place to start. It's short and well written. Reading it is a good way to get acquainted with what models there are etc. without going as much into detail as Rebonato & Brigo,Mercurio. i would read them afterwards.

<t>Thank you all very much for the many suggestions and book recommendations. That will definitely get me started. rg. Brigo & Mercurio's book, I think that they want to fit (or infer) a correlation matrix from swaptions (correct me if I'm wrong) but I would like to use a historical one but than...

<t>ok, if nobody else ever had the problem, let me ask differently and try again.say you simulate 10 random numbers. then you construct a matrix b by having one column of sinus(random number 1 to 10) and the other of cosinus(1 to 10) as in: line 1 of the matrix: (sin(random number 1), cos(random num...

Thanks asd, I have a couple of implementations of conj grad but none of the are for non-linear problems. do you think I can use octave to solve my specific problem?ThanksD.

<t>Well...I would like to solve the following problem:I construct a model correlation matrix (an example I would like to generalize) as follows:1) simulate 10 random numbers (angles).2) construct a matrix b with first column sin(random number 1 to 10) and second column cos(random number 1 to 10)i.e....

<t>Hi!I would need to solve a problem using the nonlinear conjugate gradient method. I found a document by Jonathan Richard Shewchuk which introduces these methods probably as easy to read as possible. Is anyone aware of a document or book where the method is introduced with a worked example(s)? Whi...

Thank you very much, this will get me started. It is the Conjugate Gradient method for linear problems. I was actually looking for the nonlinear method but hopefully I will be able to edit the code...or find the nonlinear code as well.ThanksD.

Hi!Is anybody aware of nonlinear conjugate gradient (for matrix nonlinear minimization) code for Matlab? Thanks a lotD.

orangeman44 QuoteIs there any VBA code for PCA anywhere?I believe I saw a s/sheet posted on this forum once. search through the archived posts, I think you should find something.

<t>This is the VBA code to price a cap. Copy and paste it into the VBA editor, then you can use this function in Excel. It's very easy to implement and modify to price floors, swaptions...Hope this helps.Public Function Black76Call(F, X, r, tau, sigma)Dim DOne, DTwo, NDOne, NDTwoDOne = (Log(F / X) /...