<t>Also note that the relative performance between equity and debt depends on whether the managment of a company favours shareholders or bondholders.e.g. a reduction in dividends to buy-back debt should disadvantage equity performance and benefit credit spreadsif of course a company goes to default,...

Better avoid using "Redim Preserve" inside a loop as it tends to slow things downCould oversize the array to begin with and then re-size it exactly after the loop is run, e.g.Redim x(1000)For i = 1 To n if bCondition then x(i) = i k=k+1 EndifNext iReDim Preserve x(k)

If "Wgt" is an object, as inidcated by the funsciton declaration,you need to useSet Wgt = ActiveSheet.Range("B1:B20")rater thanWgt = ActiveSheet.Range("B1:B20")In the absence of the "Set" keyword Wgt is assigned the values of the range rather than the range itself

<t>Further, you can use a MathCAD file programatically in VBA via the MCAD COMe.g.1) Start MCAD programatically2) Open MCAD file3) Pass input data from Excel to MCAD file4) Calculate5) Pass output data from MCAD file back into ExcelThis way you can combine data handling in excel and modelling in MCA...

Dear allCan you provide any material about methodologies to calculate the sensitivities of CDO squared, e.g. deltas, rhos, thetas etc ?Thanks and best regards

Stefanone,May I have a soft copy of this paper please.greg.gema@virgin.netMany thanks,Gregory.

<t>To pburns:You're correct, in the case you are comparing your portfoilio against a benchmark.I need to see the whole cloud of points not just the efficent frontier line.To jazzjulien:Did you somehow dispatch only part of your reply or are you not willing to share the algorithm.Generally:I find Ala...

Thanks to both.I will try out the methods.I'll keep you posted.

Do you have an efficient algorithm for generating random portfolio weights, Wi, that add up to a constant, e.g. sum(Wi)=1.I need it to calculate efficient frontiers.Preferably coded in VBA but I should be able to read any other language.Thanks and best regards,Gregory.

<t>Thank you all three for your replies.Apologies for the late responce; I've been 'snowed under' all week.dgn2, Can you recommend/provide a ready-to-use code library, preferably in VBA?Purpose: I would like to have a tool that can estimate the volatility of 'corporate spreads' timeseries which ofte...

What's the appropriate method for calculating the volatility of hederoskedastic timeseries with jumps (e.g. spread timeseries).Many thanks,Gregory.

What you've done is exactly what I meant.You need to transpose the [2,N] Array only if you need to output its values in a [N,2] Range.The syntax could be, for example:ActiveSheet.Cells(1,1).Resize(N,2).Value = Excel.WorksheetFunction.Transpose(Data)Best regards,Gregory.

VBA does not allow the 1st dimension of a 2dim array to be changed dynamically.A way around it is to work on a transposed array structure.Hope this helps.Best regards,Gregory.

I assume you are attempting to resize the command bar programmatically rather than interactively ( by the way, you can resize it interactively once it's created, TRUE ? ).I'm afraid I have no suggestions on this one.Good luck.

<r>Regarding the ineffectiveness of monetary policy in Japan since the burst of the bubble the following paper makes interesting reading:<URL url="http://www.federalreserve.gov/pubs/ifdp/2002/729/ifdp729.pdfBest"><LINK_TEXT text="http://www.federalreserve.gov/pubs/ifdp ... 29.pdfBest">http://www.fed...