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by gc
November 13th, 2013, 12:25 pm
Forum: Programming and Software Forum
Topic: O(N)
Replies: 19
Views: 7021

O(N)

<t>QuoteI wonder if no one learns O(N) notation because today's computers are so much faster than those of yesteryear. Dominic: I share your feeling of fright: the O(N) and o(N) notations are fundamental in the first course of calculus, so even if one hasn't seen it in programming (I have seen it ap...
by gc
October 9th, 2013, 1:30 pm
Forum: Student Forum
Topic: swap carry question
Replies: 3
Views: 6658

swap carry question

<t>1) 1y carry = r(1, 9)-r(0, 10)2) 1y carry = (r(0,10)-libor fixing)/(swap dv01)Both are, provided you are careful by what you mean by "swap dv01". With some simple algebra you can show that the two definitions are equivalent (I can see if I still have the note I wrote some time ago to convince mys...
by gc
September 26th, 2013, 1:25 pm
Forum: General Forum
Topic: 3 month libor vs 6 month libor
Replies: 3
Views: 8261

3 month libor vs 6 month libor

<t>I second DavidAngel, and add the classic "economic" reason.Who lends you the money for 6m loses the possibility to use it in 3months (should they need it). So they will probably want some reward in terms of higher rate to be indifferent to give it for 3m (and think again if he wants to lend it ag...
by gc
September 17th, 2013, 4:36 pm
Forum: Student Forum
Topic: BBG swap rates quotes
Replies: 9
Views: 6450

BBG swap rates quotes

<t>QuoteOriginally posted by: Kamil90QuoteOriginally posted by: Martinghoul<br Why don't you think about how this might work and how exactly a dealer would be able to benefit (let's assume this is occurring during a normal mkt environment, when I, as a dealer, do not know what flow is coming my way)...
by gc
September 13th, 2013, 5:05 pm
Forum: Careers Forum
Topic: Voluntary redundancy
Replies: 22
Views: 10131

Voluntary redundancy

In any case I don't think there is any stigma associated with redundancies; they happen a lot in the current climate also to good people with good skills. Not many managers would be too bothered if the impression they have from the interviews is good.
by gc
September 9th, 2013, 3:56 pm
Forum: General Forum
Topic: Please help us find a good name for our Team!
Replies: 14
Views: 7737

Please help us find a good name for our Team!

<t>"Research" is at times a forbidden word because regulators may associate you with publication aimed to outside companies and you then need the legal & compliance to shield you from them.How about something on the lines of : "Quantitative Solutions"?You have the wold "quantitative" that used t...
by gc
August 21st, 2013, 3:35 pm
Forum: Programming and Software Forum
Topic: OpenGamma - avoid it
Replies: 33
Views: 15799

OpenGamma - avoid it

<t>Thanks for the comment. I wondered if they used QuantLib to avoid rewriting some of the pricing models.My impression using QL years ago was of an extremely well written and useful library so from my experience, just because something is free, it doesn't mean it is not good.I haven't looked in Ope...
by gc
August 21st, 2013, 7:33 am
Forum: Student Forum
Topic: ATMF vs ATM spot
Replies: 7
Views: 7871

ATMF vs ATM spot

<t>I believe that the fundamental difference is whether one uses the BlackScholesMerton or Black76 framework.The formulae are deceptively similar to the point that it is very easy to think as Black76 just as BSM with a cosmetic adjustment, but the concept behind the two models is fundamentally diffe...
by gc
June 28th, 2013, 2:52 pm
Forum: General Forum
Topic: nicholas nassim taleb jealous
Replies: 119
Views: 15812

nicholas nassim taleb jealous

<t>QuoteOriginally posted by: GamalLearn a bit about Giordano Bruno, pls.With pleasure, he was an amazing thinker and the historic period he lived in, one of those I find most fascinating; brushing up that topic in philosophy so many years after I last read about it will be good.In the course of his...
by gc
June 28th, 2013, 11:55 am
Forum: General Forum
Topic: nicholas nassim taleb jealous
Replies: 119
Views: 15812

nicholas nassim taleb jealous

<t>QuoteOriginally posted by: GamalStars are angels and the Earth has a thinking soul. And lots of similar "important and true" stuff. Sorry dude, I'll remain skeptical about all that.You need to judge his contribution in the context of the times he was living in. He lived in an era where superstiti...
by gc
June 28th, 2013, 10:07 am
Forum: General Forum
Topic: nicholas nassim taleb jealous
Replies: 119
Views: 15812

nicholas nassim taleb jealous

<t>QuoteAnd what did the Giordano Bruno say so important and true?We aren't in the centre of the universe and lots of similar reinassance heretic stuff. Luckily we have religions to protect us from smart philosophers and scientists.Bruno was quite an amazing philosopher and he probably helped to sha...
by gc
June 24th, 2013, 12:13 pm
Forum: General Forum
Topic: nicholas nassim taleb jealous
Replies: 119
Views: 15812

nicholas nassim taleb jealous

<t>QuoteI would like to ask a question to some experienced quants. It seems quite easy (to a newbie like me) to propose alternative models taking into account the fat tails.I am writing just two lines because I am afraid to derail the thread (It's better if you search for other threads or open a new...
by gc
June 19th, 2013, 8:21 am
Forum: Careers Forum
Topic: Provisional Offer letter
Replies: 13
Views: 10698

Provisional Offer letter

<t>Stay put and remain calm.From my experience people will give you a formal offer once they selected you and all the bureaucracy connected to the hiring and head-counting is solved. Provisional offers aren't common and are generally due to some problem between the hiring team and other parts of the...
by gc
June 3rd, 2013, 3:22 pm
Forum: Trading Forum
Topic: Swap/Swaptions Trading for Dummies
Replies: 32
Views: 26388

Swap/Swaptions Trading for Dummies

<t>QuoteOriginally posted by: seanmokNo, I don't think so.Actually I think this quote is for callable bermudan swap, so 50/58 could be the bid/offer strikes. But not sure what +1 is. Can anybody help?Are you sure that 50/58 is not the price of your bermudean swaption and 1% is the fixed rate on the ...
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