<t>Hi allI am trying to use an xll function in vba.This xll function when used in the Excel worksheet takes a range as an argument : ex =define_yc($A$1:$B25)However when I try to use this xll in vba with executeexcel4macro, I don't suceed to pass the range as an argument.So I transform the array as ...

<t>HiAssume we have at disposal historical returns for HF (at daily freq) and that we aim at finding the best fit for the distribution.That is to find the distribution class (Student-t, Levy...) and the parameters (dof...).What are the relevant steps to optimize this problem?1.Interpolate/extraploat...

As Trevor said, Sortino can be defined asS(r)=(mu-r)/sqrt(svar(r))with svar(r)=Int(-inf,r,(r-x)^2*f(x)dx)where f(x) =pdf of the return distribution

Black Litterman

easy use Reuters function in Excel instead of copy/paste (ex SSecurity Ssql...).but anyway Reuters' sucks.

FDAX is right (as always) when it's about trigonometry I suggest you to use imaginary notation:cos(x)=(eix+e-ix)/2sin(x)=(eix-e-ix)/2ithen you can derive almost all trig formulas but the one you're asking for

Yeah I was thinking about Matlab Excel builder since I need Excel as an interface oas well as dll...But you know just to know if there was something readily available (it's for a mock-up so I need to present it shortly )

Just to be curious, has someone ever tried to translate the numerical recipes into VBA codes???For instance the optimization function???Thx

nopi it's an estimator, take the standard dev of the log return as every body does.

Are u sure you have scaled your pdf?

I think you gonna have sampling issues....

WARF must what your looking forIf I remeber well, to compute WARF for instance take the proba of default (ten years) of each bonds corresponding its ratingWARF=Sum(RFi*Ni/N)Ni nominal of each bondRFi proba of default of each bond (10 years)N total nominal

<t>1. Local vol is sometimes called fwd vol.Local vol is more akin to fwd rate (see E Derman GS paper for a comparison).2. I am indeed not sure what you mean but you'd better forget it right away.3. Sin doesn't converge (Sinc does). If you have a problem make sure that your quasi random number are s...

Are you using the dll version or the xla?With the xla, when I input flat IVs, the resulting Localvol surf is not stable.So look first at the local vol it provides and if so put this product in the bin....

which Hull's formula are you referring to?