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by Mercadian
May 16th, 2022, 1:41 pm
Forum: General Forum
Topic: Interpolation between two matrices
Replies: 3
Views: 727

Re: Interpolation between two matrices

Hey Sharper,

Could you elaborate a bit more on your question? are the two matrices for two different dates? or for two different debtors? Also why are you trying to interpolate them, missing data?

M
by Mercadian
May 16th, 2022, 1:27 pm
Forum: Student Forum
Topic: AI/ML assorted questions
Replies: 3
Views: 937

Re: AI/ML assorted questions

Hi Alan, Bearish, Thanks for your thoughts, yeah I've seen some retail banking applications of AI, also some ANNs used for prediction based on text input only (ratings, fed moves etc) as well as networks trained with valuation models to speed up PFE, VA and other risk calculations. The thing is I'm ...
by Mercadian
May 10th, 2022, 5:30 pm
Forum: Careers Forum
Topic: Oxford Algorithmic Trading Programme reviews
Replies: 3
Views: 1581

Re: Oxford Algorithmic Trading Programme reviews

As per the title, I am looking for qualified reviews/feedback about Oxford Algorithmic Trading Programme.  Dry but direct question: is it worth the cost/commitment ?  Here is the link:  Oxford Algorithmic Trading Programme Does it have a known value on the CV ?  Online I can only see a couple of pr...
by Mercadian
May 9th, 2022, 8:28 pm
Forum: Trading Forum
Topic: Wow!
Replies: 15
Views: 5527

Re: Wow!

sorry, I can't resist commenting here... should we really be surprised?  https://www.federalreserve.gov/monetarypolicy/bst_recenttrends.htm It's really meaningless, though. If the M2/M3 haven't been doing their job in providing liquidity, then the FED intervenes by pumping M0. M2 has a total supply...
by Mercadian
May 9th, 2022, 6:53 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 2761
Views: 248237

Re: Stupid question of the day

Sun: Yes. But same for front and rear, see below Headwind: I like it! Heat: Another good one. From light bulb or engine? Clear poly: I am comparing clear front and clear rear. But I don’t know what they are made of Geometry: This will affect sun exposure and wind. But I have upper and lower front l...
by Mercadian
May 9th, 2022, 5:00 pm
Forum: Student Forum
Topic: AI/ML assorted questions
Replies: 3
Views: 937

AI/ML assorted questions

Hi All, I have to admit that I'm not very familiar with the specifics of AI and ML, I have a 100k feet understanding of it and I'm considering whether or not I should devote time to learn some of these tools. The way I see it its a combination of Applied Statistics, Probability and Computer Science ...
by Mercadian
May 9th, 2022, 4:43 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 2761
Views: 248237

Re: Stupid question of the day

Why is it only the front lights on a car that oxidize and go yellow, and not the rear?
I suspect a number of factors:

- Sun and Headwind exposure
- Heat from usage
- Clear Polycarbonate with lower UV filtering
- Lamp Geometry
by Mercadian
May 6th, 2022, 5:58 pm
Forum: Trading Forum
Topic: Commitments of Traders
Replies: 5
Views: 1141

Re: Commitments of Traders

Commodities and Colombia in the same thread... my eyes are wet. I've always wondered why you have a Medellin flag as a profile pic. Indeed Colombia is a COMM exporting economy to give you an idea the exports mix is sth like: Oil ~25% Coal~15%, Gold~10%, Coffee~10%, Bananas and Flowers ~10%, the res...
by Mercadian
May 6th, 2022, 1:54 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the typical assumptions for quant models for each asset class and what distortions do they produce?
Replies: 7
Views: 4395

Re: What are the typical assumptions for quant models for each asset class and what distortions do they produce?

Very nice thread, I'll try to add some low hanging fruit from time to time (be it ripe or spoiled). - Local Volatility: Vol is not constant but a deterministic function of s(t) and t. (Dupire,1994), (Derman, Kani ,1994) - Stochastic Volatility: Vol is not constant but a stochastic process (Heston, ...
by Mercadian
May 5th, 2022, 4:40 pm
Forum: General Forum
Topic: Bond PnL
Replies: 5
Views: 942

Re: Bond PnL

....  What is the need to add the discounting portion to it? This has several points of view, but to me at its core its the simple yet fundamental principle that you need to take into account the time value of money for the future cashflow that will result from the settlement. Others come from the ...
by Mercadian
April 29th, 2022, 8:20 pm
Forum: Trading Forum
Topic: Commitments of Traders
Replies: 5
Views: 1141

Re: Commitments of Traders

Hey HP,

I'm not sure I've seen COTs (as I understand them = CFTC report) being used as a leading indicator for USD/COP but... maybe synthetically via oil futures?

What other variables are you using? and what's the scope/purpose of the prediction?

Regards,
M
by Mercadian
April 5th, 2022, 6:37 pm
Forum: Student Forum
Topic: Basic curve building - estimation curve
Replies: 4
Views: 1037

Re: Basic curve building - estimation curve

Hey 1bp,

Great to hear, curious about what system you were using is it a Vendor solution or inhouse? 

Rgds,
M
by Mercadian
April 5th, 2022, 2:14 pm
Forum: Student Forum
Topic: Basic curve building - estimation curve
Replies: 4
Views: 1037

Re: Basic curve building - estimation curve

Hey 1bp, Do you think you can add a couple of screenshots of what you're looking at? a picture is worth a thousand words. Some questions that might help: 1. Is it a USD-TRY FX Curve? built with Xccy Swaps? or FX Swaps? both? 2. What do you consider your base/funding/risk-free currency? USD or TRY? i...
by Mercadian
March 30th, 2022, 8:20 pm
Forum: General Forum
Topic: Repo P&L
Replies: 3
Views: 1045

Re: Repo P&L

Hey Jericho, Here's what I think your two systems are doing: PV(GBP): 42874661  INT(GBP): 42874661 * 0.10% * 4/365 = 469.8592... probably your 470 FV(GBP): 42875130.8592.... PnL (GBP) = PV(GBP) - FV(GBP) = 470 GBP PV (USD) = 42874661 * 1.3392 = 57417746.0112 FV (USD) = 42875130.8592.... * 1.3415 = 5...
by Mercadian
March 30th, 2022, 7:46 pm
Forum: General Forum
Topic: Internal offsetting OTC trades
Replies: 5
Views: 1013

Re: Internal offsetting OTC trades

Hey Jericho, I would agree with the PM, if possible it would be preferable to do an internal risk transfer than an actual trade vs the street, I've seen it done before many times. To me there are always three key questions with regards to this: 1. Do the strategies or portfolios warrant/require the ...
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