<t>You're probably calculating the dates wrongly. Futures are designed so not to have gaps. The error might be generated by one of the following:1) you need to look at the underlying deposit Start/End dates, not the futures expiry. So for example Eurodollar futures are linked to a 3M libor deposit s...

<t>Isn't it just a scaling issue?you start by N(0,1) (Multivariate Normal)to get to N(0,Sigma) (Sigma being covariance matrix) you use choleski since N(0,Sigma) = Sigma^(1/2) N(0,1) in distributionSigma^(1/2) is your choleski decomposition of the covariance matrix. (any other decomposition will do a...

<t>I think if you need to get loads of data Async is the only way to go.your code will look likeDim WithEvents BLPRequest As BLP_DATA_CTRLLib.BlpDataDim TotalRequests as LongDim NRequestsReceived as LongDim BBActive as booleanSub GrabData......TotalRequests=.....NRequestsReceived=0BBActive=trueBLPRe...

<t>Hi,it really depends on the terms of the deal and on the exchange, as they have different rules. Check out a few websites like Euronext , Eurex, IDEM, MEFF, CBOT etc. You can go trough the rules and then trough some examples in the official press releases (Pretty much every exchange has a corpora...

<t>Hi Zoidberg,>Just one question for Gamanti (because I think you make a good point). >You talked about an "associate program run by HR." I've always known >that analysts go through a so-called analyst program. In my opinion, ?this is just so that after 2 years, they can conveniently say "sorry, en...

<t>The job market looks on steroids to me. Banks are paying 90-100k basic +30-40k guaranteed to Masters/Mba fresh out of school without a significant experience. and to be honest, I can't really see any real difference between a top undergraduate from continental Europe and the average breed coming ...

<t>Hi guys,I am looking for a good Freeware/Commercial Numerical Library to use in VB.NETI am a little tired to reinvent the wheel whenever I need to work with numbers.I'm looking for something that handles linear algebra, some time-series analysis/NonLinear Econometrics/simulation tools.I've seen a...

<t>I just found out there is a release of the Bloomberg API for .NET. Anyone started playing around with it?I'd like to hear the first reactions.The documentation looks very thin, but they should put more with the next release. There's the few usual example, and I guess I'll start from there. Regard...

<t>130Megs for an Excel sheet is a little of a record, and you will never know for sure if you data from bloomberg will update (Having to many bberg links tends to create weird problems), and your calculations are indeed completed.It really depends on the kind of calculations you are doing and if yo...

<t>I interviewed hell of a lot of Msc candidates from both King's and Imperial, and I had the strong impression that King's students were in general much better prepared.Might be a chance, but I think the sample was big enough to justify the conclusion.In terms of placement, I think the all the top ...

<t>I think Learner means something different.OLS you basically project your dependent variable on the linear space spanned by the independent ones.With the orthogonal regression, you look for the hyperplane that explain the maximum variance of both dependent and indepentent variables. It's very much...

<t>charlieo,the reason you use the spot price is because if the option is exercised that is the value of what needs to be delivered. You could also calculate a delta adjusted notional value, wich would be multiplier*spot*delta. It kinds of give you an idea of what's the maximum amount of stock that ...

Do you guys know what is the difference betweenProgramming Microsoft visual basic .NET version 2003 andProgramming Microsoft visual basic .NET (Core Reference)Both written by Francesco Balena?which of the two would you recommend?I am a fairly good VB6 programmer who neets to migrate to .NET

<t>Hi,The weighted average volatility of any index components is always going to be greater that the volaility of the index due to the effect of diversification. Only in case of perfect correlation you would have the two measures to give you the same number. if you estimate the stocks volatility mat...

<t>Hi guys,how do you calculate historic volatility for an IR Swaption?I came accross several different interpretations, and I wonder which one is most popularSay you have a 1Y1Y Swaptionwould you use:1) Standard deviation of the 1Y1Y Swap rate differences over a given period of time2) Standard devi...