<t>Excel's function wizard has reasonably good formulae for the price/yield functions. Open Excel, bring up the function wizard for, say, ODDLYIELD (yield with odd last period), and click on the "Help on this Function" link in the lower left of the dialog box. The online help give the formula by whi...

<r>Don't bump the curve inputs -- shift the curve itself. See this thread: <URL url="http://www.wilmott.com/messageview.cfm?catid=3&threadid=85103&FTVAR_MSGDBTABLE="><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... SGDBTABLE=">http://www.wilmott.com/messageview.cfm?catid=3&th...

My first guess is that you are not using multi-curve pricing for your swaps/swaptions. Google "Multi-Curve Swap Pricing" for more info.

Respond with a compliment, not sympathy: "Your company is fortunate to have a hard-worker like you."

<t>There is a difference between the creditworthiness of an instrument and the creditworthiness of the index against which the instrument derives its price. As long as all of the calibrating instruments price against the same index, you should be OK. It's mixing instruments that derive their cashflo...

R11: Never get involved in a land war in Asia. -- but only slightly less well-known is this: R12: Never go against a Sicilian when death is on the line!

<t>I think there is a more fundamental problem here. Your option prices are for in-the-money options. ED options are American options with early exercise. The prices quoted are almost all intrinsic value. SABR and Black76 are for European options. The implied vols to which you are trying to fit a SA...

If you really want to anticipate future demand learn COBOL. Seriously. There's tons of business systems written in that sh!t and they guys who code it are dying off.

<r>Don't shift inputs to the curve generator, shift the curve itself. See <URL url="http://www.wilmott.com/messageview.cfm?catid=3&threadid=85103&FTVAR_MSGDBTABLE="><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... SGDBTABLE=">http://www.wilmott.com/messageview.cfm?catid=3&thr...

<t>A different way to attack this is to remove the profit incentive. Release data as usual but have a large transaction tax for all trades between T (the data announcement) and T + E (where E is some prescribed small time interval). In this way everyone gets the data and you have diminished the HFT ...

> What's the duration of a tenor basis swap?To first order, it is the difference in duration of the initial fixing on each side. With OIS discounting there are higher order effects.

<t>Stop storing your Date column as VARCHAR. Use a datatype native to the database for storing date/time or timestamps.If you are storing trades for one ticker at a time, get the tickerID once outside the loop and pass that in every time instead of the ticker string.Note that in general, writing to ...

<t>This reminds me of a Supreme Court DUI case decided a few months ago. As I recall, the police stopped a man for driving erratically. The man failed the field sobriety test but he refused to do the breathalyzer. So the policeman took the man to the nearby hospital where, against the man's wishes, ...

> other two components change each time AAPL changesTheoretically, yes. Practically, no. SPY and IYT are separately traded ETFs with their own bid/ask and own last trade prints.

<t>> for stocks like AAPL which he mentioned, there is a new price every millisecondYes, I know. My point was he wouldn't necessarily need to do the log calculation on the other two components each time AAPL changes.He always had the choice to throttle his updates to limit how often his signal value...