Hi,I am interested in educating myself more in Baesl II by way of obtaining a certificate in this field. There are many resources on the net but I am not sure about any of them. I am wondering if any one of you had any experience in this.ThanksS.

<t>Hi,I am testing a simple LMM set up, under Terminal Horizon measure, where both the input forwards and the vols are flat. I am using for the evolution of the forwards. I am expecting to getfor all vol levels and all Ts. The rate level is 5% and the time steps are 0.5. However, the test fails at v...

I don't think it is an overkill. If you don't want to calculate the daycount fraction EVERY TIME "before" envoking a relevant function like a discount calculator, I believe you need to pass the appropriate DayCount as a pointer to the Daycount base as an argument.

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: LucetiosCuchulainn, daveangleOne question, what was the advantage of using a pointer rather than reference inside the class for the purpose of the reference? You have both suggested this but I am not sure why.ThanksS.When you say ref...

<t>QuoteOriginally posted by: bojanBy the way, I think your revised example does not compile on newer versions of gcc. The reason is that you've misunderstood the scope in which enums are declared in c++.If you have: class wrapper { public: enum TYPES {DERIVE1, DERIVE2};}Than DERIVE1 and DERIVE2 are...

Cuchulainn, daveangleOne question, what was the advantage of using a pointer rather than reference inside the class for the purpose of the reference? You have both suggested this but I am not sure why.ThanksS.

daveangel,I agree with you. I was just trying to see if I could use a function to initialize a constant-to-reference on the initialization list. My poor choice of desing was mostly motivated by ease of the example.

Thanks daveangle.The main issue to explore for me is the fact that "to_hold" is constant and needs to be initialized at the constructor level but in a geric way.Any way, I fixed the problem. It was actually the way I shielded the default constructor. I take any advice for improvement.ThanksS.

By the time I am done in main, I would like "to_hold" of "w" to point to "derived1_". The compiler is complaining the way I set up the initializer. How would you propose to improve the code/design?ThanksS.

<r>I rest my case ...Under the new facility, the Federal Reserve Bank of New York will lend up to $200 billion on a non-recourse basis to holders of newly issued AAA-rated ABS for a term of at least one year. The Federal Reserve will lend an amount equal to the market value of the ABS less a haircut...

Thanks

<t>I totally agree with everyone in terms of capital adequacy of the banks. I used the term "repo facility" very loosely to simply provide a general idea. Imagine a firm with $1 asset with 20 cents cash and 80 cents AAA MBS notes and 80cents liability. However, now the firm needs to mark down its MB...

This is probably where I get confused. Doesn't turning the Bank's illiquid papers into cash, by taking the papers as collateral (even for more than the market value of the papers), make the bank more solvent?

<t>Why do governments are trying to buy the financial stocks or free the banks off their bad assets by simply purchasing them just to end up on their knees begging the banks to pass the buck to the customers?Why don't they just provide a repo facility to the banks for all the new and recent mortgage...

(data available for 1 year: 1 year swap rate, 1 year and a half: 1 year and a half swap rate, 2 years:2 years swap rate, 2 years and a half: 2 years and a half swap rate, 3 years:3 years swap rate)all swap rates are par swap rates starting the day the caps are quoted.