Bloomberg certainly has this, for a fee as you say

I recommend W Krzanowski's Principles of Multivariate Analysis OUP Second Edition as a practially focussed book that also covers the technicalities if you want them.

Thanks.

In the BGM chapter (10), one of the constraints Rebonato puts on the B(i,j) matrix is that the column vectors should be orthonormal.I can't see a reason for this.Does anybody know why?Thanks

<t>Foyles has changed a bit. The Maths department has moved to what seems like a smaller space but it is probably still the best if you want to have a look at a book before you buy it (providing you know the publisher and, in the case of Springer, the series). There is (or when I last asked poss 1 y...

It's worth checking out .NET which (supposedly) allows you to use classes written in VB, C++, C#, Javascript together.

<t>You might be mixing steps together. Green's function solves the heat equation. To get the heat equation from BS you have to do some transforms. So any solution to heat equation can be used to solve BS using the same transforms. But you don't actually "use" Green's functions to do the transform. <...

<t>Briefly there are (to my knowledge) three different types of product. Traditional Zero + Call structures which are delta hedged in the normal way (often the provider prefers a managed account for this but not always). Obviously there are difficulties here eg redemption notice periods etc. Then th...

<t>If you have access to a library, Kevorkian's book Partial Differential Equations (Ch 1) gives a good explanation of all the analytical techniques used to solve diffusion equations, including Green's functions.In very brief (and from memory) it is a technique that finds a the solution to a simple ...

<t>It depends on the context. In the context of credit ratings it is as FDAX says. In general probability theory it is used to describe the probability distribution between two time points.For example if you have a diffusion process with S = S(0) now then the probability distribution at S(t) is desc...

<t>I think this should be quite easy. Everything R returns is an object. So just define a variable and assign the returned object to it. eg:ADF_variable <- {whatever your expression is}Then you will be able to access ADF_Variable components either by name (preceded by a $) or by number. [I've not us...

<t>I don't think 2) is right, there would be no point - if you receive a pari passu bond it would be just as worthless.The two possibilities I am aware of are physical settlement or cash settlement.In physical settlement you put the reference bond OR a pari passu bond to the seller and get par.In ca...

Thanks for the pointer Jens - .NET Programmers Reference only lists the functions for System.Math and not .PI so I didn't realise it was actually there.I will check out your other link too...

Has anybody found stuff like pi, normal distribution etc. in the SDK, or do these all have to be written?

If you get Clewlow & Strickland's book that gives you VBA code for BDT which you can calibrate to the interest rate and volatility curves.