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by BrightDay
March 5th, 2014, 8:40 am
Forum: Technical Forum
Topic: How can one estimate GARCH(1, 1) parameters using Levenberg-Marquardt?
Replies: 6
Views: 37340

How can one estimate GARCH(1, 1) parameters using Levenberg-Marquardt?

<t>Hi Balazs / Boglarka,Thanks for posting the link to your article. I skimmed it and I would like to implement the algorithm to see how it performs for my calibration but I am lacking some fundamental education in optimization theory, so I need to study before tackling your article.Shamefully I got...
by BrightDay
March 20th, 2013, 11:51 am
Forum: Technical Forum
Topic: Swaption carry and roll-down
Replies: 8
Views: 12238

Swaption carry and roll-down

<t>QuoteI am wondering if I should expect any rate carry and roll-down for a instrument with optionality. The answer might be "yes". Then how should I calculate rates carry and roll-down for a swaption? same as a swap?Yes you would: the fact that you are moving in time still means that (with the ver...
by BrightDay
February 28th, 2013, 8:59 am
Forum: Programming and Software Forum
Topic: std::shared_ptr VS boost::shared_ptr
Replies: 7
Views: 10666

std::shared_ptr VS boost::shared_ptr

<t>The one from boost is the predecessor of the one from std. You can use either of them and their behaviour and performance should be comparable.In my case, I think I will be moving towards std::shared_ptr in the long term, but since we have a lots of libraries that are compiled under different arc...
by BrightDay
September 13th, 2012, 10:04 am
Forum: Programming and Software Forum
Topic: Excel tricks
Replies: 109
Views: 19393

Excel tricks

Are you very bored today?
by BrightDay
April 24th, 2012, 2:56 pm
Forum: Student Forum
Topic: stochastic calculus question
Replies: 10
Views: 13511

stochastic calculus question

QuoteYes it isThanks Eh for making me see the light. I scanned the original question too quickly and misunderstood what was asked. My apologies to Solas and Emac
by BrightDay
April 24th, 2012, 8:27 am
Forum: Student Forum
Topic: stochastic calculus question
Replies: 10
Views: 13511

stochastic calculus question

QuoteBrightDay has no idea what (s)he is talking about.Possibly, but the formula quoted is still not well formed
by BrightDay
April 24th, 2012, 6:46 am
Forum: Student Forum
Topic: stochastic calculus question
Replies: 10
Views: 13511

stochastic calculus question

Rho is of no importance since it's not even in the formula ;-) Also what is the "," operator? More importantly, what are you asking exactly?
by BrightDay
April 13th, 2012, 12:18 pm
Forum: Trading Forum
Topic: Curve Flattener/Steepener
Replies: 17
Views: 25291

Curve Flattener/Steepener

QuoteHow liquid are bermudan cms swaptions?Clearly a rhetorical question...
by BrightDay
April 5th, 2012, 4:37 pm
Forum: Student Forum
Topic: How to explain PCA to an option trader
Replies: 4
Views: 13544

How to explain PCA to an option trader

Just reply that it is a mathematical technique for dimentional reduction that will allow him to make even more money.It's all they care about.
by BrightDay
April 2nd, 2012, 1:09 pm
Forum: General Forum
Topic: Options on Curve Flatteners
Replies: 10
Views: 14752

Options on Curve Flatteners

Of course they do... Generally called "Conditional curve flatteners"... They are curve flatteners created not with a spread of swaps, but a spread of swaptions
by BrightDay
April 2nd, 2012, 8:54 am
Forum: Technical Forum
Topic: Quoting caps&floors as annuities
Replies: 0
Views: 13253

Quoting caps&floors as annuities

<t>As result of the credit crisis swaption are now quoted in the interbank in terms of their forward price at the option expiry and the premium is only paid on expiry.For caps&floors, I overheard a couple of traders mentioning that the market will move towards quoting caps&floors in terms of...
by BrightDay
March 26th, 2012, 11:20 am
Forum: Book And Research Paper Forum
Topic: Anyone read Market Models - by Carol Alexander
Replies: 32
Views: 198746

Anyone read Market Models - by Carol Alexander

<t>It seems to me that the following two books cover similar areas:Practical Financial Econometricsand Market Models: A guide to Financial Data Analysis.I am expecially interested into PCA, Time series analysis and estimation of volatility and correlations.I am tempted to go for the former because p...
by BrightDay
March 22nd, 2012, 10:51 am
Forum: Careers Forum
Topic: New Movie about Wall Street "Margin Call"
Replies: 76
Views: 30772

New Movie about Wall Street "Margin Call"

This thread wet my appetite and i think I'll go and watch it.Does anyone else share my feeling that if I had to write a list of best Wall Street movies, Trading Places would also come on top? (probably second or third place after Wall Street and Rogue Trader)
by BrightDay
March 19th, 2012, 2:22 pm
Forum: Careers Forum
Topic: New Movie about Wall Street "Margin Call"
Replies: 76
Views: 30772

New Movie about Wall Street "Margin Call"

QuoteI won´t complainBut you just did Enjoy Joyce!
by BrightDay
March 7th, 2012, 8:57 am
Forum: Technical Forum
Topic: EUR swap daycount
Replies: 1
Views: 14375

EUR swap daycount

Your mistake? Trusting Bloomberg!362 is fine
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