<t>HiThanks for your response. When u say u have live experience (product manager), do u mean u are a user (i.e. client) or "seller"? :-)If u are a user, can u tell me what do u use it for (asset classes, trading/hedging, risk management or something else)...we have had trouble finding live users in...

<t>HiDoes anyone have any experience regarding KSP (Kondor Structured Products).Our trading/front office system is Kondor+ and we are exploring KSP (not yet decided whether we should take it or not)...we also have been using NumeriX for few years (so that part is familiar to us)So if anyone have any...

actually no...I have a spreadsheet based solution, but it's quite slow...My interest is to write this in VBA (so that all calcs on done on the code and only the final value's are returned to the spreadsheet.

...here's a spreadsheet example

...of course the maturity is 4 years (because after 4 years there will be no more indices left)...my mistake

<t>HiI have a small problem implementing a VBA pricing code for the following Best/Worst of Eq Index Structure.The maturity of the structure is 5 years. There are 4 underlying indices. There is semiannual averageing of each index, but every Year (i.e. annually) the best running average performance i...

<t>I have a problem pricing the following swap. Swap is semiannually amortizing 30Y contract. At every payment date (payer point of view) there is a minimum amortization amount, but the (fixed rate) payer has the option to extra amortization accordin to minimum notional schedule. If the payer choose...

joshuacould You pls send a copy to petri.kangas@kolumbus.fi...thanks

<r>Check this out: Limiting Loan Loss Probability Distribution by Vasicek. Articel is available from Moody's KMV (<URL url="http://www.moodyskmv.com/research/portfoliotheory.html">http://www.moodyskmv.com/research/portfoliotheory.html</URL>).This model assumes that the portfolio is homogenous (PD, s...

By the way...the thesis Veegan mentioned can be downloaded (along with excel woorkbooks, VBA codes etc.) fromhttp://www.lbn.dk/master/Kane

<t>Here's a word document containing formula and my VBA implementation for discretely sampled geometric asians...just copy-paste to your excel workbook (VBA module) and try itSince this is for educational purposes only: Use at your own risk! (please let me know if you find any errors)...allthough I'...

<t>Thanks AaronQuoteOriginally posted by: AaronI assume you mean "Si(T)/Si(0)-1 is replaced with 0.1," not 10.Of course...my mistake...QuoteOriginally posted by: Aaron I don't think there's a simple way to price this. I don't see any simplification tricks in theory, and in practice it is highly depe...

<t>Hi AaronThe knockout barrier is usually higher than rebate but same for all stocks.For example: let's assume that all stocks prices are 100 at t=0 (start date), the knockout barrier is 150 and rebate is 10 (no cashflows until maturity). There are 10 stocks in the basket (equal amounts). At maturi...

<t>Here's one example (in two dimensions)Let's assume that You wish to generate to random variates (y1 and Y2) with correlation matrix R = 1 r r 1The Cholesky factorization (in this case) of R is given by C = 1 0 and C' = 1 r r sqr(1-r^2) 0 sqr(1-r^2)Now say that z1 and z2 are two independent random...

<t>It actually doesn't ...you can use both but you must be careful in what order of multiplication...When simulating gaussian random numbers in Excel (or another spreadsheet) you usually have your results going down the spreadsheet then you transform independent rands using upper triangular (at leas...