Quote...but I never use antithetic sampling, and rarely use anything other than Sobol' numbers Is there a reason behind your choice (it didn't work for you) or just never had the opportunity? Also, my understanding is that Sobol numbers are a bit complicated. Do you agree?

FYI, I have seen the official paper been quoted as:Bruno Dupire, Pricing with a smile, Risk, Jan. 1994, pp. 18-20. Does any one have a copy of that?

Why Bond Futures, and Swaps/FRA's have vegas but, Swap futures, and Short futures have no vega?!

Thank you for taking the time and "painting" the picture for us in such detail!

Quote...We're going to use c# in our upcoming project...Is this to evaluate performance of C# with the intention of switching to it in the near future, or because C++ could not hack it, or just for kicks, if I may ask?

Cool! Thanks a million Aaron!

<t>I am trying to create a default probability curve for company X. What I have most readily available to me is their corporate bond spreads, but I have the flexibility of using some thing else within reasonable limits. I know how to calculate a default probability number from a bond but I have two ...

<t>QuoteOriginally posted by: IcecloudSome banks have benchmarks where say each trader headcount is expected to contirubute at least Eur1.5-2mio of trading P&L. Are the P&L expectations the same for fixed income and equity traders? If not, your ballpark figure corresponds to which one? </t>

QuoteI would sya that Smartspread is one of the best tools u can find on a market to fast and robust trade modelling. Do you know how much it costs?

<t>Sorry for not being clear. What I meant was, a desk quant gets a bonus based on how that desk's traders do collectively. A trader's bonus depends only on his own book. So the later is riskier than the former. A trader's bonus has a much higher up-shot, but he or she doesn't enjoy the risk diversi...

QuoteBut that's a measurement, not a random variable. Do you want to model changes in this over time?How would I go about doing this?

<t>QuoteThe answer to your question is that [ay consist of base + bonus. the former varies depending on the institution but is usuallly round the £100k mark. The latter really varies. Ideally you want to get 8-10% of what you make. According to your numbers it sounds like it is very comparable to a ...

Approximately, how much do traders make? My guess would be a junior trader would start at total package of $100k and go up to $1M and up. I assume the comps are comparable betweeen fixed income and equity traders.

<t>Exactly Aaron. By credit spreads, do you mean the spread between bond prices of an issuer and risk-free rates? I am familiar with this.Also, I am not sure how to use accounting numbers for this purpose, either? I would appreciate a hint here.I believe by equity volatility you mean the application...

<t>QuoteOriginally posted by: JimThis thread reminds me of an old joke on the trading floor:Q. Why aren't there more equity traders with PhD's?A. With equity trading, there's no competitive advantage in being smart.Jim you brought up a very good point. It made me wonder if it is the age-old, "Chicke...