<t>Here is my empirical estimates of Bloomberg download limits via the API:There are 3 types of limits and only the "monthly hits" one is the most restrictive for me:- the "daily total", applies on total hits during a day -> up to 200 000 ok- the "monthly hit", applies on monthly hits (1 hit = 1 (ti...

<r>There is an options market for each underlying stock and for the index itself. Unless the arbitrageurs are stongly active in those markets, the underlyers' skew and the index skew are not supposed to be linked by a deterministic function - except in theory as shown by Avellaneda's paper <URL url=...

Maybe it can help you to see the table of cash flows and then to compute their actuarial rate ?They are shown in Bloomberg when you type "ID IT0004848831" and then "ASW" and then see the cash-flows tab.

<t>Hello klp2Can you exactly describe your experiment and eventually post a chart where you notice some dependence between the first 1-10000 and the next 10001-20000 Sobol numbers ? In which dimension are you working ?I have two Sobol generators (each implemented with a different algorithm) and can ...

<r>In case some would like to follow-up on the matter, here is a good technical article:<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=564921Practitionners"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... titionners">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=56492...

Could you find a solution?Maybe you could post an example...(The histories may have expanded by two months as of now )

On Bloomberg: XGA Comdty OMON

<t>Hello, As an advice, I would suggest to make all reasonnings in terms of effective cash-flows. Then the discount factors (DF) will appear naturally.The default leg of a CDS of maturity N years is supposed to pay 1-Recovery (1-'R') at time of default (called 'thau') => DefaultLeg=Expectation( (1-R...

Your quote on ATM shows that the bid-ask spread is 3% vol (bid-to-mid 1.5% and mid-to-ask another 1.5%).Could you not use this information to apply the same spreads for the call and the put ?

<r>What about using central bank FX fixings ?Eg. the NY Fed or ECB ones. As they are supposed to be observed every day at the same time and from the same sources and filtered by the same method, these time series should be a good input for your statistical analysis.They are available in Bloomberg un...

<t>If you are fluent in C++, I would suggest:Implement your own optimization engine as there is plenty of C/C++ code available for free. The one I've been using for years (for calibrating the LMM model and equity/forex volatility surfaces) is Levenberg-Marquardt from the Numerical Receipes in C (fun...

<r>As a starting guide, you can give a try to the (quite high-level) example code given at :<URL url="http://moutou.pagesperso-orange.fr/MyUNODoc_HTML/UNOCppAPI14.htmlThe"><LINK_TEXT text="http://moutou.pagesperso-orange.fr/MyUN ... 14.htmlThe">http://moutou.pagesperso-orange.fr/MyUNODoc_HTML/UNOCpp...

<t>Hello, I am using the interest rate futures in BRL for the BRL yield curve.To get their Bloomberg tickers, start from the generic first one 'OD1 Comdty' and then query for the future chain FUT_CHAIN field via the FLDS function in the terminal.These futures do not exactly work like the 3M Euribor ...

<r>I agree with the idea exposed by Mj of using a reduced model instead of trying to reduce the rank of a giant correlation matrix (all 3-month Libors for over 20 years).Here is a list of some of them, easily transposable into implementation by using the same simulation core and modifying only the p...

<t>An annuity being a sum of discount factors (eventually with deterministic weights), it will not depend on volatility as long as your DF do not depend on it.Actually your DF may result from a bootstrapping procedure where the only point concerning volatility would be the convexity correction for f...