anyone hazard a guess as to the median/average convert delta these days? just looking for a ball park-ish number for non-junk sub 10yr stuff ...

anyone heard of this product? sounds like pricing/rm software and has been poping up on resumes ...

anyone know of a way to drive the bloomberg terminal with a perl-ish script?

i had to write a bit of code to match the bb hist vol about a year ago. check the hvt help page - seem to recall it had a worked example with all of their gritty details ...

Hey folks,I'm relocating to New York in the next few weeks - new job has some relocation $ but no corporate apartments. Anyone have suggestions for short term housing/summer sublets in Manhattan?Thx.

Last time I checked Fidelity.com had no capacity to trade index futures

i agree with the doctor - pigeon holey, but do seem to know their way around the street. i'd guess they are better for employers than job seekers.

there are a few specific things i am aware of in this regard. pm me if interested.

apparently the monis model has some convergence issues, though i’ve never checked first hand, and as of about a year ago their US bond data was pretty lousy

I seem to recall that “Optimal Trading Strategies” by Kissell&Glantz deals with (many) such issues …

<t>I've had a fair bit of experience with US HH-s the last few years with all that dot commery and then 9/11, and these days try to stick to the "boutique" HH firms. There seem to be a few good little places that'll work with you to find what you're looking for rather than shoe horn you into a parti...

had a chat with some ib folks that were making markets on the ise last year - seemed they were integrating risks across all their books (presumably a slew of options and equities) to flatten out.granchio - do you know the cds/equity pair that got arbed?

have a look at the recent swaption / bermuda swaption thread - some good comments and some "typical" values.though beware that for some instruments the mean reversion value will set the overall price level leaving the vol param as a second order effect, bermudas being a good example.

i think baxter&rennie is a great place to start - the first 20 some odd pages do a good job of summing up some very important concepts.anyone know what's up with lewis' stochastic vol book? seems to be out of print yet it's only a few years old ... love to get my hands on a copy.

<t>hey folks,had a few pm-s asking about my "R solution."not too different from matt's post - though the trick is to get only the incremental data in the load and also to incrementally plot it ... which can take a bit of work. if the data is being written to a file you can try tail-ing it and checki...