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by unkpath
February 13th, 2011, 1:34 am
Forum: Programming and Software Forum
Topic: dependency graph
Replies: 13
Views: 22859

dependency graph

can't believe nobody knows or wants to talk about this. this is much more important than some discussionabout 5th order sabr expansions or some silly topic on ADE finite differencing...anybody? please.
by unkpath
February 11th, 2011, 1:15 am
Forum: Programming and Software Forum
Topic: dependency graph
Replies: 13
Views: 22859

dependency graph

hi, where can I read up on dependency graphs and their use in large scale software systems?Can knowledgeable people tell me a bit about that and push vs. pull systems, etc? I know that some shops such a GS rely very heavily on that sort of design. thanks,nkpth
by unkpath
February 6th, 2011, 3:14 pm
Forum: Trading Forum
Topic: basic interest rate swaps questions
Replies: 4
Views: 23384

basic interest rate swaps questions

<t>I am not sure what you mean by importance of the forward curve? It is really just another representation of the the term structureof the characteristics of a debt market of a certain quality as a function of time. In other words some measure of debt as a functionof time. You can pick many and con...
by unkpath
February 6th, 2011, 2:51 pm
Forum: Trading Forum
Topic: origins of interest rate skew
Replies: 19
Views: 27523

origins of interest rate skew

<t>hi m, I think that dealer research is probably full of these considerations. So my question is if people remember some very relevant piecespublished here and there?For example I would cite a paper by Fei Zhou, Lehman, Volatility Skews, 2003, which certainly discusses some skew folklore.Gmike, rig...
by unkpath
February 5th, 2011, 4:19 pm
Forum: Trading Forum
Topic: origins of interest rate skew
Replies: 19
Views: 27523

origins of interest rate skew

<t>So, it is known that at times there are certain prevalent actions in the market that will be interpreted as vol/skew drivers. Say, there is some mortgage convexity related market activity in european swaption space, then it is known that this can affect the vol surface. I wonder where such market...
by unkpath
February 5th, 2011, 4:16 pm
Forum: Trading Forum
Topic: ir roll down, carry & skew
Replies: 4
Views: 24649

ir roll down, carry & skew

<t>mmh, at times, isn't there some technical effect related to rate roll down? As in a 1y5y ATM receiver swaption in 6m will be a 6m5y OTM under some roll down scenario. How would such effects be backed into the 6M5Y skew, if at all?I guess my question is if this kind of quasi-deterministic dynamic ...
by unkpath
February 5th, 2011, 4:10 pm
Forum: Technical Forum
Topic: stochastic vol lmm
Replies: 1
Views: 20604

stochastic vol lmm

hi, Has anybody come across some publicly available stochastic vol lmm code of any variety? Or published as part of a book maybe? Anything would be good, even bits and pieces.I know that for classic models like Black, Heston, many things are available out there.Thanks, nkpth
by unkpath
February 5th, 2011, 10:23 am
Forum: Trading Forum
Topic: origins of interest rate skew
Replies: 19
Views: 27523

origins of interest rate skew

I would like to put together a collection of documents, papers, book discussing the causes of interest rate skew for USD. I am thinking of various macro causes and technical effects.Any references?Many thanksnkpth
by unkpath
February 4th, 2011, 1:10 am
Forum: Trading Forum
Topic: ir roll down, carry & skew
Replies: 4
Views: 24649

ir roll down, carry & skew

Are the notions of roll down and carry used a lot for standard interest rate options, in particular swaptions? I think it is possible to define these notions meaningfully for swaptions. Is there a typical connection between curve roll down and option skew? Thanks.
by unkpath
December 31st, 2010, 3:41 pm
Forum: Programming and Software Forum
Topic: container manipulation addins for excel
Replies: 12
Views: 24210

container manipulation addins for excel

<r>kimosabe, can you elaborate on what you say? I am not understanding exactly what you propose. I went to your site, but it is not clear to me exactly what tukhi does and how it is related to what I was asking. Also, thank you for pointing out <URL url="http://kalx.net/xll/">http://kalx.net/xll/</U...
by unkpath
December 30th, 2010, 3:21 pm
Forum: Programming and Software Forum
Topic: container manipulation addins for excel
Replies: 12
Views: 24210

container manipulation addins for excel

yes I am aware of that one. I guess you are suggesting that I take that and start building my own addin library that will meet my needs. Do you know if object handler is an integrated solution? So, if you have it building then can you just go in and start writing addins?
by unkpath
December 29th, 2010, 7:34 pm
Forum: Programming and Software Forum
Topic: container manipulation addins for excel
Replies: 12
Views: 24210

container manipulation addins for excel

<t>I am not sure I made myself clear.One thing you want to avoid doing in excel (maybe somewhat paradoxically) is to explode data into arrays and perform computation on cells, either columnwise or rowwise. That just doesn't work very well for large apps. The powerful aspects of excel many profession...
by unkpath
December 29th, 2010, 2:48 pm
Forum: Programming and Software Forum
Topic: container manipulation addins for excel
Replies: 12
Views: 24210

container manipulation addins for excel

<t>Hi, I was wondering if any of you know about commercial or open source container manipulation addins for excel? Let me explain. Many shops have developed excel addins with functionality to manipulate arrays and more general multi-dimensional data table like structures. Even more powerful would be...
by unkpath
July 3rd, 2010, 2:34 am
Forum: Technical Forum
Topic: SABR approximations - best practice?
Replies: 105
Views: 70848

SABR approximations - best practice?

<t>again, I may just not be making sense here. It is good for your piece of mind. You then have a consistent approach, a diffusive process you can use and study, do monte carlo with, pdes, extend, etc...QuoteOriginally posted by: pcaspersyes, I also thought this is interesting. Find a model which ex...
by unkpath
July 3rd, 2010, 2:32 am
Forum: Technical Forum
Topic: SABR approximations - best practice?
Replies: 105
Views: 70848

SABR approximations - best practice?

<r>hi nielses, please send to <EMAIL email="unkpath@gmail.com.You">unkpath@gmail.com.You</EMAIL> are right, it will matter for you if you are operating in a model that is genuinely tied to the SABR model. It is unpleasant to have your pricing approximations diverge too much from your MC prices. In t...
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