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by Wibble
April 23rd, 2009, 6:42 am
Forum: Trading Forum
Topic: Long on defualt correlation
Replies: 3
Views: 40837

Long on defualt correlation

There's a modern searching tool called google which witha little effort will lead you herehttp://www.classiccmp.org/transputer/finengineer/
by Wibble
April 23rd, 2009, 6:36 am
Forum: General Forum
Topic: default correlations
Replies: 1
Views: 39980

default correlations

perhaps you should read the ' why has my question not been answered?' section in the students forum
by Wibble
April 22nd, 2009, 7:53 am
Forum: Trading Forum
Topic: Long on defualt correlation
Replies: 3
Views: 40837

Long on defualt correlation

Read some of domonic o'kane's papers on credit
by Wibble
April 21st, 2009, 6:29 am
Forum: Programming and Software Forum
Topic: hwo to make this thing happen
Replies: 9
Views: 41804

hwo to make this thing happen

start by looking at scheduled tasks and the microsoft knowledge base
by Wibble
April 7th, 2009, 5:37 am
Forum: Student Forum
Topic: How can I compute the correlation matrix with missing data?
Replies: 5
Views: 41530

How can I compute the correlation matrix with missing data?

The riskmetrics technical guides have details on filling in missing data, from memory it's in their section on volatility and correlation
by Wibble
March 19th, 2009, 2:27 pm
Forum: Technical Forum
Topic: Swap help
Replies: 3
Views: 42520

Swap help

the riskmetrics technical paper
by Wibble
March 4th, 2009, 8:47 am
Forum: Technical Forum
Topic: CDSW- Correct Assumption?
Replies: 4
Views: 43608

CDSW- Correct Assumption?

i'd have a look at the attached document
by Wibble
February 26th, 2009, 3:01 pm
Forum: Student Forum
Topic: How to get free historydata from Bloomberg
Replies: 5
Views: 43203

How to get free historydata from Bloomberg

the excel history wizard is the obvious answer
by Wibble
February 26th, 2009, 8:20 am
Forum: Student Forum
Topic: Fixing date of a swap
Replies: 15
Views: 161888

Fixing date of a swap

QuantLib has quite reasonable calander info you could extract
by Wibble
January 22nd, 2009, 3:35 pm
Forum: General Forum
Topic: how to calculate the Market-to-market value change of the CDS position?
Replies: 37
Views: 59407

how to calculate the Market-to-market value change of the CDS position?

have you looked at CDSW on bloomberg? that's what everyone uses, you have to agree a recovery rate with your counterparty.
by Wibble
January 14th, 2009, 8:28 am
Forum: General Forum
Topic: Bond equivalent market value of a CDS
Replies: 15
Views: 53400

Bond equivalent market value of a CDS

There was a jpm conference in 2004 where eric beinstein detailed comparisons of bond spread measures with cds spread for structuring trades which you might find useful
by Wibble
December 4th, 2008, 8:29 am
Forum: Student Forum
Topic: Accuracy of PD estimates (Credit Derivative pricing)
Replies: 2
Views: 45548

Accuracy of PD estimates (Credit Derivative pricing)

Read the 2004 jpm cred deriv conference notes by eric beinstein on different spread measures for bonds and why these measures are different
by Wibble
November 7th, 2008, 10:47 am
Forum: General Forum
Topic: Rates
Replies: 5
Views: 47918

Rates

ISDAFIX on reuters
by Wibble
November 6th, 2008, 12:06 pm
Forum: Technical Forum
Topic: Extrapolating Forward rates
Replies: 3
Views: 47349

Extrapolating Forward rates

The only thing you can do is assume flat forwards from the last instrument that you have
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