This is brilliant....http://www.economist.com/science/displa ... id=6740040

Are you sure your mid-office guys are asking you to show your model is correct?They are usually more interested in marking the books to market rather than proving the internal consistencies of a model.

<t>ctrl + space select columnshft + space select rowalt + = subtotalalt + tab for going from sheet to sheetkey with menu (usually next to windows key) (equivalent to hitting right mouse button) - v usefulcrtl + ~ shows formulas on sheetalt + f11 opens up vba windowwhatever you do don't press alt + f...

Have you thought about using a genetic algoritm? These are quite good for high dimensional optimisation.

Sounds like the sample of prices is at different times during the day.Try weekly returns as a correlation input.

<t>I guess if you were a spread beeting company you could hedge an optional bet using outright spread bets.One spread bet that interested me was during the last world cup. It was a bet that you could place during a game.It was a spread bet on the "Time of Last Goal".I coundn't see an equivalent of t...

<t>if you're with US bulge bracket you'll be working in akasaka or roppongi (where all the other US bulge brackets are based)not sure how i would explain in two words new york but here are some others....london - pubs and parkssingapore - food and shoppingtokyo - money and womenfor comparison sakea ...

<t>hi erstwhile,i found a couple of more errors... i only pulled the sheet together this morning.yep - you right. option is on MAX (CPPI - strike, 0) where strike is usually gteed levelits been a couple of years since i worked in equities on this but i remember that a stochastic zc bond affected the...

This is a spreadsheet with a simple pricing model. It has a bug with it (because its only in Excel) but gives the general idea.RegardsPabo Spreadsheet updated at 11:24 (found an error) apologies.

Slightly non symmetric diagonal matricies takes me back to the days of structural dynamics with damping effects.

HW uses the variance of the returns with a mean reversion factor and BS uses the variance of the log of returns.Assuming that the mean reversion factor is a controlling parameter, then does it make sense to say that HW should be a bit bigger than BS vol * Underlying price. Pabo

<t>Hi pschwen,Not sure how important it might be but are you using FX spot vs Equity spot or FX forward vs Equity forward to get the correlation?If you look at the currency adjusted indicies from either side of the pond they are fairly well matched. As currency strengthens the index weakens. It seem...

<t>Hi Wildbill,As far as I know CPPIs generally have rules that determine when to buy and when to sell, and then give a payout dependent on the price of these filled orders. Actual buying and selling occurs. Its similar to hedging a short vanilla option struck at 65 by buying 100% delta when price g...

Usually the market is pretty much one way on these. IBs sell quanto structures through to retail and so its tricky to find anyone with opposing position. When there is a one way market then this skews the marks.

<t>It wouldn't be a case of buying USD securities or printing more Yuan. The Govt exchanges Yuan for USD. It’s just that whenever they receive USD for their Yuan then they buy US securities with the USD (it doesn’t really matter where the Yuan came from as long as it stayed undervalued).The governme...