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by MikeJuniperhill
November 23rd, 2018, 8:50 pm
Forum: Technical Forum
Topic: Solving XCCY basis spread by using IR-FX parity
Replies: 3
Views: 459

Re: Solving XCCY basis spread by using IR-FX parity

Some thoughts here. Have a great weekend.
-Mike
by MikeJuniperhill
November 8th, 2018, 4:29 pm
Forum: Book And Research Paper Forum
Topic: C++11 and C++14 Articles
Replies: 42
Views: 5999

Re: C++11 and C++14 Articles

Source code and the other required files can be downloaded from Datasim blog. Moreover, detailed instructions for assembling the application can be found in my blog.

Regards, Mike
by MikeJuniperhill
November 7th, 2018, 4:51 pm
Forum: Technical Forum
Topic: Solving XCCY basis spread by using IR-FX parity
Replies: 3
Views: 459

Re: Solving XCCY basis spread by using IR-FX parity

Sorry, a small correction. Should have been: By using that "Modified" parity formula and solving basis spread for 3M , I will get -50.514 bps , which is quite close to Bloomberg closing mid quote. dt = 0.25 I have noticed the following issues: modified parity holds quite well for liquid major curren...
by MikeJuniperhill
November 7th, 2018, 1:06 pm
Forum: Technical Forum
Topic: Solving XCCY basis spread by using IR-FX parity
Replies: 3
Views: 459

Solving XCCY basis spread by using IR-FX parity

I am currently working on the task for finding out, how to calculate XCCY basis spreads for short-end of the corresponding curve. I have a strong hypothesis, that this could be possible by using a bit modified version of standard FX-IR parity. Below are my thoughts. Assume currency pair EUR/USD "Sta...
by MikeJuniperhill
June 3rd, 2015, 6:09 am
Forum: Programming and Software Forum
Topic: Design Pattern selections for a simple I/O scheme
Replies: 3
Views: 2787

Design Pattern selections for a simple I/O scheme

Thanks a lot for your pointers. Some of those I have not been even thinking about ..-Mike
by MikeJuniperhill
June 2nd, 2015, 7:24 am
Forum: Programming and Software Forum
Topic: Design Pattern selections for a simple I/O scheme
Replies: 3
Views: 2787

Design Pattern selections for a simple I/O scheme

<t>Hi,Scheme:I have N vanilla IR swaps configured in my Bloomberg Swap Manager (SWPM, transaction pricing/risk platform in Bloomberg). Each configured swap transaction is identified with unique Bloomberg ticker. By using this unique ticker, it is then possible to request different valuation fields f...
by MikeJuniperhill
June 2nd, 2015, 5:50 am
Forum: General Forum
Topic: Market data for illiquid currencies
Replies: 1
Views: 3539

Market data for illiquid currencies

<t>Hi,We have some of our transactions in illiquid currencies (like BRL, ARS, INR). In order to price these products, I need the following set of market data :- swap curve- OIS curve (if existing)- basis spread curve(s)- cross-currency basis spread curve(s)- cap volatility surface- swaption volatili...
by MikeJuniperhill
March 23rd, 2015, 6:28 pm
Forum: Careers Forum
Topic: Any work experience from Emirates?
Replies: 0
Views: 3301

Any work experience from Emirates?

Arab Emirates, Abu DhabiI had to let it go for family reasons. Just for the curious, anyone willing to share experiences?-Mike Juniperhill
by MikeJuniperhill
March 21st, 2015, 5:20 pm
Forum: Programming and Software Forum
Topic: C# : dynamic data type
Replies: 5
Views: 4054

C# : dynamic data type

Baby is born, check it out.Bloomberg API Wrapper for C#Daniel, thanks for your advices!-Mike Juniperhill
by MikeJuniperhill
March 3rd, 2015, 8:16 pm
Forum: Programming and Software Forum
Topic: C# : dynamic data type
Replies: 5
Views: 4054

C# : dynamic data type

Cuch,Thanks for these tips. I have to check out that tensor stuff.-Mike Juniperhill
by MikeJuniperhill
March 3rd, 2015, 4:18 pm
Forum: Programming and Software Forum
Topic: C# : dynamic data type
Replies: 5
Views: 4054

C# : dynamic data type

<t>QuoteOriginally posted by: CuchulainnWhat about this?Grateful for your evaluations and comments, Daniel. During my darkest hours, I have even been thinking to create some sort of separate wrapper class for handling those data structures, but .. maybe it would be a bit overkill, since Bloomberg us...
by MikeJuniperhill
March 2nd, 2015, 2:01 pm
Forum: Programming and Software Forum
Topic: GitHub
Replies: 29
Views: 8434

GitHub

<t>git-scm.com-> DownloadsVersion control tool is just great. Assume you want to track changes you have made for any of the source files, or have completely screwed up everything and just want to get back to the point you were two months ago. GIT book is also freely downloadable there.-Mike Juniperh...
by MikeJuniperhill
March 2nd, 2015, 7:38 am
Forum: Programming and Software Forum
Topic: C# : dynamic data type
Replies: 5
Views: 4054

C# : dynamic data type

<t>Hi,I am currently working with my Bloomberg API wrapper (again), this time for C#. I would like to receive any constructive comments, concerning the usage of dynamic data types in my program design. My current scheme prototype is attached below. You can create a new C# console project and copy-pa...
by MikeJuniperhill
December 31st, 2014, 10:32 am
Forum: Programming and Software Forum
Topic: Excel DNA + Excel 2010 + VS Express 2010
Replies: 30
Views: 30384

Excel DNA + Excel 2010 + VS Express 2010

<t>Hi,This might be a bit out of topic, but wanted to give my small contribution to the issue. Just in case someone needs any hands-on examples on interfacing C# and Excel/VBA with Excel-DNA , I have been publishing a lot of such examples in my blog. These posts have been published mainly in March 2...
by MikeJuniperhill
November 13th, 2014, 8:40 pm
Forum: Programming and Software Forum
Topic: CSharp ConcurrentQueue problem
Replies: 10
Views: 3929

CSharp ConcurrentQueue problem

That's it. Working. Thanks a lot for help.-Mike
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