<t>The company I work for is looking into maybe replacing the current performance measurement (returns and basic attribution) platform and I was wondering what you guys (or your firms) use.The company I work for currently use:Alpha I's Max / StatProEagle PACEMax has been here for years. Eagle PACE w...

<t>What's the coupon frequency?Is your date format MM-DD-YYYY or DD-MM-YYY?What is the date count convention? Actual/360, actual/actual etc etcWhen is the settlement date? Is it settling today (24th Fri) or is it priced as if it settled yesterday or some future date next week?Have you tried the bond...

<t>I'm trying to figure out how to model two time series where there is zero correlation on the short term but we suspect that there is a long term correlation. I'm not even sure if this is possible from definition...We are looking at the inflation rate between US and Aus, and on short term (month t...

Thanks - interesting site. What I want is the 'inverse' of the Everest option so that I get the payoff of the best performing stock and not the worst as in the Everest Option...

<t>A few years back, I remember reading a paper that described how to construct a strategy with options which replicated the return/performance of the best stock in a portfolio/basket/index.Say we have 10 stocks in a portfolio. The strategy involved options. Then at the end of the month (year whatev...

Australia is traded in yield. Australian bond futures are quoted as 100 - yield, so if you see that Aussie 3yr bond futures are 95.25 on Bloomies, thats a yield of 4.75%

<t>Back to my original question: would the CFA exam be any easier if it was open book? If yes, then I would consider it to be rote learning. If the anser is no, then I wouldn't consider it rote learning.Personally, I would rather work in a team where there is a wide learning background rather than a...

<t>I was just having an argument with a guy here at work doing the CFA exam in few weeks time and I commented that CFA is mostly rote learning. He argues that its more application and understanding than rote learning. From what I've seen of guys prepping for the exams, it looks as though its pure (a...

We use the Bloomberg portfolio function to do our own internal trading competitions for bragging rights. There is a function to share the portfolio with other users.

<t>Ok, the 12 balls/3 weighs is a tricky one.Even though the question saids, that they all look physically alike, I have to make the assumption that you have to be able to differentiate one from the others. I number them 1 to 12 for reference.First weigh: 1,2,3,4 on left, 5,6,7,8 on right. outcomes:...

<t>QuoteOriginally posted by: Sabeena<blockquote>Quote<hr><i>Originally posted by: <b>Sabeena</b></i>1)Divide $310 into a number of boxes so you can give any amount between $1 and $310, when asked. The amount of Dollars is written on each box so you do not have to open them.What is the minimum numbe...

<t>Got this off a riddles forum. The guys were throwing around Poisson distributions and Monte Carlo, but wanted to know if someone here can whip up a binomial tree to figure this out cleanly...***A statistician has a mathematical model for projecting the scoring in the Super Bowl: a football game b...

Quote2. using the "relative" returns, you'll get: R1-2 = +20%, R2-3=-16.66%, average = +1.66%... You can't do that with 'relative' returns!It will be (1+.2)*(1+ -.16667) - 1 = 0% so you get the same results as log returns.

<t>OK here are my views based on 4years of experience as a fixed int quant1) I think it should be bucketed on maturity (for your example it should be 10years) 'cause that's where it sits on the yield curve and that's where the risk is. For example, it the 10year portion of the curve shifts and the 7...

I've always had the suspicion that birthdates clustered around the Aug/Sep/Oct in the western world because of the associated holiday season at end of Dec/beginning of Jan.Can someone supported or disprove this hypothesis by data please?