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by wynand494
September 1st, 2008, 8:07 am
Forum: Brainteaser Forum
Topic: two goldman sac questions
Replies: 17
Views: 55402

two goldman sac questions

1) Delta of IBM Stock = (100 +/- Index) in mio -> don't think we can give an actual figure 2) Max = 100 (rho = 1), Min = 60(rho = -1)
by wynand494
August 22nd, 2008, 11:16 pm
Forum: Technical Forum
Topic: SABR Model
Replies: 20
Views: 84571

SABR Model

<t>This is the interface of what I do and seems to work fine for me..../*****************************************************************************/ dblVector GetAlphaRhoVolvol(const dblVector& strikeVector, const dblVector& mktVolVector,const double& F, const double& atmvol, const...
by wynand494
August 9th, 2008, 7:46 am
Forum: Programming and Software Forum
Topic: Creating XML files from VBA or C++ for running batches?
Replies: 3
Views: 51589

Creating XML files from VBA or C++ for running batches?

<t>HiI am in the process of automating my simulations in Murex. Currently I record macros which generate the xml files which i trigger at a certain time everyday. If i need to make any changes in the nature of simulation (for example change the bump size of curve from +10 bps to -10bps), I modify th...
by wynand494
August 7th, 2008, 9:52 pm
Forum: Programming and Software Forum
Topic: Vectors must be passed by value to be able to use iterators on them in C++?
Replies: 28
Views: 55395

Vectors must be passed by value to be able to use iterators on them in C++?

Posted the incorrect code for the question. Same question but code as below..."const std::vector<dat2008:ate>& Holidays" gives a compilation error while "std::vector<dat2008:ate>&Holidays" does not...
by wynand494
August 7th, 2008, 9:44 pm
Forum: Programming and Software Forum
Topic: Vectors must be passed by value to be able to use iterators on them in C++?
Replies: 28
Views: 55395

Vectors must be passed by value to be able to use iterators on them in C++?

<t>HiI have the following code which does nt compile and has error message Error 1 error C2440: 'initializing' : cannot convert from 'std::_Vector_const_iterator<_Ty,_Alloc>' to 'std::_Vector_iterator<_Ty,_Alloc>'However if I make the "const std::vector<dat2008:ate>& Holidays" to just by value i...
by wynand494
July 18th, 2008, 11:54 pm
Forum: Programming and Software Forum
Topic: Excel bumping rates
Replies: 3
Views: 51646

Excel bumping rates

<t>QuoteOriginally posted by: akash88Hi,I am trying to calculate deltas in excel for a swap pricer which requires bumping up individual rates of various instruments and maturities which were used to build the yield curve by a basis point and see what affect this has on the price of the swap. Thanks,...
by wynand494
July 18th, 2008, 11:33 pm
Forum: Programming and Software Forum
Topic: Excel bumping rates
Replies: 3
Views: 51646

Excel bumping rates

<t>QuoteOriginally posted by: akash88Hi,I am trying to calculate deltas in excel for a swap pricer which requires bumping up individual rates of various instruments and maturities which were used to build the yield curve by a basis point and see what affect this has on the price of the swap. This ha...
by wynand494
July 16th, 2008, 8:39 pm
Forum: Programming and Software Forum
Topic: Is Haskell used for qf?
Replies: 31
Views: 58712

Is Haskell used for qf?

How popular is Haskell for qf? Any comparisons with c++ in terms of 1) ease of coding and 2)speed?
by wynand494
July 5th, 2008, 11:53 pm
Forum: Programming and Software Forum
Topic: How do I implement a pointer to Function with variable arguments?
Replies: 40
Views: 57747

How do I implement a pointer to Function with variable arguments?

QuoteOriginally posted by: CuchulainnIf I can butt in, but do you really want a function with 10 parameters, even if you could do it? I realise I actually don't. :-). Good reality check. Thanks Cuch!
by wynand494
July 5th, 2008, 1:23 am
Forum: Programming and Software Forum
Topic: How do I implement a pointer to Function with variable arguments?
Replies: 40
Views: 57747

How do I implement a pointer to Function with variable arguments?

Hi,quick q boost::bind(f,_1,arg2,arg3...argn) seems to work only for n <10. Is there a way in boost to use bind functions with arguments more than 9?
by wynand494
July 2nd, 2008, 8:51 am
Forum: Programming and Software Forum
Topic: How do I implement a pointer to Function with variable arguments?
Replies: 40
Views: 57747

How do I implement a pointer to Function with variable arguments?

That did the trick! But why do I need to provide th definition also in the hpp file? Never had to till now. Not getting it.
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