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)

<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...

<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...

thanks guys

you are right. thanks very much.

thanks a lot. really appreciate.

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...

<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...

<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,...

<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...

How popular is Haskell for qf? Any comparisons with c++ in terms of 1) ease of coding and 2)speed?

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!

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?

Thanks a million. Luigi. You rock!

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.