<t>Hello,For an asset swap on a inflation-linked bond, is/should the time decay (theta effect) on the swap be cancelled by the theta effect (carry) on the bond? If there are differences between the two, which is the reason? Could it be the mismatch between the value date (J+3) on a bond trade and th...

<t>Hello,I would be grateful for some help with the following problem: I'm trying to create an elementary function handle in Matlab>> fhandle=@(x) x.^2; and I keep getting the following error message??? fhandle=@(x) x.^2; |Error: Missing operator, comma, or semicolon.I'm really confused as it is exa...

<t>Hi, Gary,I'm also working on the LS article, but for Bermuda IR swaptionsI managed to get LinEst function working on Excel, but I have dimensionality problems - i.e. my regression uses 9 variables and the code is working only for 5 variables.Would you happen to know how many coefficients the OLS ...

<t>Hi,I'm trying to do a linear regression in VBA on 9 variables (trying to implement Longstaff&Schwartz LSM method for bemuda swaptions) with the following piece of code on some 400 pathsPrivate Function olsResult(nb As Integer) As VariantReDim ols(10) As Variant Set Y = Range(Cells(8, 12), Cel...

<t>Hi,I'm trying to do a linear regression in VBA on 9 variables (trying to implement Longstaff& Schwartz LSM method for swaptions). with the following piece of code on 400 observationsPrivate Function olsResult(nb As Integer) As VariantReDim ols(10) As Variant Set Y = Range(Cells(8, 12), Cells(...