<t>Wow. Hmm - only support for Matlab is Hansi's comment "Generally it's easier to get code to run faster in Matlab than R but a lot of it has to do with what kind of code it is and how you structure it." Other than that, two strong negatives against Matlab. Anyone with a positive experience impleme...

<t>Thank you secret2. (The link "See here" didn't work btw - any search terms I should use to find what you are referring me to?)The Black vs. Black Scholes was just redundant in the code.What I am really interested in is understanding why I cannot reproduce the option price when I take an expected ...

<t>Yes, thanks - mu is r since we are in the risk neutral world.Changing the discretization to 0.25 (rather than 0.5) improves the result markedly - so, that does seem to be the reason.Now on to the Black model.My understanding is as follows - the underlying in the Black model is the forward, not th...

<t>This is more to just verify that my understanding is correct rather than ask something specific. I would appreciate any response pointing out whether I have made a mistake in what I have done below. I want to next do the same as below but for the Black model, so any pointers as to how the followi...

<t>Various OAS are available for HY - I am looking for any details on how OAS is typically calculated for HY bonds. I assume, following standard usage, OAS is the bump to swaps required to price the callable to market price using a model that accounts for the embedded call option somehow.What vol as...

<t>I am interested in finding the "maximum" copula relating a set of random variables ("maximum" = "comonotonic" = upper Frechet-Hoeffding bound).Do I get that if I set the correlation parameter to 100% for a Gaussian copula?On the face of it, I thought the answer would be "no", given the inability ...

Looking for references to the topic of how to hedge a default-risky bond's interest rate exposure.Any links / pointers / articles appreciated.Must be on people's mind now with many expecting rates to back up.

<t>I set myself the task of learning Octave for application in financial modeling/analysis. However, I ran into bugs trying to do the simplest of tasks - download a time series of stock prices and plot a time series of returns.Downloading the data was easy (using 'fetch' from the financial package),...

Is there something closely comparable to Matlab financial toolbox available for free for Octave? The Octave financial package from sourceforge appears quite bare on initial inspection.

<r>Thanks for your thoughts.Actuary - P, FM, MLC, MFE, C (5 exams); VEE requirements are met by having CFA; then the self-study FAP and final APC - quite a path, as you say."if you can crack a job" - i.e. if i can manage to get one? my concern would be the difficulty of "cracking" a buy-side job wit...

<t>I am looking for some career advice about what a reasonable next step might be for someone with my profile.*** My profile - undergrad: comp sci, math (minor) then several years of technology consulting followed by mba in financial engineering (not an MFE) to switch career into quant finance - a c...

<r>Hedging with the CDX is *no* guarantee against getting spanked <E>:-)</E> Plus - what delta will you use?Let me restate the basic question I have - If I dynamically delta-hedge a CDO tranche using deltas from a "static" model (e.g. copula models that don't take spread vol into account), are there...

Can you specify exactly what's in the computation grids?Both changes you specify will change loss distributions. If you are storing the loss distributions in your computation grid, you will need to repopulate the grid.

<t>[I posted this on the student forum, but having reviewed some other CDO tranche relates posts here, I thought people here may also find this interesting/challenging.]We know that CDO tranches are not replicable using only CDS on the underliers [incomplete market].Compounding this problem is the f...

<t>We know that CDO tranches are not replicable using only CDS on the underliers [incomplete market].Compounding this problem is the fact that many market participants rely on "static" type models like Gaussian copula to dynamically delta-hedge tranches.Are there any bounds on how bad this can get?L...