<t>Run your PCA analysis and see what the the first 3 PCA coefficients are for each YC point. Then for each non reference point solve a simultaneous system to map its PCA exposure to the reference points and aggregate across all points. My memory of running PCA on single yield curves is that general...

<t>OK. The simulated random variates you need to use are standard normal and independent. The volatility and correlation data is embedded in the decomposition you don't need to adjust the simulated variates for this. The other thing to watch for is getting the time scaling correct. Post an example o...

<t>I am sure you have done this but do you recover the original covariance matrix when you multiply your upper and lower triangular decomposed matrices?What number of simulations are you using?Is here a scaling issue of some sort that is distorting your results? Not busy today so if you PM me your r...

<t>A lot of smaller and mid tier European banks are heavy derivative users for purposes of hedging their own business risks and for hedging uncollateralized derivatives written with non financial clients. What are the views/experiences around whether or not these institutions are now allowing for th...

<t>Simple approximation is just discount the 32 bps using your ? curve and figure out what the corresponding annuity is in USD. If you want to get more subtle you need to incorporate the term structure of basis spreads into your discounting. Think about setting up a portfolio of USD and EUR OIS trad...

<t>Sorry, yes by quotes I mean par swap rates. One of the interesting things about this is the issue of hedging trades that are not done on the standard terms with trades that are. In the presence of significant funding costs the notionals of non-collateralised and the hedging collateralised trade (...

<t>My tuppence worth! Quotes observed on Bloomberg etc. are now assumed to be on the basis that both parties to the trade post cash collateral in the currency in which the trade is denominated with zero thresholds and daily posting (LCH model?) If you agree a trade with terms different from these th...

Has any one who has implemented this for Bermudans seen that convergence speed and accuracy is significantly dependent on the underlying shape of the standard swaption term structure?

<t>Am working slowly through this. Am now at the stage where I am working with this specification ln(r(t)) = [θ(t) − a ln(r(t))] dt + σdW(t)I have built a trinomial tree and am now trying to calibrate to the swaption volatility surface. I am using the Levenberg Marquardt for this purpose. Does anyon...

Sorry. Formula is a general one for BK not from Fincad documentation. Just looking to know which of the parameters are actually dependent on t in their implementation. BTW just the usual night's drinking last night!!

In the Fincad implementation of the Black Karasinski model d ln(r(t)) = [θ(t) − a(t) ln(r(t))] dt + σ(t)dW(t)which of the parameters θ(t),a(t) and σ(t) are time dependent and which are time independent please?

<t>I have been thinking about this and have tried to clarify my thoughts by breaking it down into different pieces. If we assume that the bank's hedging options for the non-collateralised trade are IB OIS and LIBOR swaps which require collateral to be posted and such collateral attracts the OIS rate...

Anyone worked for Parker Fitzgerald?

Anyone have experience with or done some work for Parker Fitzgerald?

I am a newbie to QuantLib. I have built a simple DLL to determine if a day is a good "TARGET" day or not using QL. When I access this from Excel it is very slow. Any suggestions/(explanations on how to correct) as to why please?