<t>Hi, As we are working on some interest rate analysis, we need historical 1-month treasury cmt rate going back to at least 20 years. Data from Bloomberg however starts only from 2001. Does anyone know how to get the series without spending alot to purchase along with alot of other data? Thank you!...

<t>I think that I know how to do the transformation now. I am simulating the basic interest rate models and am having another problem. For example, in the Vasicek model, it is very hard for me to come up with a yield curve that looks reasonable. I checked some text book examples, they used the histo...

Given three independently generated series, i.e., future spot rates for different terms, and the historical variance covariance matrix of the three series, how can I derive the correlated future series? Thanks.

We did come up with parameter estimation, but are having difficulty annualizing the parameters as what we estimated are of monthly data.Any ideas?

<t>Hi, We working on some interest rate model monte carlo simulation. We will start from simple one factor model such as Vasicek mean reversion and Cox Ingersoll Ross. We are not sure how to empirically estimate the parameters. And give the autocorrelation present in interest rate time series, how t...

No, I don't have a specific quesiton. I just hope to learn from other people's past experiences.

Hi, Anyone experienced with international equity quant modeling out there? What are some of the lessons that you learned in the past that can be shared? Thanks!

Hi,Is there an industry standard for conducting performance attribution for fixed income products? What's the usual way of doing it?thanks,

The problem with me is that after several iterations, the value doesn't get updated at alot, no change in the first 5 dicimal points and so it doesn't add any more value by processing more iterations. Hence, it doesn't converge. Any fixes?

Hi,Are there any experts on Newton Ralphson out there? I got a problem here. Sometimes it seems that it will never converge. Thank you!

<t>I think that EJV also has a market day calendar.Also, I was able to find some open source code converting from Julian date and Gregorian calendat date. I think that it will be better to also have a Julian month conversion routine in place. But I was unable to find any. Does anyone know about form...

Hi,We are thinking about constructing a lot of date routines to be used as utility function, i.e., julian month, end of month market day, next market day, etc. Does anyone have experiences on this that can share with us? thanks

I am looking for a good Fortran reference book, preferably Fortran 77. I am not sure how many people out there are still using it and might have some recommendations?Thanks,

I am looking for a good Fortran reference book, preferably Fortran 77. I am not sure how many people out there are still using it and might have some recommendations?Thanks,