Never Mind.

<t>That's what I meant. If your Libor curve is derived from a complex model; usually an iterative adjustment of curves to minimizes the differences between theoritical and realized prices of interest derivatives, rather than a simple statistical spline smoothing; you should be able to creat your "st...

Check the set up of your Libor curve... interporation, compounding, etc. double check how you bootstrap the rates...

<r>According to this: <URL url="http://www.cmegroup.com/trading/interest-rates/files/Calculating_U.S.Treasury_Futures_Conversion_Factors.pdf"><LINK_TEXT text="http://www.cmegroup.com/trading/interes ... actors.pdf">http://www.cmegroup.com/trading/interest-rates/files/Calculating_U.S.Treasury_Futures...

<t>Can someone check my logic below and point out if there is any constraints in reality that prevents this to happen? (trading regulations, compliance, etc.) Thanks. 1. One can short an ETF share just like shorting a stock. 2. The ETF provider who holds the underlying stock basket can lend 100% (th...

The way I did it before is to estimate the SPY fair value from VIX and S&P 500 index futures. Both are vey liquid.

CIC is by nature a government investment arm. Politics sometimes might play a rule there. IF you are interested in working in China, try Funds like Harvest.

<t>I need to present the binary tree clustering results to some general audience. The analysis started with 200+ nodes. So it's kind of tough. Any idea how can I show the results intuitively? For instance, A merged with B, then AB cluster merged with C, at the same time D merged with E and then with...

msperlin, thanks for your insights. I will definitely look into the stat reports.

<t>I was asked to perform a regression with constraints, eg. sum of coefficients =1 & all non-negative. (It seems that this can provide an intiutive view of "importance" for given factors.) However, when compared this result with a regular LS, the co-linearty seems to be a big problem. For insta...

Thanks for the input. What's the salary range for an CFA type investor vs. Quant? Any idea?

Ph.D in Stats from a Evy League. 3-year experience. F.R.M received. Would it worth another 3-year spending on the CFA Exam? I really hate accounting....

<t>OC works when you need funding desparately for your BBB assets, but CP usually requires AA rating and above. Basially, you collaterize your $500mm BBB assets, get yourself an insurer/agent, paying them a fee, so that you are allowed to issue $300mm AA rated CP. The $200mm was used as OC becase of...

Check Sherev's notes. It's available online.

<t>Just a side topic for using Matlab. I personally subscribed Matlab's financial toolbox and financial derivative toolbox. Based on my experience, they are okay but not very flexible. Besides, they don't have a very friendly support desk. When you call, you meet either tech people who don't underst...