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by bskilton81
September 25th, 2008, 5:01 pm
Forum: Student Forum
Topic: Replicating Swaps with Eurodollar Futures
Replies: 4
Views: 49006

Replicating Swaps with Eurodollar Futures

Anyone have a paper on how to replicate plain vanilla interest rate swaps with eurodollar futures?
by bskilton81
March 24th, 2008, 4:09 pm
Forum: Off Topic
Topic: TraderJoe's favorite topic: Interstellar trading
Replies: 5
Views: 57178

TraderJoe's favorite topic: Interstellar trading

<t>"Is it too much to suggest that current work might prove as influential in this development as the work of Adam Smith was in the initial settlement of Massachusetts and Virginia?"Clearly this is tongue in cheek. Adam Smith wrote The Wealth of Nations in 1776, long after Massachusetts and (eastern...
by bskilton81
March 12th, 2008, 12:37 pm
Forum: Trading Forum
Topic: Does O/N FX Option market exists ?
Replies: 8
Views: 59850

Does O/N FX Option market exists ?

In OTC space, yes, but bid-ask tends to be wide. Also, though they will quote you a vol, they don't really trade like longer options, because of the difficulty of hedging.
by bskilton81
March 10th, 2008, 1:49 pm
Forum: Off Topic
Topic: martin luther
Replies: 16
Views: 58895

martin luther

Ultimately, the real difference between Luther and Roman Catholicism isn't the 95 theses perse, but soteriology. The gulf between Lutheran soteriology and Roman Catholic soteriology is so wide it is at times difficult to put Protestantism and Catholicism in the same religious bucket.
by bskilton81
October 16th, 2007, 12:16 pm
Forum: General Forum
Topic: Crash Protection: Super-SIV
Replies: 7
Views: 64780

Crash Protection: Super-SIV

<t>Simple accounting gimmick. Say I'm CITI or JPM or BA. I have some CDOs, CDOs of CDOs, or subprime CMOs. Bids for the junk are at 50. I say they are worth 90. Total market value according to my valuation is $20 billion. According to the bids it is $11.1 Billion. I buy $20 billion of shares in the ...
by bskilton81
October 12th, 2007, 12:30 pm
Forum: Trading Forum
Topic: The Blow Up Artist in New York Times
Replies: 5
Views: 65933

The Blow Up Artist in New York Times

<t>Niederhoffer knows that selling naked options works great for long enough to get unsavvy people to pay you a lot of money. Until you get a 3,4,5 sigma event. But your payoff in money management is a call option, so you walk away with millions earned over 5 years or so, do it again somewhere else ...
by bskilton81
August 24th, 2007, 2:20 pm
Forum: General Forum
Topic: Is new thinking in Quant Modeling Required
Replies: 36
Views: 69121

Is new thinking in Quant Modeling Required

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: jawabeanI heard Andrew Lo say that economics advances one funeral at a time, which is a sentiment that seems true in a wide range of fields. What the original poster is asking is whether recent events represent the funeral for one ...
by bskilton81
July 10th, 2007, 2:45 pm
Forum: Programming and Software Forum
Topic: Bloomberg DDE and VBA Macro
Replies: 4
Views: 73495

Bloomberg DDE and VBA Macro

<t>Works like this: Say you have a file called rates.xls with FX spots from bloomberg along the top. Call that range FXSpotsSay you want that data to go into in another file, update.xls.Make two macros, UpdMacro and openratesbook.First run openratesbook macro-----------------------------------------...
by bskilton81
July 10th, 2007, 12:08 pm
Forum: Programming and Software Forum
Topic: Bloomberg DDE and VBA Macro
Replies: 4
Views: 73495

Bloomberg DDE and VBA Macro

<t>Solved it. Solution is to use a macro to open the file, then in that macro us an application.ontime reference to start another macro. First macro ends, second macro starts. Second macro polls to see if sheet is updated using isnumeric() and application.min(). If sheet isn't updated, another appli...
by bskilton81
July 9th, 2007, 4:12 pm
Forum: Programming and Software Forum
Topic: pause macro to enable DDE updates
Replies: 2
Views: 69915

pause macro to enable DDE updates

What was the solution?
by bskilton81
July 9th, 2007, 12:41 pm
Forum: Off Topic
Topic: Satisfaction from finance
Replies: 19
Views: 69778

Satisfaction from finance

No matter what business you work in (except some non-profit stuff), you get money for making money. Pure and simple. In finance, the by-product is a more efficient capital allocation for the economy.
by bskilton81
June 29th, 2007, 6:44 pm
Forum: Off Topic
Topic: ppauper's very own "How Canada Sucks" thread.
Replies: 1041
Views: 159992

ppauper's very own "How Canada Sucks" thread.

Poutine. 'Nuff said.
by bskilton81
June 28th, 2007, 6:27 pm
Forum: General Forum
Topic: Biggest Hedge Fund Bailout since LTCM ?
Replies: 14
Views: 70918

Biggest Hedge Fund Bailout since LTCM ?

"Bear Stearns High Grade ......."Evidently it wasn't.
by bskilton81
June 28th, 2007, 11:45 am
Forum: General Forum
Topic: MBS & CMO: What happens when...
Replies: 7
Views: 143607

MBS & CMO: What happens when...

Just thought I'd bring this up again. I originally posted this 2 years ago, and since I'm an arrogant ass, I figured I'd do an "I told you so."
by bskilton81
May 31st, 2007, 2:04 pm
Forum: General Forum
Topic: random walk down wall street: a contradiction
Replies: 9
Views: 71506

random walk down wall street: a contradiction

<t>You forgot 5: Efficiency is not an objectively-defined concept. Any strategy that seems to make excess profits can easily be explained by the Deus Ex Machina of some risk premium "we didn't realize existed before." 6. Efficiency is untestable. Efficiency implies no excess returns, but no excess r...
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