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by jomni
September 3rd, 2009, 9:52 pm
Forum: Programming and Software Forum
Topic: Quantlibxl: Swaps floating leg problem
Replies: 3
Views: 35637

Quantlibxl: Swaps floating leg problem

sorry but i'm very new to quantlib.can you show me how to use qlIndexAddFixings?
by jomni
September 3rd, 2009, 2:48 pm
Forum: Programming and Software Forum
Topic: Quantlibxl: Swaps floating leg problem
Replies: 3
Views: 35637

Quantlibxl: Swaps floating leg problem

Hi,Is there a way to input the current coupon of the floating leg in QuantLibXl?I get no results for the first leg because it tries to get from the curve which is not backdated. And is there a way to just extract the cashflow column of the swap leg analysis array?
by jomni
August 14th, 2009, 2:36 am
Forum: General Forum
Topic: VAR backtesting
Replies: 7
Views: 38181

VAR backtesting

Traders are so good that they don't incur spectacular losses?How about a hypothetical test where you compare against hypothetical PnL (keeping portfolio the same but using next day's prices).This method is more in line with VaR method's limitations (static portfolio).
by jomni
August 11th, 2009, 8:21 am
Forum: General Forum
Topic: Complexity versus Simplicity in Risk Management
Replies: 8
Views: 36490

Complexity versus Simplicity in Risk Management

<t>QuoteOriginally posted by: VegawizardQuoteOriginally posted by: rmaxQuoteOriginally posted by: Gmike2000Best risk managers are ex traders.I do agree with this on the whole, however to play devils advocate: you don't think that traders will always have a trading mentality, and hence you should hir...
by jomni
July 28th, 2009, 7:39 am
Forum: Student Forum
Topic: How to statisticlaly test percentiles?
Replies: 0
Views: 35805

How to statisticlaly test percentiles?

<t>Is there a statistical test for percentiles?For example I compute the 95th percentile of a data set. Then from the same data set remove and add a few observations and compute for the 95th percentile again. How do I test if the new percentile is statistically different from the previous percentile...
by jomni
July 28th, 2009, 7:38 am
Forum: Student Forum
Topic: <double post>
Replies: 0
Views: 35850

<double post>

<double post please delete or ignore>
by jomni
June 25th, 2009, 8:37 am
Forum: Careers Forum
Topic: Need Advice Regarding My Career
Replies: 43
Views: 41372

Need Advice Regarding My Career

Tough to be a fresh grad in these times... It's an employers market. And there are so many experienced bankers without jobs to compete with.
by jomni
June 18th, 2009, 8:28 am
Forum: Careers Forum
Topic: Life policy trading desk.
Replies: 25
Views: 41189

Life policy trading desk.

yeah, don't forget to price in the credit risk (the insurance company staying afloat).
by jomni
June 16th, 2009, 12:18 am
Forum: Careers Forum
Topic: Life policy trading desk.
Replies: 25
Views: 41189

Life policy trading desk.

Trading Life Insurance Policies?
by jomni
June 16th, 2009, 12:08 am
Forum: General Forum
Topic: Where to get bond data
Replies: 3
Views: 37830

Where to get bond data

QuoteOriginally posted by: stp02Have you tried iBoxx? They offer historical prices for a lot og USD, EUR and GBP IG ang HY bonds, but access is limited i think....Yeah only the index data are free. The individual members of the indices are not.
by jomni
June 10th, 2009, 12:59 am
Forum: Careers Forum
Topic: Part time PhD in London: Impossible?
Replies: 30
Views: 45100

Part time PhD in London: Impossible?

Maybe the key word here is "part-time". Most would prefer full timers right?
by jomni
June 9th, 2009, 7:46 am
Forum: General Forum
Topic: About the great formula(Kelly criterion)
Replies: 14
Views: 43545

About the great formula(Kelly criterion)

hehe.Looks like the Angel caught the Devil.
by jomni
June 8th, 2009, 8:20 am
Forum: General Forum
Topic: Gamma and Delta Limit
Replies: 2
Views: 38405

Gamma and Delta Limit

QuoteOriginally posted by: mapleleafsmost traders (options, swaps) have gamma and delta limit to control their trading activities?how does it work?Just like any other limit. If the measure breaches the threshold, then he has to reduce his position.
by jomni
June 5th, 2009, 4:26 am
Forum: General Forum
Topic: Formula to calculate resistance and support levels
Replies: 29
Views: 45469

Formula to calculate resistance and support levels

Quants hate to admit they do technical analysis.
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