Thanks ppauperI cant open the link, probably I need to register first. IM me if you have a copy of it.Many thanks

Does anyone know where I can get"Introduction to Synthetic Indexing: Optimal Strategies to Replicate and Enhance Index Returns with Futures and Swaps, issued by Citigroup in spring 2003)."?Thanks in advance

Thanks GMikeI will try it

How can I use bond futures and IR swap futures to replicate a certain high yield index?

yeah, but he expected value of the short is 16, and the llong is 20, therefore you get 4 at time T

<t>in a simple case, imagine I short a put on the S$P500 with implied vol=15, so I short the option and get $16. Now I decided to hedge, but in my vol estimates I screwed up and I estimated it to be 20%, so I go and long a put option, and pay $20 for it, so at time 0 Im -4 in my account. but when bo...

any suggestions?

I need the model to figure out the weights of the different indexes in the fund. later I will use this to hedge

<t>I have to model a fund with a set of indexes. However, all the indexes are correlated, and I have to figure out the weights of each index in the fund. Its probably not a good idea to use OLS, because the results are meaningless, so I was thinking of PLSR or some sort of ICA. any suggestions? Also...

<t>Hi,I ave two questions:1. Are there any futures on bond indexes and are they liquid?2. ETF's on fixed income are avaiilable from 2003, and I need more data to model. THerefore Im trying to use the data prior to 2003 using the underlying index, so basicly Im trying to merge the two time serieses i...

Could you elaborate on that?Thank you so much!

In the CIR framework, there is a closed formula for the term structure.In order to "test my code" I am trying to estimate the "model" term structure using the short rates, generated by the CIR PDE, and curves are very different

Hi,The parameters are just dummy parameters....

Somebody, please help.....

<t>these are the parameters that I use for the sort rateR0=0.05;sigma=0.1;alpha=0.6;bita=0.06;nSim=1000;N=360;%#of time stepsR=repmat(R0,nSim,1);%Simulation of the short ratesfor i=1:N R(:,i+1)=R(:,i)+alpha*(bita-R(:,i))*(1/N)+sigma*sqrt(R(:,i))*sqrt(1/N).*mvnrnd(0,1,nSim); endSo there are the short...