<t>Is there a bond pricing model out there that uses different spreads for different maturities, i.e. a spread curve. For eg: to price a corporate bond, you would add on this spread curve to the treasury curve instead of adding a constant spread to all maturities of the treasury curve. The advantage...

securitization.netvinodkothari.comabsnet.net

Any CDO structurers here? I need some info and would appreciate it if you could help. Thx.

<t>QuoteOriginally posted by: KackToodles> But ifEinstein did not exist, we would still have relativity and everything else he disovered. .......... because scientists are "off the shelf commodities." Beethoven's contribution,however, was unique and irreplaceable.I'm afraid I have to disagree with t...

<t>QuoteOriginally posted by: KackToodles> The quote is Paul Dirac's. He's my favorite for many reasons.It sounds like Dr. Dirac did not do so well in his poetry courses. Interesting howscientists trash poets, but you seldom here poets trash scientists.There lived a physicist in Old LymeWhose wife w...

QuoteOriginally posted by: shanti ...that are undeniable fundas ...That's got to be a first for Indian college slang on these boards

QuoteOriginally posted by: farmerWhat matters is what she is going to do, not what she has done.The thing with people is, the past is an unbiased predictor of the future!

criskyQuote instead I imposed constraints with transformation functionsDo you mean penalty functions?

<t>QuoteOriginally posted by: DavidJNThere are a couple of commercial software systems which apply stochastic dynamic programming to ALM (e.g. pension A/L mismatch).AFAIK, these software systems are mostly stochastic linear/quadratic programs misnamed as stochastic dynamic programs. I recall some st...

<t>ok, dumb question - but please clarify.what does a Negative OAS mean?I have a CMO with a negative OAS calculated over the treasury curve.Now,Z-spread = OAS + option cost.Z-spread risks = credit + liquidity + callOAS risks = credit + liquidityDoes it mean that this bond has less credit + liquidity...

<t>Quote...commercial software systems which apply stochastic dynamic programming to ALM Quote...Dynamic programming is governed by the 'Bellman' equation.So N, what makes you think "stochastic dynamic programming" is dynamic programming? If we were to go purely by names, then is an Equity Default S...

QuoteOriginally posted by: DCFCDoes seem that a very large % of people we see want to be one,.Cause the money's good.

yup, don't spin. chance of dying is 1/4 if you don't spin. 1/3 if you spin.

what if there were two bullets in adjacent chambers? you fire once, nothing happens. next you have a choice of firing or spinning the barrel and then firing. Which would you choose?