Hi - I'm not sure, but I think that may happen for trades cleared off of the LME.. but don't quote mecheers

<t>Saw someone say room within a room.. yes do this. If you cannot isolate it mechanically from the outer shell then go heavy build brick inner wall and fill cavity with sandSound reduction is proportional to mass... Then if its a regular box shape internally either build yiourself some quadratic re...

<t>yes you dofor OTC instruments (IR swaps, FX, CDS) VM is really collateralised mark to market margin and goes both ways. When you receive a mark to market margin payment you have "use" of that collateral and have to pay interest (for USD it's usually Fed funds). Conversely if you have to pay mark ...

<t>I've had success using Nelder-Mead (unconstrainted and unbounded variables optimizer) along with variable transformation to getthe optimizer variables within required bounds. Other constraints added by using the penalty function approach.. all wrapped up using ExcelDNA (as has laready been sugges...

Bloomberg has forward rate pricing. Look under SAR<Curncy>FRD<go> for example for the Riyal.Can't vouch for them though.

Hi - thankswhat risk is it designed to mitigate? Or its matching fixing periods on swaps (i.e FRAs) and just netting them?Cheers

Hipossibly stupid question, but what does iCaps Reset service actually do?Thanks

S9 is still the most liquid series for iTraxx tranches. Complete lack of customer flow means street just trading out of that series (as the other poster pointed out)

You know that CDSW uses the ISDA model (by default now) .. well you can get the C source from www.cdsmodel.com.. it has an Excel addin (XLL) so its trivial to use in Excel formulae directly or in VBA via Application.RunCheers- Mark

<t>Hi - long time since I posted, but here goes...I have an optimization problem, with a linear objective but with either-or constraints of the form(f(x) = 0 and g(x) = M)or(g(x) = 0 and (f(x) = 0 or f(x) = Q))I know how to model simpler either-or constraints in LP using binary auxilliary variables ...

<r>QuoteOriginally posted by: d32I'm trying to value a portfolio of CDX's, most of which are off-the-run (currently the on the runs are S13's). For many off-the-run CDX's Markit do not provide a quote. I have also tried CMA but I'm not sure if their quotes are reliable as they can be based on histor...

One way is to just generate a uniform random number between 0 & 1 and then call the inverse T CDF to get the RV.

<t>50% is just a payment "now".. if there is no inbuilt running fixed spread (upfronts usually go along with +500 running) then for a par trade this upfront is equal to the PV on the default leg...(dont know whether that helps) but0 = pv = upfront + running spread in bp / 10000 * dv01 - pv of defaul...

buy/sell 5yr protection sell/buy 7yr protection.The bid of 4 referes to the buy on the short leg, sell on thelong I think.

You could try the SendKeys function -- doesn't always work reliably though...Mark