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by cemil
March 19th, 2015, 12:14 pm
Forum: Technical Forum
Topic: Cap / Floors Volatilities - huge problem
Replies: 10
Views: 4385

Cap / Floors Volatilities - huge problem

Change the model with "Normal" model ( Bachelier) or you can use shifted Black
by cemil
October 14th, 2014, 11:12 am
Forum: Programming and Software Forum
Topic: Which language for
Replies: 2
Views: 3803

Which language for

I need advices to choose an appropriate language for a trading platform: for backside and userside.
by cemil
July 10th, 2014, 9:15 am
Forum: Trading Forum
Topic: BBG Swaption vols - "Black" vs "Normal"
Replies: 2
Views: 4750

BBG Swaption vols - "Black" vs "Normal"

you are right with the big difference between the BS Vol and Normal Vol. The market uses more and more normal vol.You have to modified your model "formulae" for calibration and pricing to use normal vol.
by cemil
May 13th, 2014, 12:58 pm
Forum: Technical Forum
Topic: USD Swap Curve in Bloomberg
Replies: 3
Views: 5220

USD Swap Curve in Bloomberg

it's live
by cemil
May 7th, 2014, 12:11 pm
Forum: Student Forum
Topic: 3M LIBOR in different curencies
Replies: 11
Views: 5347

3M LIBOR in different curencies

it is an answer to his question ("By definition LIBOR is the rate banks lend each other. But, this rate can be quoted in different currencies. Does that mean that 3M EUR = 3M USD * FX holds? ")
by cemil
May 7th, 2014, 7:09 am
Forum: Student Forum
Topic: 3M LIBOR in different curencies
Replies: 11
Views: 5347

3M LIBOR in different curencies

<r>================ ICE LIBOR* FIXING Interest Settlement Rates ========================= The definition of LIBOR was further refined during 1998 as part of a review of the LIBOR Fixing process by the British Bankers Association (BBA). The following definition came into effect on 01 October 1998: Th...
by cemil
March 26th, 2014, 1:18 pm
Forum: Student Forum
Topic: Bond coupon payments at the valuation date
Replies: 4
Views: 4822

Bond coupon payments at the valuation date

<t>QuoteOriginally posted by: mwestra88Dear all,Suppose I want to value a coupon bearing bond at the 31st of September 2013. Let's assume that a coupon payment is also scheduled at that date. Is there any rule/market consensus on whether the coupon should be regarded as being paid in my valuation? I...
by cemil
February 21st, 2014, 12:56 pm
Forum: Technical Forum
Topic: Patching SABR
Replies: 5
Views: 5904

Patching SABR

I can suggest a paper here and hereand here
by cemil
February 6th, 2014, 8:10 am
Forum: Technical Forum
Topic: Option on futures
Replies: 14
Views: 6618

Option on futures

Hello guys,Are anybody have clues about american option on interest future pricing under normal volatility?
by cemil
December 11th, 2013, 3:00 pm
Forum: Student Forum
Topic: Simple Compounding, why?
Replies: 12
Views: 6356

Simple Compounding, why?

<t>QuoteOriginally posted by: CuchulainnTake a 1-period (length dt) approximation to exp(-r dt), i.e. the popular1 / (1 + r dt)Questions:1. Why this? Is there a financial reasoning or is it just numerical convenience?2. If we had a more accurate and more stable approximation, is that 'financially ac...
by cemil
November 25th, 2013, 10:06 am
Forum: Student Forum
Topic: Need help w/ financial derivatives exercises
Replies: 2
Views: 5856

Need help w/ financial derivatives exercises

what is your question(s)?
by cemil
November 12th, 2013, 1:45 pm
Forum: Programming and Software Forum
Topic: Excel tricks
Replies: 109
Views: 19407

Excel tricks

<t>QuoteOriginally posted by: edouardIs there a straight way to dynamically change chart legends?Say may data are in A2:A20.I want the legend to read "My data Sum is [sum]"I made several attempts such as: ="My data Sum is "&sum(A2:A20).I searched a bit on the internet, but the solutions proposed...
by cemil
October 30th, 2013, 2:08 pm
Forum: Programming and Software Forum
Topic: Interfacing R and Excel
Replies: 8
Views: 7207

Interfacing R and Excel

<r>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: UltravioletDo you mean DDE? There's tcltk2 with tk2dde (<URL url="http://cran.r-project.org/web/packages/tcltk2/tcltk2.pdf"><LINK_TEXT text="http://cran.r-project.org/web/packages/ ... tcltk2.pdf">http://cran.r-project.org/web/packag...
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