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by gjk77
September 7th, 2013, 8:43 am
Forum: General Forum
Topic: End of month convention
Replies: 10
Views: 11483

End of month convention

<t>MattF is correct.End of Month (roll) convention tells you how to generate the unadjusted calculation period dates on swap leg. The confusion arises when first regular period start date or last regular period end date is on the end of a month. A roll convention decides, either it is a specific day...
by gjk77
March 15th, 2013, 8:12 am
Forum: Off Topic
Topic: Sharelatex / Scribtex online latex
Replies: 4
Views: 8075

Sharelatex / Scribtex online latex

I have used sharelatex for the last 6months, and am very happy with it. I guess it is like google docs. I like being able to access the docs and editor from any computer.
by gjk77
November 17th, 2012, 7:58 pm
Forum: General Forum
Topic: Bianchetti's Formulas - Are they actually used?
Replies: 17
Views: 14249

Bianchetti's Formulas - Are they actually used?

The old paper in Risk Magazine, "Basis for change", 1995 by Fruchard et al is the first glimpse of a consistent framework that I have seen. They specifically consider interest rate basis and ccy basis swaps in the same framework.
by gjk77
November 17th, 2012, 10:28 am
Forum: General Forum
Topic: Will Central Clearing remove the Convexity Adjustment between the Forward Rate and the Futures Rate?
Replies: 8
Views: 11638

Will Central Clearing remove the Convexity Adjustment between the Forward Rate and the Futures Rate?

<t>When interest rate swap are cleared, you are compensated for funding the VM, the so-called "price alignment interest" which means there will not be the convexity correction you are thinking of, and the swap is economically equivalent. However, this PAI is only for OTC products, the futures contra...
by gjk77
April 26th, 2012, 7:58 am
Forum: General Forum
Topic: Floorlet cashflow forecasting
Replies: 1
Views: 13355

Floorlet cashflow forecasting

Digitals are often priced by replication with using call spreads to capture the skew, rather than assuming Black and plugging in the vol at the strike which I guess you are trying to do.
by gjk77
February 13th, 2012, 3:18 pm
Forum: Technical Forum
Topic: Blipping & Jacobian?
Replies: 5
Views: 16522

Blipping & Jacobian?

<t>The Hagan and West paper, "Interpolation Methods for Curve Construction", Appl Math Finance, 2006 has some discussion on the localness of hedge recommendations. There are examples of classic bump inputs and revalue as you describe and the alternative of perturbing forward curve and computing equi...
by gjk77
December 7th, 2011, 6:37 pm
Forum: Programming and Software Forum
Topic: Has someone used code escrow account?
Replies: 11
Views: 16443

Has someone used code escrow account?

<t>Code escrow is usually used when you buy software, part of the deal is that a copy of the code for each release of the software gets put to an escrow, so that if the software company goes bankrupt, the licensee of the software has access to the code. Your situation sounds more like you want licen...
by gjk77
October 18th, 2011, 5:31 pm
Forum: Programming and Software Forum
Topic: when should not use open source code for a company's project ?
Replies: 9
Views: 20825

when should not use open source code for a company's project ?

<t>Without sounding too obvious, if your company is a closed source software company, much care is needed to be sure you are using the code/library in a way that is consistent with the open source license. There is often misunderstandings between each of the variations in open source licenses, and y...
by gjk77
December 28th, 2010, 7:57 am
Forum: Technical Forum
Topic: Pricing interest rate caplet with bp vol
Replies: 2
Views: 25049

Pricing interest rate caplet with bp vol

<t>If you assume caplet's forward rate to be normal, this also leads to exact analytic formula, the Bachelier formula, which you can just plug in your bpvol directly. If you are constrained by your system, and you are forced to evaluate the Black-Scholes formula for caplet pricing, then you can stil...
by gjk77
December 20th, 2010, 2:07 pm
Forum: Technical Forum
Topic: Convexity adjustment for swap futures
Replies: 8
Views: 25055

Convexity adjustment for swap futures

The swap future has structure very similar to bond futures, without complex delivery rules, so the papers of Henrard on bond futures should help.As I understand it, the active contracts are quite short and so the correction is very, very small.
by gjk77
July 28th, 2010, 7:49 am
Forum: Numerical Methods Forum
Topic: Identifying a piecewise smooth function from samples
Replies: 2
Views: 27444

Identifying a piecewise smooth function from samples

<t>We have payoff functions described by an expression defined at runtime. For numerical schemes it is helpful to know where the 'kinks' in the payoff are located, for example strike or local barrier level.how best to identify the kinks, even approximately, so that numerical scheme can be concentrat...
by gjk77
June 3rd, 2010, 5:24 pm
Forum: Book And Research Paper Forum
Topic: Overview of EONIA and Update on EONIA Swap Market
Replies: 0
Views: 30890

Overview of EONIA and Update on EONIA Swap Market

In a recent paper of Marco Bianchetti on pricing with mulitiple curves, there is a reference to an article I am unable to obtainGoldman Sachs, ?Overview of EONIA and Update on EONIA Swap Market?, Mar. 2010.Does anyone have this article?
by gjk77
February 3rd, 2010, 3:28 pm
Forum: Programming and Software Forum
Topic: friendly latex editor
Replies: 28
Views: 41922

friendly latex editor

I use this, works well for my purposes. I like the ability to see the preview beside the latex document being edited.
by gjk77
July 17th, 2009, 7:17 pm
Forum: Technical Forum
Topic: implicit volatility
Replies: 3
Views: 37325

implicit volatility

These papers are worth reading, they have some good approximations and discussion about computing implied vol.M. Li, "You Don't Have to Bother Newton for Implied Volatility", ssrnP. Jackel, "By Implication", Wilmott magazine
by gjk77
June 10th, 2009, 3:54 pm
Forum: Numerical Methods Forum
Topic: How to price Target Redemption Notes Using Trees
Replies: 6
Views: 43916

How to price Target Redemption Notes Using Trees

Z. Hu, "Cutting edges using domain integration", Risk, (Nov) 2006 has some mention of TARN's on trees.
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