<t>QuoteOriginally posted by: CuchulainnChristian,Which interpolation methods are used in your model?Afaik :-)possible interpolation methods are linear and spline. However the core class performs interpolation via rational functions, so other methods can be added easily.[/li] possible interpolation ...

<t>QuoteOriginally posted by: DavidJNLooks very interesting. Not knowing anything about Java, I'll start with the paper. But I have noticed that the spreadsheet seems to be missing an XLA file (that presumably serves as the interface between the spreadsheet and the Java libraries?). Like I said, Jav...

<r>I have posted an update to my curve calibration code and the associated paper.The source code (Java) and spreadsheet (Excel/OpenOffice/LibreOffice) for curve calibration (multi-curve curve calibration and interpolation, incl. ois discounting, tenor basis, cross-currency basis) can be found here:<...

<t>It appears to be not easy to call "external" code from Excel for Mac (Excel 2011, aka Excel 14.1). One solution might be to create a VBA macro calling MacScript (i.e. AppleScript) on an external application. What could work (but I haven't tried) is to create an application form you C++ code which...

<t>I believe the weight is not > 1 on all paths. The density is 1/sigma exp((...)/sigma). So paths close to the mean will get a weight < 1 and paths far out will get a weight > 1. In addition sigma comes together with a sqrt(deltaT), so it will take a while until weights grow.... Maybe you forgot th...

<t>The simplest way to account for a different disocunting curve is to assume a deterministic default intensity model, then the discount factor is given by df(t,T) * exp(-lambda(t,T) * (T-t)) - see for example Page 411 (Google Books Viewer) where I described how to implement a multi-curve discountin...

<t>I don't know if I got your initial question right, but:If we have issued a bond, then selling (one) protection on that bond (to it's holder) would correspond to buying back the bond and exchanging it for a risk free bond (issued by a third party that lives on even if "we" default). (Note however,...

<t>Hi.I don't know if this is a contribution to the original question ("valuation of an IR swap"), but as pointed out in Chapter 29 of ISBN 0470047224, for a swap between two counterparts with different credit rating / funding, valuation (discounting) is as complex as valuing a Bermudan option, invo...

QuoteOriginally posted by: kapitalwho cares if it's slow or fast? does it work with excel?Java works well with Excel - if you mean integration into Excel as with XLW/OH for C++.You could use XLL4J or Obba - Java Object Handler.

<t>QuoteOriginally posted by: mjI don't think it makes sense to have a rate reset to prescribed amount on every path in any case.We do something more subtle -- we do a mean shift that undoes the effect of a bump so that whatever the next draw is, the bumped and unbumped models agree. Most products o...

<r>QuoteOriginally posted by: mjit's a good book!Thanks for the positive feedback.PS: Since the book is indeed focused on the sde/Monte-Carlo side of mathematical finance, I take unkpath’s comment as a positive feedback too ;-)QuoteOriginally posted by: unkpathI found that the only valuable parts of...

<t>You can do localization in a "proxy simulation scheme", which is much simpler than doing Mallavian calculus and it can be implemented almost independently from the product and the model. In my experiments I saw good results for simple guesses of localization functions.I have a paper on this, it i...

<t>Mathematical Finance: Theory, Modeling, Implementation Hardcover: 544 pages Publisher: Wiley (August 24, 2007) ISBN: 0470047224For a complete table of contents and an excerpt check the book's home page.Note: Actually this is rather a new edition than a new book. The book was available as a free e...

<t>The book was available as a free download on the web for three years - so to some extend there was a very long peer-review phase and to some extend it is already a second edition.I don't know why, but the feedback-rate from german downloaders was significantly higher than than from english downlo...

<t>QuoteOriginally posted by: pascal2006The proxy scheme technic of M Joshi and C Fries seem to be difficult in sthochastic process case since I need to tabulate ( numerically ) density functions.Why? The method works for the case of stochastic volatility (I assume you mean stoch vol) in the same wa...