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## Search found 11 matches

June 7th, 2018, 4:06 pm
Forum: Brainteaser Forum
Topic: educational coinflip game
Replies: 12
Views: 3560

### Re: educational coinflip game

Yes - I have made a mistake.. and it is pattern specific... I assumed that if on a "loop" I didn't win and you didn't win then we started again. Of course I want to choose a pattern such that if I didn't win and you didn't win then I am 2/3rd s of the way to winning again... and I can (for some patt...
June 7th, 2018, 12:58 pm
Forum: Brainteaser Forum
Topic: educational coinflip game
Replies: 12
Views: 3560

### Re: educational coinflip game

66% I think... Solution - whatever length 3 pattern u choose (say HTT) I pick the pattern that is something then the first 2 of yours.. so THT say... You can only win if (in this case) HT turns up as a pair... If it does there is a 50% chance that just before the HT appeared, a T had appeared and I ...
August 17th, 2012, 9:23 am
Forum: Brainteaser Forum
Topic: Battleships
Replies: 5
Views: 11785

### Battleships

<t>This one has had me stumped for a while. I was thinking in terms of the information that each shot or sequence of shots gives us. Taking a 1*2 boat on a 3*3 grid, I look at 2 shot patterns:(notation is row column)If I shoot at 2 cells next to each other, that eliminates no other cells, so shootin...
August 16th, 2012, 12:31 pm
Forum: Brainteaser Forum
Topic: Battleships
Replies: 5
Views: 11785

### Battleships

<t>Classic game of battleships, played on a 11*11 grid, you have 5 boats, (1 *5 long, 1*4 long, 2*3 long, 1* 2 long). You shoot first - if u miss its your opponents go, if u get a hit u get another shot.Your opponent places his boats randomly and shoots randomly, unless he gets a hit in which case h...
July 31st, 2012, 10:06 am
Forum: General Forum
Topic: Naive question: discount factor, cost of funding or credit risk of issuer/ctpty?
Replies: 7
Views: 12924

### Naive question: discount factor, cost of funding or credit risk of issuer/ctpty?

<t>The discount rate should reflect reality.For example - if the position is collateralized, then it should be discounted at the cost of collateral - in most cases OIS. If its uncollateralized then it should be discounted at the cost of cash to you (so your internal funding curve) with a adjustment ...
July 2nd, 2012, 2:43 pm
Forum: General Forum
Topic: Libor manipulation
Replies: 49
Views: 15273

### Libor manipulation

the other thing to remember on this is because it'll be anti trust law that is used, its triple damages and the same again in punitive (because it was reckless) so whatever number you get multiply by 6
June 21st, 2012, 1:41 pm
Forum: General Forum
Topic: Proxy for CDS spread
Replies: 1
Views: 12336

### Proxy for CDS spread

you should use the repo rate of the bond, as that's the real cost of funding the bond. If there's no repo market, then some average funding level is probably appropriate
June 21st, 2012, 1:40 pm
Forum: General Forum
Topic: CDS spread convertion
Replies: 2
Views: 12047

### CDS spread convertion

depends on what your underlying credit is - say its kingdom of spain, EUR CDS and USD CDS trade at very different levels due to the quanto effect. But if it's something uncorrelated to the FX rate then you shouldn't need to worry too much
December 21st, 2005, 8:34 am
Forum: Technical Forum
Topic: Time Decay of mezzanine tranche
Replies: 4
Views: 126520

### Time Decay of mezzanine tranche

<t>At a guess they are plotting MTM at time t, excluding premium already paid away. Hence mtm(T) = (s-k)*DUR(S), where s is breakeven spread, k is traded spread. Hence even though you decay away value and hence your s drops, and as a protection buyer you have negative MTM, your trade duration shorte...
December 5th, 2005, 1:39 pm
Forum: Technical Forum
Topic: Ziggy's CDO quiz
Replies: 3
Views: 128588

### Ziggy's CDO quiz

<t>Under standard docs the super senior piece decreases its notional by the recovery rate of the defaulted entity - the equity steps its notional down by the loss peice of the defaulted entity..hence the 2 PVBP's will be equal if:a) RR= 50% then recovery = lossb) the amount of each name is sufficent...
November 22nd, 2005, 1:24 pm
Forum: Technical Forum
Topic: Leveraged Super Senior Tranche
Replies: 35
Views: 142050

### Leveraged Super Senior Tranche

<t>Why do you assume ON(t) is discontinuous? It is discontinuous iff L(t) is discontinuous. Now agreed in classical Gaussian Copula way of doing things L(t) would be a discrete process, but I thought the whole purpose of the FLM was to "approximate" the real discrete loss distribution with a mathema...

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