<r>There is another paper here with some possible answers.<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2049278"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... id=2049278">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2049278</LINK_TEXT></URL>(see their Proposition ...

<t>I agree with punkfanatic3000. You've got 3 degrees from, as it happens, the best 3 universities in Britain. What good would a MSc in Statistics do? Another MSc would be a load of money for not much (and I bet the two Master's you have already weren't good for your bank balance) in return.Look aro...

<t>The article has been cut-and-paste below for Alan's benefit.Is there a way for the post to be deleted later. As Alan indicated, nobody wants to break any copyright rules (though it has also been in the FT - not just Risk magazine). ________________________________________Banks will struggle to fi...

Thanks a lot, Jim. Your second suggestion: (vector<long> llndex(2, 1); double tmp = oldFn(&llndex[0]) works perfectly (didn't try the first 'coz the second suggestion works great). Thanks a lot for your help.

<t>I have a function double oldFn( long * ptrLong ). It is somewhat legacy code which I don't want to change (before anyone suggests it). It takes in a long*, does some manipulations and returns a double (let us say). I want to pass in an input which is an array (called lIndex below) with 2 elements...

<t>Thanks very much for that, DaveAngel.As a follow-up and on a slightly different issue, does anyone know if the market conventions for EUR/USD are the same as for GBP/USD or not. I seem to recall reading somewhere that they are not ie the risk-reversals are quoted the other way round for EUR/USD i...

<t>In the fx options markets, the convention is to quote delta-neutral (DN) straddles, 10-d RR, 25-d RR, 10-d BF and 25-d BF where "-d" means delta and RR and BF are risk-reversals and butterflies. That much is well-known.I have a question though about what you actually trade:If a trader actually bu...

Thanks, adcockj. I wonder if it the size of my spreadsheet? I will have a go at what you suggested. BTW, is there any difference between arrayIn.Offset(i, j).Value2andarrayIn.Offset(i, j).Value ?

<t>I am trying to write a fairly simple function in VBA which takes in a large array (eg 3000 rows and 160 columns) from excel, does some moderately simple manipulations and calculations and returns the results back into excel via a large array (of similar size). It seems that it crashes when I incr...

<t>The first thing to say is that there are probably 50,000 programmers / IT people out there in the world who feel bored or underpaid in their current role and are thinking of trying to get into the quant world - presumably because they think it will be more interesting or better paid.With that in ...

<t>It is slightly off-topic but does anyone know what the legal situation is with regards to a negative LIBOR fixing? Obviously, it is set by the BBA. When SFR LIBOR is fixed tomorrow, could it be fixed by the BBA at a negative rate? And if so, suppose there is a floating-rate note or some sort of b...

<t>Well, I have also heard that some people are a little sceptical about degrees in financial maths/engineering (in general) but I wouldn't worry about it - most potential employers will fully appreciate its value.Oxford is undoubtedly a top 10 University in the world and Mike Giles has a phenomenal...

As a postscript, for some short-dated caps and swaptions in Swiss Francs, implied Black vols are well over 1000% (except presumably for those with negative implied forwards - for which implied Black vols do not even exist).Doug

<t>You said two publications forthcoming in alpha journals. What do you class as an alpha journal?You said you would be getting $200,000+ as a starting salary in an academic position at a US school.If that is the case, take the academic position, you will not get more than that in a quant job (howev...

For those who have ever asked themselves if interest-rates can go negative, 3m LIBOR SFR futures are now trading above 100 for the four nearest contracts in Swiss Francs eg 100.02 paid on the nearest contract. This implies negative forward LIBOR interest-rates.Doug