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## Search found 129 matches

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May 17th, 2008, 2:35 am
Forum: General Forum
Topic: LCDX pricing
Replies: 1
Views: 58105

### LCDX pricing

February 26th, 2008, 3:11 pm
Forum: Technical Forum
Topic: Base-Correlation for LCDX9 Tranches?
Replies: 5
Views: 62877

### Base-Correlation for LCDX9 Tranches?

September 11th, 2007, 1:53 am
Forum: Technical Forum
Topic: matlab armax vs. ar
Replies: 6
Views: 71648

### matlab armax vs. ar

<t>QuoteOriginally posted by: msperlinQuoteOriginally posted by: cksh2005While cannot claim to be an expert in this field, I'm aware of the basic difference between ARMAX and AR, mathematically. Sorry if I was not being specific: the question is pertinent to MATLAB command: ARMAX and AR. According t...
September 11th, 2007, 12:51 am
Forum: Technical Forum
Topic: matlab armax vs. ar
Replies: 6
Views: 71648

### matlab armax vs. ar

<t>While cannot claim to be an expert in this field, I'm aware of the basic difference between ARMAX and AR, mathematically. Sorry if I was not being specific: the question is pertinent to MATLAB command: ARMAX and AR. According to Matlab, armax(dex, [3, 0]) should be equivalent to a simple AR(3) mo...
August 20th, 2007, 3:56 am
Forum: Technical Forum
Topic: matlab armax vs. ar
Replies: 6
Views: 71648

### matlab armax vs. ar

Thanks for your kind suggestion for (ii) and (iii). As for (i): let me rephrase the question: how could I parameterize the matlab ARMAX model to give an equivalent AR model?
August 19th, 2007, 2:41 am
Forum: Technical Forum
Topic: matlab armax vs. ar
Replies: 6
Views: 71648

### matlab armax vs. ar

<t>(i) could someone please point out what's the difference between armax(dex, [3, 0]) and ar(dex, [3])? Shouldn't they give same result? (dex is just a time series n*1 vector)(ii) is there a way to implement ARIMA in matlab? I couldn't find the function (only ar, ma and armax) and I have most of th...
May 6th, 2007, 3:29 am
Forum: General Forum
Topic: Pricing LCDS/LCDX
Replies: 24
Views: 81221

### Pricing LCDS/LCDX

Could someone please point me in the right direction for papers on the topic? The search engines returned nothing. I know it is a newish product, but there has got to be some quantitative papers written on LCDS and LCDX? Many thanks!
January 5th, 2007, 6:30 am
Forum: General Forum
Topic: Swaption expiry question
Replies: 8
Views: 85056

### Swaption expiry question

<t>QuoteOriginally posted by: NorthernJohnQuoteOriginally posted by: cksh2005Any swaption traders/quants here please help.I am trying to, yes.Did you want a different swaption trader?If they ask for 165D, then what do you mean "what daycount fraction"? It will expire in 165 days. Where does any frac...
January 4th, 2007, 6:30 am
Forum: General Forum
Topic: Calculating the carry on a vanilla interest rate swap?
Replies: 4
Views: 85128

### Calculating the carry on a vanilla interest rate swap?

<t>QuoteOriginally posted by: chnSorry, i dont mean a straight swap....i mean a fly! I have the carry for each part of the fly but how do i use these to calculate the carry for the fly as a whole please? Thanks.notional_1*rate_1 - notional_2*rate_2 + notional_3*rate_3e.g. for 50/50 fly,rate_1 - 2*ra...
January 4th, 2007, 2:13 am
Forum: General Forum
Topic: Swaption expiry question
Replies: 8
Views: 85056

### Swaption expiry question

January 1st, 2007, 7:34 pm
Forum: General Forum
Topic: Swaption expiry question
Replies: 8
Views: 85056

### Swaption expiry question

<t>QuoteOriginally posted by: NorthernJohnWe do not quote swaptioms as "176D", so your question is a bit unclear.If someone wanted a 6m expiry, we would look at the date 6 months from today. Today being the first, we would look at the first of July. If it was a holiday, we would roll it forwards to ...
December 31st, 2006, 2:41 pm
Forum: General Forum
Topic: Swaption expiry question
Replies: 8
Views: 85056

### Swaption expiry question

Quick question on market practice:What is the daycount convention for calculating expiry? ie. if the number of days to expiry is, say, 176, then which year fraction (176/360, 176/365, etc) number the market uses to get to the market price of a swaption?
June 10th, 2006, 2:30 pm
Forum: Brainteaser Forum
Topic: A nice brain teaser for this weekend
Replies: 9
Views: 103481

### A nice brain teaser for this weekend

Can I tell people where to sit? Or is it up to them to choose?
June 9th, 2006, 2:50 pm
Forum: Brainteaser Forum
Topic: A tricky one
Replies: 40
Views: 140316

### A tricky one

<t>QuoteOriginally posted by: alexandreC5 numbers are randomly picked from 90.In your bet cards, you get to choose 5 numbers.How many cards have you got to fill in,to guarantee that at least one of them has 4 right numbers?A.Am I missing something?Total sample size: A=C(90,5)Sample with four right n...
June 9th, 2006, 12:08 pm
Forum: General Forum
Topic: request for Bloomberg's ticker code
Replies: 7
Views: 104389

### request for Bloomberg's ticker code

QuoteOriginally posted by: charlalDear cksh2005, thanks a lot for the help !Getting this tickers was very important for me.Thanks again,charlalMay I ask what you plan to use them for?
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