I found this online test quite difficult.Have you ever done this test?What is your impression?What is the goal? to kill you at the first time?Thks.Morgan

Hi guys,Does someone have an idea of the salaries in Moody's, Fitch....as a junior CDO Analyst?London?New York?Paris?Thanks.Morgan

<t>But I come back to the pricing problem.In the paper they use Futures and options to price binary options.But if we just want to use the future for the next meeting, we have to make some assumptions:-either find an accurate constraint to solve the trinomial tree??-or fix the jump for each the stri...

thanks a lot.I've just seen the previous paper about binary options features.That one seems more interesting.Once you implied your probs from market prices, we need to adjust them with the future price, don't we?What about the Delta? We shift the fed fund curve??Thanks.Morgan

<t>thks for your response.When you say "you just see those probabilities as a price on your screen"What is the price you're talking about?Option one?So you are saying that we are trading the probs?Long Prob1 or Short ProbSo you imply prob?But if we do that, what is the purpose?So pricing is irreleva...

<r>Hi,The contracts are expected to launch on July 12, 2006 ie today.I had a look in the pdf about the features of the contract...They propose a method to extract probabilities of an increase or no change...implied by the future priceBut I'm not convincedhere it is:FedFunds futures implied rate=prev...

<t>Hi,I'm trying to develop the Moody's Capital Model for the SIV structure.I import the existing spreads from the market given my portfolio.So, it's just few ratings by categories ie StudentLoans AAA and A for the following tenors 1,3,5,7,10y for exampleIs it correct to interpolate the StudentLoans...

so some news about my stuff!!!!after lots of hours devoted to that, I found the solution:One of my Visual projects ,the NAG librairy was a single thread insted of multithread! dll!!!that's all

results = SpreadCalibration(date_vector_variant, spread_vector_variant, Format(from_date, 0), Format(to_date, 0), model, increment_step, average_mode)sorry there is not a com object but all is wrapped with the com technologyresults, date_vector and spread_vector=variant

yep!

<t>Hi,I developped a function in C++ that I want to use in Excel and VB.My dll is well generated and my vba code tooI call it from Vb using variant....That's whi i convert my c++ vectors into variant, variant vectors....anywaybut when I call it from VBI have this error message :"Error : [CSeExceptio...

http://online.wsj.com/article_email/SB1 ... zkxWj.html

and what do you think about fixing volatility using standard deviation of delta(r)/sqrt(r) for each rate of the sample datausing dr/sqrt(r)=deterministic term + sigma*dWt

what is diff evolution?

Hi,I'm looking for the following paper:Pearson, N. D., and T.-S. Sun, 1989, A test of the Cox, Ingersoll, Ross model of the termstructure of interest rates using the method of maximum likelihood, Working paper, MIT.Does someone have this paper?thksMorgan