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by larsh0303
June 16th, 2010, 10:11 am
Forum: General Forum
Topic: Paper for Greeks 101 for Fixed Income
Replies: 3
Views: 27188

Paper for Greeks 101 for Fixed Income

Good call.
by larsh0303
June 15th, 2010, 11:11 am
Forum: General Forum
Topic: Paper for Greeks 101 for Fixed Income
Replies: 3
Views: 27188

Paper for Greeks 101 for Fixed Income

Gents,Today my intern asked me for paper explaining Greeks 101 in Fixed Income products. I find this question very generic and don't what to throw him a big text book. Can anyone reference a Greek 101 paper for my intern to read?Cheers,Lar
by larsh0303
December 9th, 2008, 11:23 am
Forum: Trading Forum
Topic: What bloomberg page do people open as fixed income trader
Replies: 2
Views: 45908

What bloomberg page do people open as fixed income trader

as title. what bloomberg page do you open? Except for getting some historical data, I personally only open the news and message.
by larsh0303
November 14th, 2007, 11:26 pm
Forum: General Forum
Topic: How should I explain the vol of a portfolio
Replies: 1
Views: 62644

How should I explain the vol of a portfolio

<t>Maybe I am very wrong. At least one of my friends agree with my view point. I was in a project to find out the optional structure of a butterfly. My goal is to make gamma and vega neutral, and find the optimal weight of the three options. It sounds pretty easy and I can successfully find the opti...
by larsh0303
January 24th, 2007, 2:34 pm
Forum: General Forum
Topic: Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Replies: 11
Views: 82755

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

<t>Hi there,I am working in the fixed income derivatives field and they way we model smile is using these parameters: Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right. We have some internal slides talking about what these parameters are, but I would like to r...
by larsh0303
January 22nd, 2007, 11:16 pm
Forum: General Forum
Topic: Sum of Delta, sum of vega
Replies: 3
Views: 81545

Sum of Delta, sum of vega

<t>Thank you for both of your responses. I understand the greeks, I was just wondering whether I can derive the B/S formula to calculate the derivatives of the vol and rate. I got some insight from my other question about how to do the derivatives from the B/S formula. Thus case resolved. But still ...
by larsh0303
January 22nd, 2007, 3:20 pm
Forum: General Forum
Topic: How to prove that Call and Put have the same vega in B-S world
Replies: 14
Views: 82393

How to prove that Call and Put have the same vega in B-S world

Ahhaaa~Now I understandThanks a lot for your kind help!!! To you all.
by larsh0303
January 22nd, 2007, 2:46 pm
Forum: General Forum
Topic: How to prove that Call and Put have the same vega in B-S world
Replies: 14
Views: 82393

How to prove that Call and Put have the same vega in B-S world

<t>QuoteOriginally posted by: cemilQuoteOriginally posted by: larsh0303QuoteOriginally posted by: cemilQuoteOriginally posted by: larsh0303QuoteOriginally posted by: cemilCalculate dC/d vol and dP/d vol and you can see it is the same formulae. So, this proof is enough, isnt it? Yeah, it probably is....
by larsh0303
January 22nd, 2007, 2:37 pm
Forum: General Forum
Topic: How to prove that Call and Put have the same vega in B-S world
Replies: 14
Views: 82393

How to prove that Call and Put have the same vega in B-S world

<t>QuoteOriginally posted by: cemilQuoteOriginally posted by: larsh0303QuoteOriginally posted by: cemilCalculate dC/d vol and dP/d vol and you can see it is the same formulae. So, this proof is enough, isnt it? Yeah, it probably is. I guess the question is how to derive dC/d vol. Maybe I should post...
by larsh0303
January 22nd, 2007, 2:27 pm
Forum: General Forum
Topic: How to prove that Call and Put have the same vega in B-S world
Replies: 14
Views: 82393

How to prove that Call and Put have the same vega in B-S world

QuoteOriginally posted by: cemilCalculate dC/d vol and dP/d vol and you can see it is the same formulae. So, this proof is enough, isnt it? Yeah, it probably is. I guess the question is how to derive dC/d vol. Maybe I should post this to Kindergarten forum, haha.
by larsh0303
January 22nd, 2007, 2:12 pm
Forum: General Forum
Topic: Sum of Delta, sum of vega
Replies: 3
Views: 81545

Sum of Delta, sum of vega

<t>Hi there,I understand I can sum up the delta of bonds; it is rather easy to be done in bond algebra. Can I do the same thing in bond options? I would assume I can since we are doing it in our spreadsheets already. But how do I prove it? In addition, can I sum up vega? I want to say I can since it...
by larsh0303
January 22nd, 2007, 2:10 pm
Forum: General Forum
Topic: How to prove that Call and Put have the same vega in B-S world
Replies: 14
Views: 82393

How to prove that Call and Put have the same vega in B-S world

<t>Hi there,I just realized that in the Black Scholes world, Call and Put options have the same vega, and there's a close form solution of it. I don't know how to prove it in algebra. I tried to use chain rule to drive the sigma inside d1, but I failed because I don't have a close form of N function...
by larsh0303
August 27th, 2006, 3:14 pm
Forum: Programming and Software Forum
Topic: Matlab interp1 function
Replies: 2
Views: 101337

Matlab interp1 function

<t>Dear All,I tried to use Matlab to run an interpolation. I use interp1 to run it and get the following error message:The values of X should be distinctWhat did I do wrong???The following is my command:interp1(Dist(:,3),Dist(:,1),100)And the following link has the contents of variable Dist: Thanks ...
by larsh0303
August 24th, 2006, 2:01 pm
Forum: Technical Forum
Topic: What's the kurtosis of Normal Distribution??
Replies: 2
Views: 94937

What's the kurtosis of Normal Distribution??

Thanks Collector. You answered me right on the spot, and the story is entertaining too
by larsh0303
August 24th, 2006, 1:44 pm
Forum: Technical Forum
Topic: What's the kurtosis of Normal Distribution??
Replies: 2
Views: 94937

What's the kurtosis of Normal Distribution??

I always remember that the kurtosis of normal is 3. So I looked up google. Interestingly wikipedia tells me that it is 0!!see: http://en.wikipedia.org/wiki/Normal_distributionI guess it is a little bit confusing.