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by Yura
January 24th, 2009, 2:46 am
Forum: General Forum
Topic: VaR Limit Setting
Replies: 19
Views: 50633

VaR Limit Setting

<t>I'm like blown away here. OK. The other limits include 1%, 2%, 3%, pi% of the number written on the wall (I can't tell you which wall that is).You should look at VaR in the context of risk vs. return and what if the shit's gonna happen twice as big as what has happened in the history of the unive...
by Yura
January 24th, 2009, 2:39 am
Forum: Careers Forum
Topic: what is the most promising emerging asset class now?
Replies: 24
Views: 46965

what is the most promising emerging asset class now?

<t>I can't believe how empty this forum has become - just endless messages of nothing, full of shit and nothing more. Go give me some insight on my issues with HJM in another thread! You guys, really need to get a job (DCFC included).PS the problem with all of you "finance guys" or those who're geti...
by Yura
January 24th, 2009, 2:26 am
Forum: General Forum
Topic: HJM model: wacky curve and negative short rate
Replies: 6
Views: 45722

HJM model: wacky curve and negative short rate

they invented overnight rate, but that's as close as they could get to the short rate. you're not answering my question though. looks like you're trying to wiggle you way out, but no no no, I cornered you. be a man (or woman) and give me a straight answer!
by Yura
January 22nd, 2009, 11:02 pm
Forum: General Forum
Topic: HJM model: wacky curve and negative short rate
Replies: 6
Views: 45722

HJM model: wacky curve and negative short rate

Forgive my ignorance, if I'm wrong, but I thought that all model derived from HJM framework can be interpreted as short rate models. Isn't that true?
by Yura
January 22nd, 2009, 3:29 am
Forum: General Forum
Topic: HJM model: wacky curve and negative short rate
Replies: 6
Views: 45722

HJM model: wacky curve and negative short rate

<t>I am forced to exist side by side with an HJM type model which in the current crazy market environment produces weird/unrealistic risk analytics. Please, give me some advice on how to straighten the model out. I am sure the issues I'll describe are not new and somebody faced them already.My model...
by Yura
January 21st, 2009, 12:35 pm
Forum: General Forum
Topic: Lehman Brothers AAA 8.5+ Year CMBS Index
Replies: 2
Views: 46125

Lehman Brothers AAA 8.5+ Year CMBS Index

I found 3 indices that fit the description on Lehman Live. Attached.
by Yura
January 16th, 2009, 10:42 pm
Forum: Careers Forum
Topic: 2009's Safest Wall Street Jobs ( How correct is HF Trading)
Replies: 10
Views: 45429

2009's Safest Wall Street Jobs ( How correct is HF Trading)

I was actually wondering about this myself. It seems the only quant job advertisements that are still left out the are Quant Trading and High Frequency. Is that a reflection of reality?
by Yura
January 16th, 2009, 6:49 pm
Forum: Programming and Software Forum
Topic: Constructor methods in MATLAB
Replies: 5
Views: 49031

Constructor methods in MATLAB

<t>Thanks Chuch, for finding this! It's good to know for sure. I suspect that mathworks might introduce some changes to their OOP in the future to remove some of those bullet points that you quoted. OOP in Matlab is very young. I don't think you could call Object Oriented Programming that what was a...
by Yura
January 16th, 2009, 3:36 am
Forum: Programming and Software Forum
Topic: Constructor methods in MATLAB
Replies: 5
Views: 49031

Constructor methods in MATLAB

The class interface is too large too post here and classified ;) Here is an example which leads to the same error messageclassdef Class_Xproperties a bendmethods function obj = Class_X(obj,a) obj.a = a; end function obj = Class_X(obj,a,b) obj.a = a; obj.b = b; endend
by Yura
January 13th, 2009, 12:21 am
Forum: Programming and Software Forum
Topic: Constructor methods in MATLAB
Replies: 5
Views: 49031

Constructor methods in MATLAB

I have a suspicion that MATLAB allows only one constructor method per class? Is that true?Here is how I arrived to this conslusion. I started defining a second constructor method per class, but MATLAB told me 'Class_X might be used incompatibly or redifined'. What does it mean?
by Yura
January 11th, 2009, 4:26 pm
Forum: Careers Forum
Topic: private equity
Replies: 3
Views: 44444

private equity

<t>QuoteOriginally posted by: LTrainI love the private equity model: Give me your money, don't ask questions, and I will give it back in ten years. (maybe with a profit but no warranty is offered) If things go badly, I just issue a binding capital call. Forget this mark-to-market crap and investor r...
by Yura
January 11th, 2009, 4:21 pm
Forum: Careers Forum
Topic: Which HH's to trust?
Replies: 5
Views: 44888

Which HH's to trust?

<t>QuoteOriginally posted by: ShyurikI finished my Physics PhD in December and just started looking for quant finance jobs - starting with posting my resume on quantfinancejobs, next morning I got a call at 7 (!) am EST when I was still happily asleep enjoying my unemployment vacation from a SelbyJe...
by Yura
December 19th, 2008, 8:02 pm
Forum: General Forum
Topic: BP Vol vs. Yield Vol
Replies: 1
Views: 47888

BP Vol vs. Yield Vol

When I was in grad school, volatility was always expressed in % (as yield vol), but when I started working, I saw that interest rate volatility everywhere is expressed in BP (basis point) form. Why do people in the industry prefer BP vol to yield vol (Black vol)?
by Yura
December 18th, 2008, 12:32 pm
Forum: Careers Forum
Topic: Leave Job to start trading online
Replies: 10
Views: 46479

Leave Job to start trading online

<t>QuoteOriginally posted by: timemaster007I'm thinking of packing my FO job in. I'm a bit tired of my current job role and would like to start trading online. I know it's career suicide at the moment, but I'm sure it's worth a gamble. In worst case, I could always look for another job again in a fe...
by Yura
December 9th, 2008, 3:39 pm
Forum: Careers Forum
Topic: Econometrics major or Finance major? Quant work...
Replies: 33
Views: 49047

Econometrics major or Finance major? Quant work...

<t>When I hear "Computer Science" I think IT. Stupid IT. I don't know, maybe somewhere there are smart IT people, but in my experience, IT people know only IT and, more importantly, they are persived only as such. They even think differently from math people, or normal people in general, that it is ...
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