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by miltenpoint
April 13th, 2019, 2:04 pm
Forum: Numerical Methods Forum
Topic: Identifying the components in PCA
Replies: 4
Views: 1177

Re: Identifying the components in PCA

Thanks guys. Great answers!
by miltenpoint
April 5th, 2019, 11:36 am
Forum: Numerical Methods Forum
Topic: Identifying the components in PCA
Replies: 4
Views: 1177

Identifying the components in PCA

My understanding is that PCA does not identify which variables depend on each other and does not specifically identify each component so the how do analysts interpret the factors/components in PCA?  A good example are PCA factors for different maturity US Treasuries. We are told PC1 is parallel shif...
by miltenpoint
June 24th, 2018, 5:53 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2659

Re: NORM.DIST methodology

Thanks guys. I was being a bit slow there but all clear now. I appreciate your help - you are stars !!!
by miltenpoint
June 23rd, 2018, 4:00 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2659

Re: NORM.DIST methodology

Thanks. Got it now :-)
by miltenpoint
June 23rd, 2018, 3:24 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2659

Re: NORM.DIST methodology

 I'm seeing the light here but can't replicate your numbers (1+erf(1/sqrt(2)))/2  where erf(0,1)=0.8427008  = 0.79793  Matlab (whose normcdf function returns the same values as excel NORMDIST) use   normcdf(x)= 0.5*ERFC*(-x/SQRT(2)). (This is what Culhulainn said earlier). see:  https://uk.mathworks...
by miltenpoint
June 23rd, 2018, 12:34 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2659

Re: NORM.DIST methodology

Thanks but ERF or ERFC that doesn't replicate =NORM.DIST(1,0,1,TRUE) = 0.84134475 - unless I'm missing something here.
by miltenpoint
June 22nd, 2018, 3:22 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2659

Re: NORM.DIST methodology

Abramowitz & Stegun 26.2.17 gives the closest value to NORM.DIST but not identical. 
by miltenpoint
June 21st, 2018, 9:13 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2659

Re: NORM.DIST methodology

Thanks. I'll take a look at those. I think one of them ( Abramowitz & Stegun 26.2.16-19)  might be the polynomial approximation I've used from Quantitative Methods for Finance by Parramore and Watsham but  that does not fully match NORM.DIST. Maybe one of the others does. I've already replicated ER...
by miltenpoint
June 21st, 2018, 6:17 pm
Forum: Numerical Methods Forum
Topic: NORM.DIST methodology
Replies: 24
Views: 2659

NORM.DIST methodology

NORM.DIST(x,mean,standard_dev,cumulative). When cumulative is TRUE this function returns the cumulative density function which is the  normal density function  integrated  from negative infinity to x. I understand that there  is no closed form solution for  integrating the NDF but does anyone know w...
by miltenpoint
August 13th, 2014, 6:31 pm
Forum: General Forum
Topic: Repo - haircut or margin
Replies: 4
Views: 4312

Repo - haircut or margin

Thanks to all. Haircut makes sense.
by miltenpoint
August 12th, 2014, 6:57 pm
Forum: General Forum
Topic: Repo - haircut or margin
Replies: 4
Views: 4312

Repo - haircut or margin

<t>The ICMA Repo Margining Best Practices 2012 guide details the difference between haircuts and margin for the collateralisation of repo transaction. (A margin is defined as an agreed premium to the repo purchase price to fix the market price of collateral at the start of the repo. A haircut is def...
by miltenpoint
June 24th, 2014, 4:54 pm
Forum: General Forum
Topic: RIP bootstrapping
Replies: 5
Views: 4697

RIP bootstrapping

Thanks all.Mathmarc - Any chance of uploading a sample chapter sample of your book? It looks good but there's no sample on Amazon to look at. I'm just concerned it might be too mathematical for me.
by miltenpoint
June 22nd, 2014, 2:46 pm
Forum: General Forum
Topic: RIP bootstrapping
Replies: 5
Views: 4697

RIP bootstrapping

<t>I understand that most major banks no longer use bootstrapping to derive libor and ois discount factors but use minimisers as a simpler method.Can anyone point to any further information about this methodology? There seems to be little in the public domain or maybe that's just my man looking (as ...
by miltenpoint
September 10th, 2013, 4:17 pm
Forum: General Forum
Topic: CVA & FVA in practice
Replies: 3
Views: 7111

CVA & FVA in practice

Thanks - I'm mainly looking at swaps
by miltenpoint
September 10th, 2013, 4:16 pm
Forum: Technical Forum
Topic: mean reverting MC for swap rates
Replies: 0
Views: 6480

mean reverting MC for swap rates

<t>Haug in "Option Pricing Formulas", has a Ornstein-Uhlenbeck process for mean reverting monte carlo (pg 355)In VBA:St=St+kappa*(theta-St)*dt+v*St^Beta*v*sqr(dt)*application.NormInv(Rnd(),0,1)St = asset price, Kappa = speed of mean reversion, Beta=1 for lognormal mean reversion model, Beta =0 for n...
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