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by DavidJN
March 14th, 2019, 9:52 pm
Forum: Book And Research Paper Forum
Topic: Machine Learning for Bond Options pricing/hedging
Replies: 3
Views: 124

Re: Machine Learning for Bond Options pricing/hedging

Does it have to be options? If not, how about Treasury bond futures?
by DavidJN
March 8th, 2019, 12:26 pm
Forum: General Forum
Topic: I want to steal his CEO job NOW!
Replies: 17
Views: 626

Re: I want to steal his CEO job NOW!

".... it is very very hard, for a life insurance company to be under distress."

You might instead consider stand-up comedy as a career?
by DavidJN
March 4th, 2019, 11:56 pm
Forum: Off Topic
Topic: Sixties Music *****
Replies: 43
Views: 4610

Re: Sixties Music *****

Let's take this thread a little "outside"?
by DavidJN
February 21st, 2019, 2:14 am
Forum: Student Forum
Topic: SOFR discounting
Replies: 1
Views: 171

Re: SOFR discounting

I recommend you read this:
https://www.newyorkfed.org/medialibrary ... RC-faq.pdf
The ARRC is the  Alternative Reference Rates Committee.
by DavidJN
February 19th, 2019, 2:21 pm
Forum: Student Forum
Topic: ATMF ?
Replies: 4
Views: 245

Re: ATMF ?

Forgetting options for a moment, ATMF means that no money needs to change hands today when agreeing to a transaction settling at some date later than spot settlement. Don’t get too hung up on measure here, just think of what the price has to be for the transaction to be arbitrage-free. Review the 'c...
by DavidJN
February 15th, 2019, 4:20 am
Forum: Programming and Software Forum
Topic: Excel C API question
Replies: 5
Views: 217

Re: Excel C API question

Okay, I remembered it. Count the number of characters including blank spaces in the text string and convert the answer from decimal to octal. 
by DavidJN
February 13th, 2019, 4:17 am
Forum: Programming and Software Forum
Topic: Excel C API question
Replies: 5
Views: 217

Excel C API question

I've built my XLL add-ins using the Excel C API for ages but not lately, and I've forgotten a detail. The code line below assigns an error message string that will be returned by a function if a certain argument fails a certain error check: result.val.str = "\043Time_in_years must be non-negative!" ...
by DavidJN
February 10th, 2019, 4:49 pm
Forum: Student Forum
Topic: EASY QUESTION: Is futures / cash hedge dynamic or static?
Replies: 2
Views: 111

Re: EASY QUESTION: Is futures / cash hedge dynamic or static?

Google "tailing a hedge" or "tailing a futures hedge".
by DavidJN
January 14th, 2019, 11:40 pm
Forum: Off Topic
Topic: Quants in POLAND
Replies: 156
Views: 198329

Re: Quants in POLAND

"Who has a fascist government?"
Hungary. They've been there before, of course.
by DavidJN
January 5th, 2019, 2:38 pm
Forum: General Forum
Topic: Fixing offset in AUD swaps
Replies: 7
Views: 285

Re: Fixing offset in AUD swaps

Commonwealth countries (UK, Canada, Aussie, New Zealand) tend to have a zero day lag, that is fixing dates are the same as value dates.
by DavidJN
January 2nd, 2019, 3:10 pm
Forum: Book And Research Paper Forum
Topic: The FLAW & HOW TO FIX CAPITALISM
Replies: 15
Views: 782

Re: The FLAW & HOW TO FIX CAPITALISM

" yes this is an interesting topic, some we can find from option theory and practice." Indeed. I did that kind of research in the late 1980's and that is partly how I informed my opinion on the topic. Have you read any of the Free Banking literature? Kevin Dowd from the UK is one proponent of this i...
by DavidJN
December 4th, 2018, 4:04 am
Forum: Book And Research Paper Forum
Topic: The FLAW & HOW TO FIX CAPITALISM
Replies: 15
Views: 782

Re: The FLAW & HOW TO FIX CAPITALISM

Limited liability is a fascinating topic. Assuming any private company ever had the wherewithal to sell it (which I totally doubt), what would the premium to buy limited liability insurance? I imagine it would be enormous. This being so, I have always thought that the corporate tax should be fairly ...
by DavidJN
December 4th, 2018, 3:57 am
Forum: Economics Forum
Topic: Seven Deadly Innocent Frauds of Economic Policy - Mosler Economics
Replies: 3
Views: 216

Re: Seven Deadly Innocent Frauds of Economic Policy - Mosler Economics

It is fascinating reading, at first blush its hard to tell if the guy is the next prophet (profit?) or a nut. There seems to be a lot of the confidence fairy within it, I assume that would be the angle against it that Krugman would take.As for alternate theories of finance, I find the free banking i...
by DavidJN
November 25th, 2018, 4:17 pm
Forum: Numerical Methods Forum
Topic: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio
Replies: 9
Views: 332

Re: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio

Especially back in older days with limited computing power, it was not uncommon for risk systems to use closed-form approximations  in the interests of reducing computation times. It is not unusual to see this still today when dealing with products requiring slow path-dependent valuation like you ar...
by DavidJN
October 14th, 2018, 5:06 pm
Forum: Technical Forum
Topic: Libor rates
Replies: 1
Views: 305

Re: Libor rates

LIBOR stands for London Interbank Offer Rate. 3-month LIBOR is the rate that applies over a 3-month interbank loan/deposit.  3-month LIBOR is not a compounded interest rate, but is typically quoted as a money market rate with the actual/360 day count. So, the PV of $1 discounted at 3-month LIBOR wou...
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