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by DavidJN
March 19th, 2024, 3:05 pm
Forum: Student Forum
Topic: Delta Hedging P&L
Replies: 10
Views: 486

Re: Delta Hedging P&L

Once you are able to confirm the limiting result of zero P&L in the fantasy BS world, try seeing what happens when you change the underlying drift to something other than the risk less rate.
by DavidJN
February 26th, 2024, 3:26 pm
Forum: Student Forum
Topic: Black-Scholes and Forward Price
Replies: 3
Views: 385

Re: Black-Scholes and Forward Price

What is the difference between a spot price and a forward price? Understand that and the option question should be easy. 
by DavidJN
November 14th, 2023, 6:12 pm
Forum: Programming and Software Forum
Topic: Hello World in all Languages, post here
Replies: 151
Views: 183730

Re: Hello World in all Languages, post here

Back to topic, here's "Hello World" using the Excel C-API:

static XLOPER12 xResult;
xResult.xltype = xltypeStr;
xResult.val.str = L"\014Hello World!";
return(LPXLOPER12)&xResult; 
by DavidJN
November 14th, 2023, 6:10 pm
Forum: Programming and Software Forum
Topic: Hello World in all Languages, post here
Replies: 151
Views: 183730

Re: Hello World in all Languages, post here

The "chicken head" knobs on my 90's Fender Blues Deluxe reissue amp all max out at 12. The classic vintage Fender amps stop at 10. Woo hoo!
by DavidJN
August 31st, 2023, 3:50 pm
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 124
Views: 66193

Re: iv for all and all for iv

If it takes more than 2-3 iterations for a simple BS model IV, then one is not bringing to bear everything that is already known about how to get there faster. Speaking of infeasible regions, it is always useful to first check using certain boundary conditions whether an IV calculation is even possi...
by DavidJN
April 20th, 2023, 5:09 pm
Forum: General Forum
Topic: What do "Head Quants" actually do?
Replies: 45
Views: 15931

Re: What do "Head Quants" actually do?

There will always be a need for people with the sharpest and newest skills. Collecting and directing those talents to a greater purpose is the job of management and the Head Quant is also a manager.   Any truly good manager who wants to succeed will spend a quarter of their time managing the staff -...
by DavidJN
April 19th, 2023, 11:35 am
Forum: General Forum
Topic: What do "Head Quants" actually do?
Replies: 45
Views: 15931

Re: What do "Head Quants" actually do?

Of course a Head Quant would know what the Crank Nicholson method is. But a truly useful Head Quant would also never elevate technique above need or output, and that is appropriate given that code is rarely the foundation of success in this business. 
by DavidJN
April 18th, 2023, 4:58 am
Forum: General Forum
Topic: What do "Head Quants" actually do?
Replies: 45
Views: 15931

Re: What do "Head Quants" actually do?

I'll bite. Management responsibilities - variety of attestations and sign-offs that impact financial reporting Revenue – imho a good Head Quant would be well utilized in deal level approval committees, to keep the business people under scrutiny Publicity - speaking engagements, trade press interview...
by DavidJN
March 30th, 2023, 7:04 pm
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8311

Re: Basic fixed income question: the meaning of "one month ahead"

The US observes the same "Following" or Next Good Business Day date roll as Canada without any cash flow adjustment. "If any principal or interest payment date is a Saturday, Sunday, or other day on which the Federal Reserve System is not open for business, we will make the payment (w...
by DavidJN
March 30th, 2023, 6:26 pm
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8311

Re: Basic fixed income question: the meaning of "one month ahead"

TreasuryDirect website page on auctions lists the bill maturities in weeks rather than months. 
 General Auction Timing — TreasuryDirect

Leads to urls on auctions, that oughta do it: Auction Regulations (UOC) — TreasuryDirect
by DavidJN
March 30th, 2023, 6:00 pm
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8311

Re: Basic fixed income question: the meaning of "one month ahead"

Here is the source, there has to be a US equivalent: Legal Terms and Conditions for Government of Canada Domestic Debt Securities - Canada.ca

Unfortunately the auction processes are not described, hence no further insight on T-bill maturity date selection.
by DavidJN
March 30th, 2023, 6:00 pm
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8311

Re: Basic fixed income question: the meaning of "one month ahead"

Here is the source, there has to be a US equivalent: Legal Terms and Conditions for Government of Canada Domestic Debt Securities - Canada.ca

Unfortunately the auction processes are not described, hence no further insight on T-bill maturity date selection.
by DavidJN
March 30th, 2023, 5:56 pm
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8311

Re: Basic fixed income question: the meaning of "one month ahead"

The Canadian central bank has responded. Turns out the old bond honk had it right more than 30 years ago, in Canada the Following date roll is used on treasury bonds with the "Ontario" (read Toronto) holiday calendar:   " If any payment of the principal or interest falls due on a day ...
by DavidJN
March 30th, 2023, 2:21 pm
Forum: Economics Forum
Topic: BTFD - Bank Term Funding Program Thread
Replies: 17
Views: 6165

Re: BTFD - Bank Term Funding Program Thread

Not intending to hijack your thread here, so just ignore if not interesting. About a decade ago an enterprising Bank of Montreal economist did some interesting work and ascertained that about half of both the domestic assets and liabilities (we’re mostly talking about retail mortgages and deposits) ...
by DavidJN
March 30th, 2023, 2:21 pm
Forum: Economics Forum
Topic: BTFD - Bank Term Funding Program Thread
Replies: 17
Views: 6165

Re: BTFD - Bank Term Funding Program Thread

Not intending to hijack your thread here, so just ignore if not interesting. About a decade ago an enterprising Bank of Montreal economist did some interesting work and ascertained that about half of both the domestic assets and liabilities (we’re mostly talking about retail mortgages and deposits) ...