<t>Hull suggests (in 6th ed) that, when valuing an FRA (VFRA = L(Rk-Rf)(T2-T1)e^-R2T2), that Rk and Rf are to be compounded at the discreet frequency (T2-T1). I'm having a bit of difficulty in getting my head around the net flows. Is it essential that Rk and Rf be compounded discreetly? What exactly...

I've solved the problem...

<t>I'm stumped by the logic of my peers on this question. Specifically, my peers have taken the view that the 7% coupon can be jammed into the equation that was used to solve for the coupon on the 8% bond (T=2). I just don't see how this can be done...Is there anyone out there able to offer some ins...

This was a helpful post. I dug up some of this and was putting it to work in no time.Thanks for posting it.cdw

it's kind of naive to think hedge funds will exist in anything like their present form in 7-8 years.

cajones, capital, and connections.

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<t>Thanks for your response.I've just completed a model (for futures trading) of a currency index that behaves as though it has an embedded option (well, actually several). It's driven by a monte carlo simulation. The heavy lifting is done in Excel, because it is so easy to use.I further completed a...

<t>I've done such work as I have in Excel and VBA.What's the next logical step up the software ladder for me, doing quant and modelling?I should also say that I have developed user interfaces and execution mechanisms, as well (using the above with links to third party order execution platforms).I se...

Can you point to where I can begin the study fractals at the undergrad level?thx

<t>now, for a simple volatility question. I think it might be better to keep my questions together, as they are ultimately related, if far flung in specifics.A naive volatility assumption, for Monte Carlo purposes:Asset A bears an 8% annual volatility. For a holding period of n = 365, I have assumed...

another great answer -- thanks.

another great answer -- thanks.

<t>It helps a lot. A great deal. Thanks.So if I'm doing a monte carlo simulation, and trying to relate Y to X -- X being varied randomly, Y being "correlated" with X to some degree, is Covariance the better tool?Do I need to school myself on Maximum Likelihood if I wish to build a useful model?Thank...

<t>OK, I'm back. 1. I have two series, x and y, and there is a 0.6 correlation via the excel correlation function.2. Further, the slope of the regression is 0.5.3. The scatter plot clearly indicates a linear relationship.4. Is it naive, foolish, or reasonable to say that, on average, y =.5x ?I know ...