did you ever find the cashflow generation code ?

<t>Greetings late night buddies,I have been browsing around around cross asset solutions and i had a look on Numerix's advertised cross-asset component model.Does anyone know or can reference (the mathematics) on how they calibrate their cross asset correlation matrix so that they retain no-arbitrag...

<t>Any thoughts on implementing this approach to simplify models from various asset classes and then copulate them together for CVA calculation purposes ?One plausible reason to do so would be to be able to map and track hedging from various models to simpler ones that need to be copulated after.reg...

<r>Greetings Wilmotters!I had the following practical question related to Gyongy's lemma and also to the topic of Markovian projections that has many applications.In practice if one wants to map a "complicated" process Y to a "simpler" process X one can use the results sited in link * for example.In...

Key of question lies on the model factors. LS on forward would work but one needs to incorporate stochastic dom/for rates.Rgs

<t>Good afternoon,Anyone that happens to know which is better/faster to use for parallel for's ?I know Boost has a full command on thread management/ syncronization/ storage, but if i want simply to parallel a loop shouldn t i be using the <parallel paterns library> ?BTW ppl shipped with 2010 no?Any...

<t>Public Function ChiSqd_Sankaran(ByVal x As Double, ByVal k As Double, ByVal l As Double)'^ Sankaran , M. (1963). Approximations to the non-central chi-squared distribution Biometrika, 50(1-2), 199?204Dim h As Double, p As Double, m As DoubleDim prob As Doubleh = 1 - (2 / 3) * (k + l) * (k + 3 * l...

Also just noticed that the ChiSqd function has some issues. Will post amendment soon.[1] Evans, Merran, Hastings, Nicholas and Peacock, Brian, "Statistical Distributions, Second Edition", Wiley 1993 p. 50-52.EFG

<t>Function CEV_caplet(t, Tjminusone, Tj, tauj, n, k)End FunctionPublic Function CEV(ByVal isCall As Boolean, _ByVal strike As Double, _ByVal t As Double, _ByVal spot As Double, _ByVal volatility As Double, _ByVal r As Double, _ByVal equityYield As Double, _ByVal alpha As Double)Dim a As Double, b A...

<r>Kamil,There is a symmetry result for forward starting Asians. Effectively a forward starting (or floating strike) Asian is equal to a fixed strike Asian but with different parameters. Have a look here: I guess you re looking to apply this to commodity ?<URL url="http://www.sciencedirect.com/scien...

<t>No, I haven't. But i m sure in matlab or R it wouldnt be more than a page long.Then one would pose the following question...Depending on the state of the economy one has large deviance from BS as in page 12 of the link option pricing with HMM.And the question is are these some kind of a probabili...

<r>Hi again,The idea is coming from the interest rates world. There is <URL url="http://www.next-finance.net/IMG/pdf/pdf_SABR.pdfthis">http://www.next-finance.net/IMG/pdf/pdf_SABR.pdfthis</URL>, that prices caps with sabr (closed form solution 2.16a onwards). Now this for interest rates - or bonds (...

Right!So if someone uses Recovery swap rates from the market he can imply Asset Values for a country ?hahaha...it s starting to get funny! but thanx for the comments!¬pb

<r>Hi Bazzzz,Im not sure i understood what you wanna do but maybe this helps. This is a regime switching volatility Heston model. <URL url="http://maths.curtin.edu.au/local/docs/siu/AMFRevised2a.pdfIf"><LINK_TEXT text="http://maths.curtin.edu.au/local/docs/s ... ed2a.pdfIf">http://maths.curtin.edu.a...