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by finanzmaster
February 12th, 2019, 12:29 pm
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 24
Views: 1922

Re: Quantlib design and usage

> A single function is not object-oriented. Well, there are other things. As I wrote in my notes " But  it  seems  that PiecewiseYiledCurvedoes notinherit  from YieldTermStructure!Indeed  it  does,  but  in  a  pretty  complicated  manner. As  we  can  see  from  Figure  3.1a, PiecewiseYildCurveinte...
by finanzmaster
February 12th, 2019, 12:12 pm
Forum: Programming and Software Forum
Topic: Docker/Containers
Replies: 7
Views: 839

Re: Docker/Containers

Azure. But it shall not matter which cloud (or bare metall) solution one uses. At least, in theory :)
by finanzmaster
February 10th, 2019, 2:13 pm
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 24
Views: 1922

Re: Quantlib design and usage

In my current project I use QuantLib as a benchmark to OpenGamma (due to NDA no futher details, sorry). If both of them calculate the similar results (it was the case in my project) then... although there is still no formal guarantee that the results are correct but the likelihood of their correctne...
by finanzmaster
February 10th, 2019, 2:01 pm
Forum: Programming and Software Forum
Topic: Docker/Containers
Replies: 7
Views: 839

Re: Docker/Containers

I am currently playing with docker. The business logic is based on the Monte-Carlo simulation. And yes, my goal is to create a scalable (micro)service architecture. Since Monte-Carlo can be run in parallel, all I have to do is to put my container in Kubernetes and let it manage the balancing (at lea...
by finanzmaster
July 8th, 2018, 8:09 pm
Forum: Numerical Methods Forum
Topic: Pitfalls of Nelson-Siegel Yield Curve Modeling
Replies: 1
Views: 431

Pitfalls of Nelson-Siegel Yield Curve Modeling

The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses  it. However, what may do for ECB will not necessarily work in all cases: the...
by finanzmaster
June 28th, 2018, 6:42 pm
Forum: Trading Forum
Topic: The Fairest Reward System for a Wealth Manager
Replies: 5
Views: 422

Re: The Fairest Reward System for a Wealth Manager

>Didn't spot such a show.
For your own good :)

https://en.wikipedia.org/wiki/Russian_mafia(1992–2000: Growth and internationalization)
by finanzmaster
June 28th, 2018, 4:09 pm
Forum: Trading Forum
Topic: The Fairest Reward System for a Wealth Manager
Replies: 5
Views: 422

Re: The Fairest Reward System for a Wealth Manager

@frolloos I agree that point #1 will hardly take place in case of big institutional funds (alone due compliance rules, some of which are far from being rational). But FinTech democratizes fund management. E.g. there is an Austrian StartUp Wikifolio, which gives opportunity to become a fund manager ...
by finanzmaster
June 27th, 2018, 8:37 pm
Forum: Trading Forum
Topic: The Fairest Reward System for a Wealth Manager
Replies: 5
Views: 422

The Fairest Reward System for a Wealth Manager

What is the most fair reward system for a wealth manager? In theory it is hardly possible to answer this question without oversimplifications. But in [best] practice?  Feedback is very welcome! https://letyourmoneygrow.com/2018/06/27/the-fairest-reward-system-for-a-wealth-manager/
by finanzmaster
June 10th, 2018, 1:56 pm
Forum: Programming and Software Forum
Topic: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python
Replies: 7
Views: 741

Re: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python

@mtsm 
Debugging of the C++ part seems to be not so seamless.
Finally, I found out a work around but I myself hold it for dirty.
https://letyourmoneygrow.com/2018/06/10 ... dirty-way/
by finanzmaster
May 8th, 2018, 10:32 pm
Forum: Trading Forum
Topic: 12 Consistentently Profitable Automatic FX Strategies
Replies: 0
Views: 686

12 Consistentently Profitable Automatic FX Strategies

I always considered FX for a tough market: I mean in Stocks and Bonds one has [besides TA] company fundamentals,  but FX... well, some macroeconomics, which is hard to integrate into a trading system. That's why it is interesting to see that some traders consitently do make money in Forex:  https:/...
by finanzmaster
April 15th, 2018, 11:07 am
Forum: Programming and Software Forum
Topic: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python
Replies: 7
Views: 741

Re: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python

Sounds a bit harsh. Don't you use Nelson Siegel in QL as well?(?) I do.  However, one has to tune it because by default the QuantLib tries to fit all 4 model parameters simultaneously.  This is, however, rather a problem of NS than of QuantLib. A practical solution is to fix the kappa and then fit ...
by finanzmaster
April 15th, 2018, 7:19 am
Forum: Programming and Software Forum
Topic: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python
Replies: 7
Views: 741

Re: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python

Many thanks, @mtsm, I will try the way to debug, which you have described. As to the quality of QL, well, of course QL (as any other software) has shortcomings.  But it is open-source, the code can be tuned (either quick&dirty or fine - depending on your time and manpower). And there is an involved ...
by finanzmaster
April 14th, 2018, 8:51 am
Forum: Programming and Software Forum
Topic: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python
Replies: 7
Views: 741

Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python

Python https://letyourmoneygrow.com/2018/04/14/quantlib-python-twisting-a-snake-to-fit-a-yieldcurve/ Excel https://letyourmoneygrow.com/2018/02/10/quantlibxl-curvy-way-fit-yield-curve/ I, myself, prefer Python. The only problem: I have not, so far, found a way to attach Python [IDE] process to Visua...
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