<t>There are three reasons why I said yourremarks should be questioned. You said it shouldbe q instead of rf which shows you are not working in FX. You said FX options are onlyquoted up to two or three years, which showsyou're not working in the market. And the <0.5thing...don't know what you're tal...

Read Reiswich and Wystup. And ignore caperovers remarks

<t>9:00-19:00 (front office). Really depends on you how long you personally want to stay and what project you're working on. I'm rarely required to stay longer than that. So I'd confirm the 50-60 hours rule. Never on weekends. M&A is sick. Nobody can tell me that they produce good quality work a...

<t>Yes that's true. You can't transform a, say, spot delta vol pair to a forward delta vol pair without having a constructed FX volsmile. As for the forward: you can use the market forward for forward deltas. For spot ones you need a discount factor. Thisdf needs to be consinstent with the FX forwar...

WillK, this is exactly the way to proceed. As you have a starting parameter (i.e. quoted strangle)you'll have the vols at each time of the calibration, consequently the 25D strikes and the parametera.

To add to mj's post: http://math.rejecta.org/ is a very nice journal too.

What exactly is not exactly perfect in that paper?

<t>Let me be the party pooper. I'm totally with Gmike2000. This technique has flaws, and unfortunately not many papers analyze theflaws. So: we do not (yet) understand the problems with PCA in its standard case. The last thing that helps is nonlinear PCAusing Quantum inspired whatever. Or common pri...

<t>Don't use Malz to extract risk neutral distributions. Everyone does it in academia, and the results are very questionable.And while we're at it, don't use it at all. Not until you understand what type of deltas there are in FX and what the difference between a smile and market strangle is. In any...

<t>most of the German noble prices stem from the first half of the 20th century. in addition, the number of noble price winners is by no means a good indicator for the educational level of average Joe, or, in this case, average Fritz. you might be biased, as you are one of those Germans. dominic con...

<t>Originally posted by: DominicConnor Personally I think the German universities are graded better than they deserve, but again that's just my call. Yeah, that's why German scientists are behind the other big nations in all disciplines. The universities are just bad. Oh wait a moment. Second in the...

<t>Actually there are 2 ways the FX smile is quoted:- one is the delta-vol version as used by reuters (note that this version is usually the output of an atm, strangle, rr version)- the at-the-money, risk-reversal, strangle version as discussed in the paper referenced by PierreGYou obviously use reu...

You mean: you have a delta-vol mapping and you'd like to know the implied vol for a strike of 1.30? There isan algorithm for that in Wystup's book.

I'd put Principle Component Analysis on my "5 most overrated and misleading tools for Risk Management"

<t>The easiest way would be a a simple static std::map defined in your CPP file before all functions are declared. Say it contains yield curves.std::map<string,YieldCurve>. After creating the yield curve, you can assign a unique ID to it and store it in the map. You'd return thestring. In some other...