SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 19 matches

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by rower32
August 16th, 2013, 12:09 pm
Forum: Student Forum
Topic: Modified duration vs Spread duration
Replies: 3
Views: 10516

Modified duration vs Spread duration

Thanks guys!
by rower32
August 15th, 2013, 6:02 pm
Forum: Student Forum
Topic: Modified duration vs Spread duration
Replies: 3
Views: 10516

Modified duration vs Spread duration

Hi guys-Just wondering what's the different between the two? I am looking at a eurobond and spread duration is almost 0.5 higher. Which one is most used in the finance circles? Shortly, which duration metric does matter?Thanks!
by rower32
February 14th, 2013, 5:57 pm
Forum: Student Forum
Topic: Central Bank Rate
Replies: 2
Views: 8402

Central Bank Rate

Thank you Alan! I will check.
by rower32
February 14th, 2013, 3:18 pm
Forum: Student Forum
Topic: Central Bank Rate
Replies: 2
Views: 8402

Central Bank Rate

Hello, where can I find or how can I calculate central bank policy rate probabilities? There's a function on Bloomberg WIRP but not for every central bank. Is there a quick and dirty way to calculate it? Thank you.
by rower32
September 21st, 2011, 8:25 pm
Forum: Student Forum
Topic: Regression Confusion
Replies: 4
Views: 16850

Regression Confusion

<t>Thanks Dave, yeah another friend I just mailed said the same thing. Use natural logs..What confuses me is that if taking natural log is the right approach, what does regressing daily VIX returns on daily SPX returns tell? I am mathematically challenged (obviously) but this is what they teach at s...
by rower32
September 21st, 2011, 8:02 pm
Forum: Student Forum
Topic: Regression Confusion
Replies: 4
Views: 16850

Regression Confusion

<t>Hi I'm regressing daily VIX returns on SPX returns since 2000 the slope coefficient is -3.51. But when I take the natural logs of both index values and run a regression I get -1.25. Why is the difference? I thought when you take a natural log of a series and run a regression the slope is the cons...
by rower32
October 28th, 2010, 6:49 pm
Forum: Student Forum
Topic: Futures Roll Return
Replies: 0
Views: 22428

Futures Roll Return

<t>I'm confused here and I need help. Let's assume I am buying 3-month VIX futures and rolling it every month. Right now 3month contract is trading at $25 and 2 month at $20. The futures curve has been static after $30 days. So my thinking is as I close my long i realize $5 loss on long 3-month cont...
by rower32
August 27th, 2010, 4:02 am
Forum: Book And Research Paper Forum
Topic: www.classiccmp.org/transputer/finengineer
Replies: 5
Views: 34575

www.classiccmp.org/transputer/finengineer

i tried to log on to the web page but the link is not working anymore , i was wondering anybody knows where they moved the files (if they ever did)? Thanks,
by rower32
February 9th, 2010, 3:29 pm
Forum: Student Forum
Topic: Inverted CDS curve
Replies: 5
Views: 34133

Inverted CDS curve

Many thanks DaveOne more question; what do you mean when you say "premium leg is terminated upon default"? And is there a good primer on this topic?
by rower32
February 9th, 2010, 2:36 pm
Forum: Student Forum
Topic: Inverted CDS curve
Replies: 5
Views: 34133

Inverted CDS curve

<t>I am having a hard time to understand the dynamics of the inverted CDS curve. (Alphaville)So, when the the curve is inverted the probability of default goes up in the near term than in the long term so does the cost of the CDS. So when the issuer defaults on a short term issue, does it not also t...
by rower32
August 26th, 2008, 8:52 pm
Forum: Student Forum
Topic: lognormal vs. normal
Replies: 20
Views: 57732

lognormal vs. normal

<t>QuoteOriginally posted by: Gmike2000QuoteOriginally posted by: rower32i am seeing logaritmic and linear charts on yahoo finance website. They are almost the same. What is the difference between the two?? is it related with this discussion??? thx in advancenot at alllog charts are on a log scale a...
by rower32
August 26th, 2008, 6:19 pm
Forum: Student Forum
Topic: lognormal vs. normal
Replies: 20
Views: 57732

lognormal vs. normal

i am seeing logaritmic and linear charts on yahoo finance website. They are almost the same. What is the difference between the two?? is it related with this discussion??? thx in advance
by rower32
May 2nd, 2008, 2:23 am
Forum: Student Forum
Topic: need help with asset pricing
Replies: 2
Views: 54864

need help with asset pricing

yeah send me too... cfageek@yahoo.com
by rower32
April 30th, 2008, 10:38 pm
Forum: Student Forum
Topic: Implied Volatilty Calculation
Replies: 10
Views: 56795

Implied Volatilty Calculation

<t>Thanks for your answers!!!I used goal seek and got the results... however I was wondering if I could solve the equation by solving the whole B-S equation (mathematically) coming back from the option price, not by iteration. Obviously there's no way to do that I can't say I'm really good in math o...
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