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by caroe
July 29th, 2008, 5:38 am
Forum: General Forum
Topic: The face value of TIPS .
Replies: 6
Views: 52003

The face value of TIPS .

And with the exception of early swedish TIPS
by caroe
November 21st, 2006, 11:55 am
Forum: General Forum
Topic: Quasi-Modified Duration
Replies: 12
Views: 90639

Quasi-Modified Duration

<t>The prefix 'quasi' can in fact be used without giving any linguistic qualification in addition to the concept it is used in conjunction with. This property is shared with other prefixes like 'pseudo' and 'semi'. In fact, the concepts 'quasi-convex', 'pseudo-convex' and 'semi-convex' are all used ...
by caroe
November 7th, 2006, 7:57 am
Forum: General Forum
Topic: CMS options
Replies: 6
Views: 89424

CMS options

<t>QuoteOriginally posted by: nerosCan anyone give references to how CMS caps/floors are priced in a Black76 model (with convexity and timing adjustment). Also any references as to how this model performs compared to a Stochastic Vol. model is appreciated.Hulls book has necessary details. I hope you...
by caroe
August 9th, 2006, 10:39 am
Forum: Numerical Methods Forum
Topic: simplex optimization on linear functions
Replies: 2
Views: 97794

simplex optimization on linear functions

The NR simplex solver is crap compared to commercially available LP-solvers. The COIN-OR Projects site has an up-to-date implementation available. You could also try out the GNU Linear Programming Kit
by caroe
August 9th, 2006, 6:36 am
Forum: General Forum
Topic: Zero-coupon EUR and USA rates
Replies: 9
Views: 99390

Zero-coupon EUR and USA rates

QuoteOriginally posted by: cfornarolaIn Bloomberg: YRCV <go> and you can browse for the curves you need.Should read YCRV <go>. The logic is probably that it should be an acronym for Yield Curve Relative Value ....
by caroe
June 23rd, 2006, 7:10 am
Forum: General Forum
Topic: T-S vs. SDE
Replies: 3
Views: 100520

T-S vs. SDE

SDE-based models are looking forward (calibrated to implieds), time series models are looking backward (driving forward by looking backwards in a mirror)
by caroe
June 19th, 2006, 9:06 am
Forum: Student Forum
Topic: Day count basis
Replies: 4
Views: 103668

Day count basis

<t>There are several act/act conventions, so you need to be more specific, and this is also the cause of your problems. In bondland, act/act calculations are carried out according to ISMA rule 251, whereas in swapland the ISDA convention is commonly used. The attached ISDA memo will explain the diff...
by caroe
May 17th, 2006, 8:04 am
Forum: Student Forum
Topic: Pricing swaps with the bid/offer spread
Replies: 12
Views: 128144

Pricing swaps with the bid/offer spread

The book by Miron and Swannell would be a suitable starting point for pricing swaps
by caroe
May 17th, 2006, 7:57 am
Forum: Numerical Methods Forum
Topic: lm constraint algorithm
Replies: 8
Views: 107526

lm constraint algorithm

<t>Try the attached paper. If you are looking for implementations, there are several packages that deal with simple bounds on variables. Any kind of structure that can be imposed on your constraint will tend to simplify the problem, e.g. (strictly) convex constraint functions, linear constraints, si...
by caroe
May 15th, 2006, 7:44 am
Forum: Student Forum
Topic: Cross currency swap conundrum
Replies: 4
Views: 121592

Cross currency swap conundrum

<t>The currency basis reflects counterparty risk rather than currency risk, namely the credit quality of the banks quoting LIBOR. Currency basis has historically been high for Dollar-Yen basis swaps (or Dollar-Norwegian Krone basis swaps for that matter), reflecting the superior credit quality of ba...
by caroe
May 10th, 2006, 6:00 am
Forum: General Forum
Topic: Co-integration & efficient markets
Replies: 5
Views: 106414

Co-integration & efficient markets

<t>QuoteOriginally posted by: crowlogicI have Johansen's cointegrated likelihood inference book.. that guy is just nuts.. a genius though, but the math is just over the top.Johansens book focuses on theoretical aspects of cointegration (his background is mathematical statistics, not economics). He h...
by caroe
May 5th, 2006, 10:09 am
Forum: Technical Forum
Topic: model for pricing / model for MTM / model for Hedge ... Are they the same?
Replies: 4
Views: 106977

model for pricing / model for MTM / model for Hedge ... Are they the same?

<t>For exotic deals, several models may be necessary in order to judge model risk elements.For European style options, the "model" is essentially the volatility parameter corresponding to expiry and tenor (and possibly e.g. a stoch vol model on top of that, but this still needs sensible volatility i...
by caroe
May 1st, 2006, 8:43 am
Forum: Student Forum
Topic: Nelson-Siegel Parameters
Replies: 1
Views: 108418

Nelson-Siegel Parameters

<t>Your request is slightly underspecified:Which currency ?Which type of curve ? (swap, govies, etc.)Better ask for quotes on underlying instruments, e.g. deposits, futures (or FRAs), swaps etc. and construct the curve yourself. Your application may dictate which spot rates are necessary. If you rea...
by caroe
May 1st, 2006, 8:34 am
Forum: Student Forum
Topic: Newton Raphson Problem in VBA
Replies: 15
Views: 114257

Newton Raphson Problem in VBA

<t>Newton-Raphson is potentially hazardeous, because the current iterate may drift off toward infinity if the current iterate hits an interval where the first derivative vanishes. This may not be the case in the interval where you expect to find the implied vol, but if you aren't controlling upper a...
by caroe
April 24th, 2006, 10:03 am
Forum: Technical Forum
Topic: Swaption Vol Interpolation
Replies: 7
Views: 111996

Swaption Vol Interpolation

<t>Linear interpolation in strike dimension will make your sensitivities go awry, so at least you should aim for sufficient level of differentiability. However, the next issue on your agenda will be extrapolation, and your choice of favorite splining method for interpolation wont be particularly hel...
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