Sorry, let me clarify: use "orthogonalized residuals" from the regression as a regressor in another regression.

Hi.How does one compute orthogonalized residuals? I'm looking to regress changes in spreads on some explanatory variables like GDP and use "orthogonalized residuals" from the regression as an input as a regressor to another regression. Thank you!

<r>I am confused. I'm a beginner so please bear with me.I posted a new question which is tangentially related to the original question: <URL url="http://www.wilmott.com/messageview.cfm?catid=4&threadid=87047Can"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... d=87047Can">http://www....

<r>Hello.I'd like to ask you some assistance on implementing the HW2F model. I've seen some postings on the Monte Carlo approach but I haven't much discussion on the tree approach. Brigo & Mercurio's book on implementing the HW2F model involves a recombining binomial tree and mentions also the s...

I am interested in knowing what market prices to calibrate the 2FHW tree to. Also, are trinomial trees better than using a MC simulation method?

<t>Hello everyone. Sorry for the delayed response. You are absolutely right that there were no negative spreads. The calculation was an error on my part. In fact, I learned a better way to calculate interpolated spreads using O'Kane and Sen's paper "Credit Spreads Explained". When using that methodo...

<t>CUSIP: 36186CAH6 (GMAC LLC). It's 5 year bond, coupon is 6.625. I got the yield data from Bloomberg. I take the diff btwn the yield of the bond and the 5 year Treasury (Const Mat) taken off from FRED St. Louis. January 2005- June 2005, every single day, I get negative spreads. Btw, I use the yiel...

<t>HiCould someone please shed some light on this seemingly basic question? I have some bond spreads = yield of corporate bond (t) - yield of treasury(t) where maturities are matched. This is a rough estimate of corporate bonds - I am aware that CDS spreads may be better but I don't have access to t...

<t>QuoteOriginally posted by: HOOKYou should test if the series have a unit root. If it is rejectes, you shall have mean reverting features.Then regrees it like X(t) = c +bX(t-1)Youm mean will be given by : c/(1-b)Hello. I am relatively new to all this and I'm trying to do something similar here: es...

The first Aeq works when I change f to equal zeros(4,1).

<t>I think the code is a result of my doing various testing of inputs. How does one represent that the weights equal one? If I put a row of 1's for Aeq, I get an error message saying that it should be a matrix. If I make it then, a row matrix, with zeros below into a 4x4, then I get all weights to b...

<t>Hello,I have set up my optimization problem to minimize variance, but I keep on getting the "wrong" weights, in the sense that they don't add up to 1. The assumption I am taking here is that there is no short -selling. The error message I get in Matlab is: The system of equality constraints is co...

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<t>Hi,I've been actively looking for about 2-3 months and it seems that jobs are most scarce for mid-levels (5-7). There are jobs for entry level or senior roles requiring 10+ years. Also, the demands are ridiculous - they mostly want PhDs for quant roles. Don't know what to expect for the new year....

<t>Hello,I'm currently working and pursuing my MSMF part-time. I am also in the market for jobs - I'm open to doing a career change, esp to utilize my background, experience, and top-notch education. I am currently in a dead-end job where I am learning nothing new and progressively feeling the need ...