<t>QuoteOriginally posted by: daveangelI dont know whats going on with your setup but it works fine on my machine ...Ok, some good news : for some weeks now, I have been happily programing dlls and beein quite successful in using them in VBA.Since I know (or hope) there are people even more C++ impa...

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: Bourbadoubling a coefficient will usually break the def pos property hence the need again to estimate a nearest correlation matrixI would say that "doubling a coefficient" would be an invalid correlation matrix adjustment. Suppose you do...

<t>QuoteOriginally posted by: outrunyou mean that you want to model the assumed effect that correlations can change in time? No, but that is a situation I will study in the futureIn the case of a loan portfolio, I want to understand the impact of correlation movements on the risk measures (stress te...

<t>Costeanu : being a mathematician and prone to use norms I totally agree with you on this one : here norms are useless. This is a subject that have been bothering me since the first article I read. The thing is norms are used here to measure the optimization error and the problem being finite dime...

<t>I am doing a little survey of the existing methods; below are the ones I found so far:Constructive methods : 1) Spectral decomposition (Rebonato-Jackel 1998) 2) "completion method" (Jackel-Kahl 2009)OPtimization methods: 1) Hypersphere decomposition (Rebonato-Jackel 1998, Dash 2004(?), Kercheval ...

<t>Gordon Brown certainly achieved a positive and motivating answer : I agree this is job as UK "manager"On further thoughts I also think it will take a lot of time to reach equilibrium. In my opinion the main issue being the scientifical/technical originality/knowledge advance Europe/US on which it...

<r>While reading the transcript of the Gordon Brown's FT interview I had an idea; there is probably nothing new about it as I am an economic illiterate but I would like to hear what people have to say The paragraph that motivated this post is : " Now, the great thing about the new world economy is t...

<t>QuoteOriginally posted by: Traden4AlphaLinearization is just as much "a religion" as is chaos theory (and both can be black boxes). The key issue is whether one has evidence for:A) The damping or dissapation of perturbations (large shocks become smaller over time) and linear relationships between...

<t>QuoteOriginally posted by: deepvalueQuoteOriginally posted by: hanssDon't be so sarcastic;-) The life of the Chaos theory seems to me as strong as the linearization in standard macroeconomics models... flip through a regular issue of journal of finance. how many articles use linearized models ver...

<t>QuoteOriginally posted by: MukuzaniThere are at least three different topics that have been discussed on that thread:1. How to construct correlation matrix for incomplete time series?Particularly, did somebody apply Bayesian inference to extend time series to the past (or fill the gaps)?Another p...

<t>if fundamental research is going on a subject then it is definitely not dead... it just means that chaos theory's applications in Finance are in a vegetative state ;PAnyways I have even heard of some insane souls trying to apply partially hyperbolic systems to statistical modelling applied to fin...

<t>QuoteOriginally posted by: KackToodleschaos theory was hot in the days before everyone had fancy desk top computers that could crank out the fanciest colorful chaos pictures in seconds. now chaos theory is as dead as DOS. I dont think so.There are in finance some current investigation done on sto...

<t>Thank you so much Daveangel : it is not working .... BUT if I change the VBA declaration to :Declare Function sum2 Lib "C:\dev\bourba\Debug\bourba.dll" Alias "_sum2@16" (ByVal a As Double, ByVal b As Double) As DoubleOMG it works !I will further test if this was the reason why some of my earlier ...

<t>QuoteOriginally posted by: gileperQuotedouble __stdcall sumdll(double &arg1, double &arg2) {return(arg1 + arg2);}and the following .def (both code and .def under source files):LIBRARY SUM4XLEXPORTSsumdllPublic Declare Function sumdll Lib "SUM4XL.dll" (ByVal arg1 As Double, ByVal arg2 As D...

<t>Thank you for pointing out those mistakes Daveangel. I tried the changes you suggested, corrected code reads now:#define DllExport __declspec( dllexport ) extern "C" DllExport double sumdll(double a,double b) {return a + b;} // source files : codeand :LIBRARY SUM4XL // source files : .def EXPORTS...