What is the current market convention for projecting the cashflow on a forward short front stub. Say there is a 1W stub 1M forward.
Thanks, Stas 

Hello, I'm hopping someone here can recommend a solution to my problem.  I'm looking for something like a security master for a certian collection of options that have ever been listed on the CME\CBOT exchanges.  So for example I would like to know every strike\expiry date for every option ever list...

Ok, thanks for clarifying. I will try to find out what BBG does (I don't see how the synthetic long dated ois swaps are created without having a discount function). I know there are a many ingredients involved in the "curve building business" and I have been through most of them one way o...

I meant quartic (degree 4). Polynomial splines are desirable because various integrals such as curvature (which serves as a penalty term during optimization ) are easily computed

ExSan, do you happen to remember where?

<t>In my experimentation quadratic splines offer the best trade off (in the polynomial splines class, so ignoring something like B-splines) between smoothness and non-locality when splining the instantaneous forward curve using optimization. While it is easy to implement "naively" the linear equatio...

Hi,Does anyone know of an numerical library that implements quartic (degree 4) polynomial splines?Thank you.

<t>Cuchulainn and Polter, the DB component is completely tangential here. That is set up and works flawlessly. At issue is the dynamic re sizing of Excel output. Such a need can come up without any connection to a DB. Govert,Thank you very much for your detailed answer. I was kind of hopping that wi...

<t>Do you mean using something like Microsoft Query? I played around with it but it is at best clunky and I don't think it can do what I need to do. I need to be able to take any valid sql statement and execute against the DB. No restrictions what so ever so stuff like temp tables, table variables, ...

<r>Hi All,I posted this on the XLW mailing list but wanted to ask here if people have any input on the below question Here is the post:I'm trying to implement a SQL query feature. What I mean by that is a function that will take a query string and return a result set. It has to be a function because...

No, but I was hopping for lists I can download in bulk.

Hello,Does anyone know a good free source of global holiday calendars? I know I can get from Bloomberg or Reuters but they don't go out as far as I need forwards or backward.Thanks, Stan

Hi bojan.It does. I can put a break point in there and step in. Something goes wrong during the registration of the functions in XLCALL32.lib that they don't register.

<r>Hello,I downloaded and created a visual studio solution from the ISDA CDS model code (<URL url="http://www.cdsmodel.com/cdsmodel/">http://www.cdsmodel.com/cdsmodel/</URL>). There are three projects. The main library, a test application and a wrapper exposing some functionality to excel. I can bui...

Hello,Does anyone have the calculation for the "True Yield" as calculated in Bloomberg on the YA screen. For example, given the bond ISIN IT0004356843 (BTPS 4.75 08/23) and a settle date of March 11 2013 and a clean price of 91.058141 how does one obtain a true yield of 6.0000%?