<t>I just wanted to clarify this in case anyone else was looking at it. I just burned up an hour because I had a mental block. To be clear, a 3d it is not an array of arrays in this case. See below for implementation:date1 = DateValue("Jul 19, 2012")Set oBlp = New BlpDatavtResult = oBlp.BLPGetHistor...

<t>I took a look at RONIA, thanks for the heads up on that. I was quite surprised with how tightly RONIA OIS trades to SONIA OIS. I suppose the idea is twofold: 1) the collateral is assumed to be financed closely to repo rate - fine with this, but it in term assumes that gilts are the primary collat...

<t>Earlier I submitted this in the technical forum but this is likely a better fit for the topic. Anyway, the addition of GCF futures this month will put a larger focus on term repo. The trouble with looking at repo in a more rigorous manner is that often times repo is a softer, balance sheet and cr...

<t>I admit this is a topic you probably aren?t expecting to see in a technical forum, but the addition of GCF futures will put a larger focus on term repo. The trouble with looking at repo in a more rigorous manner is that often times repo is a softer, balance sheet and credit decision. Given the im...

That makes sense. The question is then how do we cleanse the implied div. yield? Use TRS quotes to proxy lending revenue?

<t>Either you take the approach that you accrue the dividend over the period under which you hold the equity (the assumption of futures pricing), convert the accrued dividend to an annual dividend, and convert that annual dividend to a dividend yield. Or, alternatively you look at the yield and conv...

<t>daveangel: What I mean is that your dividend is going to be for the period from now til future expry. Viz., D is in terms of T, whether it be index points or yield (q). Therefore, D - expressed as a dividend in index points over 2 weeks - can be converted to a yield, then annualized. That part is...

<t>Sorry for the delayed response. In short, all of these questions lead back to the original sources of error I mentioned, but add sec lending carry to that list (is much more important now that it was even 5yrs ago). Sec lending may make a lot of sense due to the more illiquid indicies typically h...

<t>I ran into this issue from a simple problem, so I think I am missing something. I need to get implied dividend curves from futures (yes, I could use div swaps, but no arbitrage should match div swaps). The simple F = Se^(r-q)t is what I'm using to solve for implied div yield. The example I'll use...

I know this is a bit of a long shot, but does anyone happen to have that RBS paper referenced by himalayan?

Turns out I was referencing an older version of my .R code, and the function was defined differently. Problem solved after I referenced the correct version on the code.

Ah, that's disappointing. Was hoping that it was a common issue.Just to confirm, it's no issue to call .EvaluateNoReturn("source(" + pathname +")") within the COM structure?

R version 2.15.0DCOM version (statconn) 3.3STATCONNSRV verison 1.3Using the .dll's in the "Repository for R COM Server"OS - Windows XP x64 (if this matters?)I get a 0x80040009 OLE_E_CANT_GETMONIKER exception.

<t>After much trouble, I've finally got a working example of R in C# through COM and believe I have a fairly good understanding of how it's written and how COM interacts with the registry. However, I'd like to call a source .R file, but it seems like the COM interface is not allowing me to do so? An...

<t>Right, the question is not whether or not this optimizer exists. The question is how best to implement either this native method, or write your own solver, or even use a bit of algebra and shrink the optimization problem to a much smaller problem. I have no doubt that the native optimizer will wo...