For any quantitative alpha generator strategy I'd say a strict trading framework is generally a good idea, but just the fact that rules are strict does not make them good. Could not find the Hull paper you are referring to.. any link?

<t>I really don't understand why so many trader use stop-loss.There seems to be some widespread belief that you can actually limit you're loss this way. We've all heard catch phrases like "Cut you're losses short and let your winners run". I've heard trading coaches preach about the importance of st...

<t>QuoteOriginally posted by: list"calculate present value for "Libor 6M Libor ACTUAL_360" and extrapolate that into the maturity 2Y" // it depends how you are going extrapolate. Are you going to assume that Libor forward rates 6-12, 12-18, 18-24 Libor are all equal to Libor 6M Libor ACTUAL_360. In ...

<t>ok, par rates and sometimes spreads. excellent!Now correct me if im wrong, but if i make out the zero cupon rate or ( "discount-factor" if you will ) for this IRS, Is that not just the same as to make out the zero cupon discount factor of the floating index to the maturity.In the example below, I...

<t>Sorry guys, I think im not beeing clear.Say there is an IRS with the specifications:Notional: Principal: 1,000,000$Fixed Rate: 5.75% ACTUAL_360Floating index: 6M Libor ACTUAL_360Original Term: 3YRemaining Term: 2YMy first question would be: "How would this IRS usually be quoted when traded on the...

Thanx, I suppose you mean this one. swap curve constructionGood reading!It seems "swap curve" rather than "Yield curve" is the right word for what im trying to create, usin Deposit's, FRA's and IRS.As you understand, I need all the help i can get Cheers!

<t>I have to figure out how do you use Interest rate swaps in Yield curve construction, and im a real newb in this area.Was searching the forum but it didn't really make me wiser..How is the IRS quoted on the OTS market ? Is it just the current difference between the interest rate of the fixed and t...

<t>I recently tried migrating a "high-throughput" -design in Java to "Java Realtime system" running on Ubuntu with RT kernel.A bit dissapointing result though. Very low variance on "time to compleation", but on average It was a bit slower..My conclusion so far is that RT systems are better for predi...

<t>QuoteOriginally posted by: xxilFor the network programming side of it, I'd start with a through understanding of the networking stack and associated protocols. Frameworks are fine but a good understanding of what they are built on is also usefull. RFCs are a good place to start. also, if your a g...

<t>Usually the low level network/messageing stack is written in C/C++.Have a look at ZeroMQ, ActiveMQ, OpenMQ etc..On top of this the application layer where the trading logic takes place is often written in a high level language such as Java or C#(.net)in this level multithreading and concurrency a...

ok, Thanx!

how much is the licens for SAS-ETS? ..approximately

<t>Among other things would like functionallity for creating machine learning schemes, backtesting capabillities, abilities to iterativly build strategies from smaller components.I want to be able to handle very large datasets fast and persistent. I want to save parts of solotions and create my own ...

<t>HiIm investigating software for time series analysis.Does anyone have any experience from SAS-ETS that they want to share? pros cons ets.?If anyone knows any other good tools for timeseries analysis please speak up.In My experience, retail software like tradestation does not provide near enough f...

<t>Hi!Thank you for trying to help me out.It seems Im causing a litte confusion due to unconventional examples.The issue im dealing with is when the forward contract is calculated in a different way then the spot.Say NOKDKK is traded as EURNOK & EURDKK (I think this is conventional but the 1M co...