Look at AMQPPopular implementations are Rabbit MQ and /Apache Qpid

<t>Model the cashflow in currency A on each payment date for currency A, discount to PV using zero-curve for that currency, convert PV to currency B at spot rate, and solve for the cashflow on corresponding payment dates in currency B that has the same PV using discount factors for currency B to cal...

<t>QuoteOriginally posted by: riskguruLet me take another crack at the "yes it does" "no it does not" debate here. Covered interest rate parity is a no arbitrage condition. Any no arbitrage condition is conditional on well functioning markets that allow the arbitrage to be costlessly executed by eno...

<t>Take the discount factors to the root days in the period, interpolate the resulting daily equivalent rates, then raise to the power of days in the period to the interploations target date. This asumes d/fs are in format 1.~, not their reciprocal.DFs are a compound function, so you have to elimina...

Because you say so?If I can dig out the necessary data for usd/jpy basis swaps, and can find the time, I will sling together a pricing model to prove that they do.

Try asking this chap.... Piotr via LinkedIn and tell him Ken Yeadon pointed you his way He is a nice chap and he doesnt bite. Nothing like going to the top.....

<t>Develop your skills in navigating the yield curve, coupon stripping, and converting between yield conventions until they become a motor skill. Leatn how to do it longhand, and memorise the various rules of thumb until you can spot an error without needing to do the math. Everything else becomes m...

<t>QuoteOriginally posted by: AlanQuoteOriginally posted by: kenyUSDCNY is not a freely convertible currency so the arbitrage relationships are impeded. USDJPY IS close to fully arbitraged, but there is structural basis relationship between the deposit market and the financing cost via forward fx wh...

Eric- Just sent you a message via e-mail from your site. Please drop me a line!CheersKen

<t>Algodeal looks very interesting. If you are actually looking at trading, instead of for research purposes, these guys TXC have a a fully hosted environment for setting up and back-testing Algo strategies in certain asset classes. Market connectivity, data collection, strategy definition, backtest...

<t>They go to a great deal of effort to prevent you doing precisely that, and I believe its a violation of their terms of service. To get the Excel API, you need a terminal subscription. We are working on web-based access to data from leading data vendors (of which Bloomberg is unfortunately not one...

<t>Take a market deposit rate in the more liquid currency, (it doesnt need to be perfect, although the more accurate the more precise your result will be- any small error will be compensated in the implied interest rate for the counter-currency) and solve from the current spot and forward points the...

<t>USDCNY is not a freely convertible currency so the arbitrage relationships are impeded. USDJPY IS close to fully arbitraged, but there is structural basis relationship between the deposit market and the financing cost via forward fx which reflects the different credit implications of each and the...

<r>Something to be aware of is that conventional statistics dont work well when applied at very high frequency, as the impact of latency and market technical micro-structure increases relative to the impact of the underlying market price action. Since latency isn't normally distributed, (its bounded...

<t>Such a requirement is very hard to get unless you are sat within a major institution with an existing data infrastructure and a whole department dedicated to data integrity. Reuters and Bloomberg represent the gold-standard in terms of data quality across a broad scope. There are boutique vendors...