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by Gmike2000
July 4th, 2004, 9:53 am
Forum: Student Forum
Topic: Accrued Interest Question
Replies: 4
Views: 194385

Accrued Interest Question

<t>This is easy. Excel has add in functions for accrued interest. Simply download the coupon payment date and payment frequency along with all the other data from Bloomberg. Then apply the excel function.Even if excel did not have this addin, it is really easy to bang out a cell formula for that, gi...
by Gmike2000
July 4th, 2004, 8:49 am
Forum: General Forum
Topic: quant traders
Replies: 2
Views: 183734

quant traders

From my experience many if not most of these obscenely knowledgeable people do not actually make trading decisions. They are often someone else's bitch. And this someone else if often obscenely stupid when it comes to mathematics.
by Gmike2000
July 1st, 2004, 4:18 pm
Forum: Technical Forum
Topic: Value of Convexity in TIPS
Replies: 0
Views: 183555

Value of Convexity in TIPS

....will read jarrow yildirim paper before reposting this question (about how to value cvxty in tips)...
by Gmike2000
June 16th, 2004, 12:08 pm
Forum: Technical Forum
Topic: leland toft 96
Replies: 3
Views: 186748

leland toft 96

Toft is now at goldman in london and still does this CDS stuff. Why dont you try firstname.lastname@gs.com. Who knows...often these guys are happy to hear that people still read their papers.
by Gmike2000
June 16th, 2004, 11:36 am
Forum: General Forum
Topic: Implied vs Realized Vol
Replies: 12
Views: 187676

Implied vs Realized Vol

Thanks Paul and mghiggins. Both answers make sense.
by Gmike2000
June 16th, 2004, 8:40 am
Forum: General Forum
Topic: Implied vs Realized Vol
Replies: 12
Views: 187676

Implied vs Realized Vol

<t>Thanks Caroe, but with all due respect, I dont think one needs Ito's Lemma to understand that selling options is profitable when current implied vol is above future realized vol.What I was wondering is this. Suppose you have an asset whose "true" price process completely violates the assumptions ...
by Gmike2000
June 15th, 2004, 10:51 pm
Forum: General Forum
Topic: Implied vs Realized Vol
Replies: 12
Views: 187676

Implied vs Realized Vol

<t>Please comment:One thing I thought I remembered from grad school was that implied vol and realized have not much in common, except the letters "vol". Especially when, suppose, you quote BS implied vol on something that has strong drift, skew, fat tails, etc. I thought this was commonly known. And...
by Gmike2000
June 15th, 2004, 10:27 pm
Forum: Technical Forum
Topic: To fetch the tickers for grid pionts of benchmark treasury bonds for G7 from BLP?
Replies: 2
Views: 188200

To fetch the tickers for grid pionts of benchmark treasury bonds for G7 from BLP?

<t>alex, i think they all have generic tickers setup for those. I dont know the exact one, you have to look it up. Try key words CMT rate tickers etc. The principle is the same as that for generic futures, i.e. RX1 Comdty is currently the Sep04 Bund Future, RX2 Comdty is the Dec04 Bund Future. Once ...
by Gmike2000
June 15th, 2004, 10:21 pm
Forum: Technical Forum
Topic: Additivity of convexity
Replies: 7
Views: 187253

Additivity of convexity

<t>Stochastix: That is why it is better to calculate bond duration with respect to shifts in the par curve. That is the best way of doing it, because that is the curve we all look at. It is the most intuitive.Anyways, I was always wondering about this myself. How come that, if a zero coupon bond has...
by Gmike2000
June 13th, 2004, 3:56 pm
Forum: General Forum
Topic: Portfolio Insurance
Replies: 29
Views: 192304

Portfolio Insurance

<t>The constant in CPPI comes from the full name "Constant Proportion Portfolio Insurance"It means there is a predefined upper and lower floor. If the share price hits the upper floor, e.g. 5% over the previous floor, then this new level is automatically guaranteed, and the new upper floor is yet ag...
by Gmike2000
June 13th, 2004, 3:45 pm
Forum: Careers Forum
Topic: Views
Replies: 7
Views: 189810

Views

<t>I dont understand what drives people to work on the sell side. Maybe the money, but that can be good on the buy side, too. Plus, to me it seems sell side is the bitch side. You are always someones bitch. Even at senior level, you still have to creep up your client's butt. Who is the client? He is...
by Gmike2000
June 13th, 2004, 3:30 pm
Forum: Student Forum
Topic: summary of risk in a fixed income portfolio needed?
Replies: 6
Views: 189282

summary of risk in a fixed income portfolio needed?

<t>Dont forget client (aka client consultant) risk. This is pretty significant too. Clients are often stupid when it comes to fixed income, and their consultants are both stupid and ignorant. This creates pretty interesting constraints being put on portfolio managers, such as "no derivatives", "no s...
by Gmike2000
June 13th, 2004, 3:24 pm
Forum: Student Forum
Topic: Algorithms for Markowitz optimization
Replies: 3
Views: 188075

Algorithms for Markowitz optimization

<t>Matlab has a prebuilt function where you can group asset classes together and assign weights. It is in the financial toolbox.We dont use Markowitz to make trading decisions, but our marketing/product mgt guys use it heavily to sway clients. Clients are pretty naive sometimes. But so are marketing...
by Gmike2000
June 13th, 2004, 3:16 pm
Forum: Technical Forum
Topic: 3-month LIBOR returns
Replies: 3
Views: 190116

3-month LIBOR returns

Merrill Lynch has an index for Libor. Use that.Otherwise do the calc yourself: Dur * rate change + yield/360 is the method they use i think
by Gmike2000
May 15th, 2004, 11:23 pm
Forum: Student Forum
Topic: Change of Measure / Girsanov
Replies: 5
Views: 189396

Change of Measure / Girsanov

<t>You dont really use girsanov in practice. Professors use it to confuse their students (though they mean well...). I wasted a lot of time on it in grad school and I never saw it again in practice (and I work on a derivatives desk). It is really just a theory...a step to help you understand the the...
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