SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 989 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 66
by jomni
April 15th, 2009, 6:26 am
Forum: General Forum
Topic: bond indices suggestions
Replies: 2
Views: 40058

bond indices suggestions

Thanks.Update I checked out Markit iBoxx Indices and they look good enough.www.indexco.com
by jomni
April 14th, 2009, 6:10 am
Forum: General Forum
Topic: bond indices suggestions
Replies: 2
Views: 40058

bond indices suggestions

I'm looking to compute for volatility of bonds in the following categories.1) by region2) by ratingAnyone have suggestions on bond indices that I can use? Are there any easily obtainable stuff from Bloomberg (no add'l subscription needed)?Thanks
by jomni
April 9th, 2009, 12:13 am
Forum: Programming and Software Forum
Topic: Python IDE
Replies: 11
Views: 48032

Python IDE

I find the default Python IDE that comes with the installation (2.6) good enough.
by jomni
April 9th, 2009, 12:03 am
Forum: General Forum
Topic: VaR approximation - IR swaps
Replies: 19
Views: 42910

VaR approximation - IR swaps

<t>The problem with netting the legs before computing for VaR is that you assume the rates to go in the same direction at the same magnitude.This is not the case since rates used for both legs of your IRS are different despite being picked from the same curve.Taking basis risk and yield curve twists...
by jomni
April 8th, 2009, 8:33 am
Forum: General Forum
Topic: Mark to market vs Mark to model
Replies: 60
Views: 46633

Mark to market vs Mark to model

A nice rule that we should implement: "If it's illiquid, it should be banned from the trading books."Only problem with this rule is that liquidity characteristics change drastically during certain events.
by jomni
April 7th, 2009, 7:06 am
Forum: Careers Forum
Topic: What quant positions are suitable for one who doesn't like programming in C++?
Replies: 22
Views: 43302

What quant positions are suitable for one who doesn't like programming in C++?

<t>A job for a CFA/FRM, Finance, VBA profile (without C++ coding)?There are lots of jobs for it. You can look at risk analysts, risk managers, product controllers, etc. You can also look at smaller banks. Big probability that they are not doing their own C++ codes and use Excel / VBA or outsourced m...
by jomni
April 7th, 2009, 12:30 am
Forum: Careers Forum
Topic: What quant positions are suitable for one who doesn't like programming in C++?
Replies: 22
Views: 43302

What quant positions are suitable for one who doesn't like programming in C++?

<t>QuoteOriginally posted by: C3I2I might ad that I have friends that were forced to take mandatory Java-classes in uni where the engineering students some years earlier had C++. The theory there were Java=future C++=past "Sometimes a man can still meet his destiny on the road he took to avoid it. "...
by jomni
April 7th, 2009, 12:06 am
Forum: General Forum
Topic: Mark to market vs Mark to model
Replies: 60
Views: 46633

Mark to market vs Mark to model

<t>QuoteI liked Fermion's suggestion that if the market is illquid the fair value is zero - regardless of the model - however how you test for that in a practical sense might be quite tricky.But that doesn't mean you will not earn a single cent from the position. You still get cashflows which gives ...
by jomni
April 3rd, 2009, 12:07 am
Forum: Careers Forum
Topic: CAIA
Replies: 23
Views: 45889

CAIA

Although they stated ethics as part of the program, there is no emphasis in the syllabus (not like CFA). We need more ethical hedge fund managers these days.
by jomni
April 3rd, 2009, 12:03 am
Forum: General Forum
Topic: Risk Management of FX Market Maker
Replies: 4
Views: 41499

Risk Management of FX Market Maker

I can't give details as I am not into market making. I was just trying to point you in the right direction.
by jomni
April 2nd, 2009, 8:05 am
Forum: Careers Forum
Topic: CAIA
Replies: 23
Views: 45889

CAIA

<deleted>
by jomni
April 2nd, 2009, 1:57 am
Forum: General Forum
Topic: Risk Management of FX Market Maker
Replies: 4
Views: 41499

Risk Management of FX Market Maker

I think the principles are the same. They just try to limit the size and the holding period of actual positions.Liquidity risk is also something to look at as well.
by jomni
April 2nd, 2009, 12:52 am
Forum: General Forum
Topic: How to market a successful trading system?
Replies: 14
Views: 42469

How to market a successful trading system?

<t>The problem with selling / transfering a trading system even if it really works are the following:1) Is the success really coming from the system? Most of the time it is the trader that is using the system is the one that is really profitable and not the system. When someone else uses it, then he...
by jomni
April 2nd, 2009, 12:45 am
Forum: Programming and Software Forum
Topic: MATLAB for iPhone Released Today
Replies: 6
Views: 49453

MATLAB for iPhone Released Today

what's the purpose of this?
by jomni
March 31st, 2009, 12:39 am
Forum: General Forum
Topic: FX Hedging for Student Loans?
Replies: 3
Views: 40800

FX Hedging for Student Loans?

sometimes, hedging will just make it worse.
  • 1
  • 2
  • 3
  • 4
  • 5
  • 66
GZIP: On