SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by cemil
September 19th, 2013, 6:53 am
Forum: Student Forum
Topic: BBG swap rates quotes
Replies: 9
Views: 6449

BBG swap rates quotes

<t>QuoteOriginally posted by: Kamil90How about Libor rates? Are they provided at 11 am every day by the BB Agency and then BBG just copies them and posting? Or Bloomberg has an independent quotes they are calculating themselves along with London Agency?QuoteOriginally posted by: MartinghoulThey aggr...
by cemil
September 18th, 2013, 1:46 pm
Forum: General Forum
Topic: Africa: Risks, banking and quantitative work
Replies: 6
Views: 6528

Africa: Risks, banking and quantitative work

I read again but you forgot that there were 54 countries in Africa!Perhapes you did not understand my sentence mlle la blonde.Why not say a country or a couple of them?
by cemil
September 18th, 2013, 12:20 pm
Forum: General Forum
Topic: Africa: Risks, banking and quantitative work
Replies: 6
Views: 6528

Africa: Risks, banking and quantitative work

QuoteOriginally posted by: BlondieSAHi All I would like to get your thoughts on what quantitative (risks, banking and finance) issues African countries face today? Thanks in advance Africa is a continent not a country!
by cemil
June 24th, 2013, 7:47 am
Forum: Programming and Software Forum
Topic: The sums of the constituents of stock indexes with Eikon
Replies: 3
Views: 7885

The sums of the constituents of stock indexes with Eikon

<t>You can do it with this function:RData("0#.FCHI","HST_CLOSE","RTFEED:IDN",,,I10) where I10 is the destination cell.To get constituant name you can use this function;RData("0#.FCHI",,"RTFEED:IDN",,,I10) The best way is to use RData("0#.FCHI",,"RTFEED:IDN",,,I10) and to get close price use RtGet("I...
by cemil
June 21st, 2013, 7:09 am
Forum: Programming and Software Forum
Topic: The sums of the constituents of stock indexes with Eikon
Replies: 3
Views: 7885

The sums of the constituents of stock indexes with Eikon

i don't know what you want exactly but you can use this function:RtGet("IDN","ACCP.PA","HST_CLOSE") to get close price for a equity (accp.pa is the RIC for accor equity on paris exchange).
by cemil
May 13th, 2013, 7:30 am
Forum: Trading Forum
Topic: Where can I find historical 10Y Fr OAT-10Y Ger Bund spreads ?
Replies: 4
Views: 9124

Where can I find historical 10Y Fr OAT-10Y Ger Bund spreads ?

You can find it in Reuters too: FR10YT=RR and DE10YT=RR
by cemil
April 17th, 2013, 7:58 am
Forum: Student Forum
Topic: Treasury Bond Futures's Conversion Factor???
Replies: 1
Views: 8473

Treasury Bond Futures's Conversion Factor???

Basis= Bond price - future price x CFSo, Bond price = Basis + future price x CFif we set the Basis=0 then we have Future price = Bond price / CF
by cemil
March 5th, 2013, 2:08 pm
Forum: Careers Forum
Topic: Destroyed at final interview
Replies: 99
Views: 14967

Destroyed at final interview

<t>QuoteOriginally posted by: ppauperQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: daveangelQuoteOriginally posted by: GamalDidn't mummy tell you you shouldn't trust anybody, Dave?you are obsessed with mummiesEgyptian?he's from somewhere in the mid-east, not sure whereperaphs the g...
by cemil
March 5th, 2013, 1:27 pm
Forum: Student Forum
Topic: Swapping bond payments into another currency
Replies: 5
Views: 8191

Swapping bond payments into another currency

QuoteAnd about bothstrapping - for USDEUR pair 1y, 2y, 3y - 10y rates are available, but the payments are in the middle of the year, so i gueess linear interpolation could be used to get values for concrete dates?You must built your own zero coupon curve with the bootstrapping method.
by cemil
February 11th, 2013, 8:07 am
Forum: Student Forum
Topic: Where can I find euro sovereign bond spreads issued in USD and EUR?
Replies: 3
Views: 8188

Where can I find euro sovereign bond spreads issued in USD and EUR?

For the GLB 6.875 of 27sep2023 (usd) price is 116.40/118.42 and for EUR 10Y benchmark BTP 5.50 of 01 nov 2022 price is 107.59/107.68or you can look at BTP 4.75 of 01 aug 2023 price is 101.80/101.95
by cemil
January 28th, 2013, 4:10 pm
Forum: Economics Forum
Topic: Is China going to be the first economy?
Replies: 17
Views: 10722

Is China going to be the first economy?

<t>"Sure but the Chinese middleclass won't have the same purchase power as the US or the European one"Why not as european one? I don't agree with you.And don't forget they have the number. And there is high level class which became more and more numerous. Suppose only 10% of chinese have a high purs...
by cemil
January 28th, 2013, 2:39 pm
Forum: Economics Forum
Topic: Is China going to be the first economy?
Replies: 17
Views: 10722

Is China going to be the first economy?

<t>I don't know if China will begin the first economy in the world (depend on the others countries evolution). But I'll try to answer to your questions:"the transition from investment and exportation economy to an internal consumption based one..."According to me, this is not a problem because the m...
by cemil
January 28th, 2013, 8:29 am
Forum: Technical Forum
Topic: Normal Model
Replies: 4
Views: 9239

Normal Model

thanks to edouard and Cuchulainn.In this link they discuss about black model but I want to price CME/LIFFE option with the normal model (not lognormal as in black).I found document about european pricing but not for american style.
by cemil
January 25th, 2013, 2:06 pm
Forum: Technical Forum
Topic: Normal Model
Replies: 4
Views: 9239

Normal Model

Hi allI'm looking for stuff for STIR american option pricing under normal model.
by cemil
January 18th, 2013, 9:03 am
Forum: Technical Forum
Topic: BTPS yield calculation
Replies: 2
Views: 9443

BTPS yield calculation

<t>Calculation is a standard Actual/Actual with semiannual for the coupon periodicity but some btps have a notional value different from 100.This calculation is done since euro but before the calculation rule was different for btps for accured coupon which is not have the same settlement for the bon...
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