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by cemil
December 7th, 2012, 1:05 pm
Forum: General Forum
Topic: spread option
Replies: 4
Views: 9632

spread option

QuoteOriginally posted by: rweinshtx but what is margrabe formula,please?google is your friend!
by cemil
June 26th, 2012, 7:58 am
Forum: Technical Forum
Topic: Brazilian yield curve
Replies: 2
Views: 12332

Brazilian yield curve

there are only one contract for 2019; 3 for 2020 (jan, jul, oct) and from 2021 to 2025 only the january contract
by cemil
April 15th, 2011, 12:33 pm
Forum: Programming and Software Forum
Topic: Different-colour country maps in xls?
Replies: 4
Views: 21145

Different-colour country maps in xls?

The simple way is to have a borderless image for each country
by cemil
June 25th, 2010, 11:56 am
Forum: General Forum
Topic: calculating forward rates
Replies: 6
Views: 70932

calculating forward rates

QuoteI do agree with U on both of cases. However, I have seen many documents in which the forward rate is calculated by this formula:Forward rate (1,2)= ((1+r02*t02)/(1+r01*t01) - 1) * (1/(t02 - t01))Look at this formula: (1+r01*t01) * (1+r12*(t02-t1)) = (1+r02*t02)
by cemil
June 23rd, 2010, 1:39 pm
Forum: Numerical Methods Forum
Topic: Nelson-Siegel-Svensson Curve Fitting
Replies: 7
Views: 42355

Nelson-Siegel-Svensson Curve Fitting

You need to use a non-linear optimisation with constraints but not with VBA (too slow). You can use Numericales Recipies to built your optimisation in C or C++For a quick optimisation, you need to fix your variables at "good level", and at each optimisation use the last optimum vector
by cemil
September 26th, 2008, 2:14 pm
Forum: Student Forum
Topic: Replicating Swaps with Eurodollar Futures
Replies: 4
Views: 49003

Replicating Swaps with Eurodollar Futures

QuoteOriginally posted by: MartinghoulWell, I've done it in a simple spreadsheet, works fine for moi... With a moderate amount of head scratching, but nothing too dire.Vrai de vrai!
by cemil
August 25th, 2008, 1:08 pm
Forum: Technical Forum
Topic: What does accrual period mean?
Replies: 4
Views: 54079

What does accrual period mean?

--------------------the interest on coupon bonds is calculated daily but only paid every 6th months.------------------------------------------the periodicity of the coupon depend on the bonds et countries. For exemple, for italian BTPS the periocity is semestrial but a french OAT is annual.
by cemil
August 25th, 2008, 1:08 pm
Forum: Technical Forum
Topic: What does accrual period mean?
Replies: 4
Views: 54079

What does accrual period mean?

by cemil
August 25th, 2008, 1:08 pm
Forum: Technical Forum
Topic: What does accrual period mean?
Replies: 4
Views: 54079

What does accrual period mean?

by cemil
July 23rd, 2008, 12:12 pm
Forum: General Forum
Topic: The face value of TIPS .
Replies: 6
Views: 51939

The face value of TIPS .

the minimum value is 100 even if the inflation is negative
by cemil
April 29th, 2008, 12:20 pm
Forum: Student Forum
Topic: Implied Volatilty Calculation
Replies: 10
Views: 56771

Implied Volatilty Calculation

Yes, you can calculate the implied vol of an option with BS model.It is easy to do.
by cemil
April 23rd, 2008, 2:02 pm
Forum: Trading Forum
Topic: Using code from your old firm
Replies: 36
Views: 61593

Using code from your old firm

QuoteCoding while employed is "work for hire" which means the people that hire you retain the copyright.Copyright for coding? for me it is an intellectual property. So you can use your algorith in another firm.
by cemil
April 16th, 2008, 11:34 am
Forum: General Forum
Topic: Intraday Gov Bond prices
Replies: 12
Views: 57650

Intraday Gov Bond prices

you can' t get tick price from 1990 because the bond must be auction if you have bloom or reuters you can get tick price for "standard" price from the contributors till the life of the bond.
by cemil
April 16th, 2008, 8:38 am
Forum: General Forum
Topic: Intraday Gov Bond prices
Replies: 12
Views: 57650

Intraday Gov Bond prices

you can't get intraday price for bonds because the bonds have a maturity, it is't an equity.
by cemil
February 7th, 2008, 9:12 am
Forum: Trading Forum
Topic: Property Derivative Option Pricing
Replies: 18
Views: 65315

Property Derivative Option Pricing

you can use IPD index to evaluate the property swap and option
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