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## Search found 218 matches

January 14th, 2008, 1:04 pm
Forum: Numerical Methods Forum
Topic: French Bond Zero Coupon Curve review
Replies: 3
Views: 61139

### French Bond Zero Coupon Curve review

don't forget that a zc bond curve is different from zc swap curve. Don't forget the accrual rate; and you have to solve the problem of the lack of bond for each year.
December 12th, 2007, 9:06 am
Forum: Student Forum
Topic: Prizing of CMS options
Replies: 5
Views: 63139

### Prizing of CMS options

<r>you can find the "An examination of the convexity correction technique in the pricing of constant maturity swaps", Nevena Selic at the Witwatersrand, Johannesburg UniversityThe link is: <URL url="http://web.wits.ac.za/Academic/Science/CAM/Mfinance/Research/"><LINK_TEXT text="http://web.wits.ac.za...
October 9th, 2007, 7:29 am
Forum: Student Forum
Topic: Yield Calculation
Replies: 2
Views: 63739

### Yield Calculation

The formula is:(1+semiannual_rate/2)^2-1=annual_rate
September 27th, 2007, 6:52 am
Forum: General Forum
Topic: Bloomberg and Quant
Replies: 18
Views: 76783

### Bloomberg and Quant

<t>I have a Reuters and Bloomberg. It depends on what you do. For the data bloomberg is perfect for me but for the real-time market quote I prefer Reuters which is friendly use.The Bloomberg licence is 1.5 time expensive for a Reuters terminal.And for a quant Reuters is better than Bloomberg (lots o...
September 24th, 2007, 12:39 pm
Forum: Programming and Software Forum
Topic: Bloomberg (Terminal) Manual
Replies: 16
Views: 91298

### Bloomberg (Terminal) Manual

<t>For blp is true but for blph is not true because the option of the the function is totaly different from the old one.OLD : blph ("ticker","filed", "oldoptions","st date") NEW:bdh ("ticker","filed", "st date","end date","newoptions") The oldoptions is in a standardize but the newoptions is not sta...
September 24th, 2007, 12:02 pm
Forum: Programming and Software Forum
Topic: Bloomberg (Terminal) Manual
Replies: 16
Views: 91298

### Bloomberg (Terminal) Manual

Last Friday I was in BB and they show me a new version of their functions for excel which will replace the olds: blp(), blhp()...And these functions are very different from the current one and need to make changes on the application.
September 18th, 2007, 7:47 am
Forum: Programming and Software Forum
Topic: Bloomberg (Terminal) Manual
Replies: 16
Views: 91298

### Bloomberg (Terminal) Manual

Training is free!the goal of BB is to make dependant of their system to make money.
September 7th, 2007, 8:22 am
Forum: General Forum
Topic: 3 Month T-bill rate
Replies: 5
Views: 67462

### 3 Month T-bill rate

EMU don't exist :-)Actually the short term benchmark for euro is the french tbills.And if you want to build a yield curve for each county you need to get the tbills of this country.
September 7th, 2007, 7:32 am
Forum: Student Forum
Topic: Bootstrapping for Bonds and Zero Coupon Bond Price
Replies: 3
Views: 66800

### Bootstrapping for Bonds and Zero Coupon Bond Price

I think you make a big mistake with bonds.The bond maturity is never 1Year, 2 year but on ly a fraction of year. So to get a zero coupon yield with the bond you need to adjusted the bond with their maturities and coupon payment.
September 7th, 2007, 7:02 am
Forum: General Forum
Topic: 3 Month T-bill rate
Replies: 5
Views: 67462

### 3 Month T-bill rate

For euro, you need to use french tbills (benchmark) till 1year instead of german tbills.you cannot use libor fixing to replace tbills rate.
August 20th, 2007, 12:48 pm
Forum: Technical Forum
Topic: Bloomberg's zero curve
Replies: 9
Views: 73575

### Bloomberg's zero curve

August 20th, 2007, 12:13 pm
Forum: Programming and Software Forum
Topic: pasting notepad data into excel
Replies: 5
Views: 69478

### pasting notepad data into excel

you need to use "DATA/TEXT TO COLUMNS" to convert the data.
August 20th, 2007, 11:35 am
Forum: Programming and Software Forum
Topic: roundup and match in excel
Replies: 5
Views: 67181

### roundup and match in excel

I use Excel 2003 and i have the same problem. I think the "round" function don't round correctly.
August 16th, 2007, 1:13 pm
Forum: Technical Forum
Topic: Computing zero rates
Replies: 4
Views: 66948

### Computing zero rates

this formula is the bootstrapping formula to built the yild curve
August 8th, 2007, 9:36 am