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by cemil
January 14th, 2008, 1:04 pm
Forum: Numerical Methods Forum
Topic: French Bond Zero Coupon Curve review
Replies: 3
Views: 61171

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.
by cemil
December 12th, 2007, 9:06 am
Forum: Student Forum
Topic: Prizing of CMS options
Replies: 5
Views: 63172

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...
by cemil
October 9th, 2007, 7:29 am
Forum: Student Forum
Topic: Yield Calculation
Replies: 2
Views: 63765

Yield Calculation

The formula is:(1+semiannual_rate/2)^2-1=annual_rate
by cemil
September 27th, 2007, 6:52 am
Forum: General Forum
Topic: Bloomberg and Quant
Replies: 18
Views: 76858

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...
by cemil
September 24th, 2007, 12:39 pm
Forum: Programming and Software Forum
Topic: Bloomberg (Terminal) Manual
Replies: 16
Views: 91375

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...
by cemil
September 24th, 2007, 12:02 pm
Forum: Programming and Software Forum
Topic: Bloomberg (Terminal) Manual
Replies: 16
Views: 91375

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.
by cemil
September 18th, 2007, 7:47 am
Forum: Programming and Software Forum
Topic: Bloomberg (Terminal) Manual
Replies: 16
Views: 91375

Bloomberg (Terminal) Manual

Training is free!the goal of BB is to make dependant of their system to make money.
by cemil
September 7th, 2007, 8:22 am
Forum: General Forum
Topic: 3 Month T-bill rate
Replies: 5
Views: 67499

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.
by cemil
September 7th, 2007, 7:32 am
Forum: Student Forum
Topic: Bootstrapping for Bonds and Zero Coupon Bond Price
Replies: 3
Views: 66829

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.
by cemil
September 7th, 2007, 7:02 am
Forum: General Forum
Topic: 3 Month T-bill rate
Replies: 5
Views: 67499

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.
by cemil
August 20th, 2007, 12:48 pm
Forum: Technical Forum
Topic: Bloomberg's zero curve
Replies: 9
Views: 73631

Bloomberg's zero curve

Send to blommberg a message from HELP menu on your bloomberg.
by cemil
August 20th, 2007, 12:13 pm
Forum: Programming and Software Forum
Topic: pasting notepad data into excel
Replies: 5
Views: 69510

pasting notepad data into excel

you need to use "DATA/TEXT TO COLUMNS" to convert the data.
by cemil
August 20th, 2007, 11:35 am
Forum: Programming and Software Forum
Topic: roundup and match in excel
Replies: 5
Views: 67216

roundup and match in excel

I use Excel 2003 and i have the same problem. I think the "round" function don't round correctly.
by cemil
August 16th, 2007, 1:13 pm
Forum: Technical Forum
Topic: Computing zero rates
Replies: 4
Views: 66976

Computing zero rates

this formula is the bootstrapping formula to built the yild curve
by cemil
August 8th, 2007, 9:36 am
Forum: Trading Forum
Topic: Gaussain Copula in EXCEL
Replies: 13
Views: 82825

Gaussain Copula in EXCEL

this link is not valide
GZIP: On