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by Peniel
January 5th, 2008, 5:18 pm
Forum: Brainteaser Forum
Topic: Fibonacci(i+j-1)
Replies: 7
Views: 67190

Fibonacci(i+j-1)

Thanks Chukchi but...As I get So I was right and it cheers me up but...I am still stuck with that formula.Another hint?
by Peniel
October 26th, 2007, 3:30 pm
Forum: Brainteaser Forum
Topic: Fibonacci(i+j-1)
Replies: 7
Views: 67190

Fibonacci(i+j-1)

For k=1, after some calculations, I find that Sum=(Fibo(p) - 1)^2 + (Fibo(p+1) - 1)^2 and I'm stuck with that.Any hint Chukchi?
by Peniel
June 5th, 2007, 4:37 pm
Forum: Student Forum
Topic: Basic Integral Question
Replies: 12
Views: 71206

Basic Integral Question

Damm!I need a new brain (...or my bed...or both...)
by Peniel
June 5th, 2007, 3:21 pm
Forum: Student Forum
Topic: Basic Integral Question
Replies: 12
Views: 71206

Basic Integral Question

second try:E[e^W(t)]=sqrt(t)*e^(t/2) for t>0
by Peniel
June 5th, 2007, 1:16 pm
Forum: Student Forum
Topic: Basic Integral Question
Replies: 12
Views: 71206

Basic Integral Question

I hope it's correct
by Peniel
June 5th, 2007, 11:53 am
Forum: Student Forum
Topic: Stuck with CMS
Replies: 1
Views: 70637

Stuck with CMS

...I mixed up July and August... sorry guysAnyway, I would be interested in other results (CMS Swap, CMS Cap) to compare with my implementation-P-
by Peniel
June 5th, 2007, 9:00 am
Forum: Student Forum
Topic: Stuck with CMS
Replies: 1
Views: 70637

Stuck with CMS

Hi all,I've read Pat Hagan's article and implemented it.I want to match the results that I found in "An examination of the convexity adjustment..." by Nevena Selic (p29)....and it doesn't work...What's wrong ?Any ideas or others results would be great appreciate.-P-
by Peniel
June 1st, 2007, 11:05 am
Forum: Student Forum
Topic: Incomplete Data - Vol ATM
Replies: 4
Views: 71267

Incomplete Data - Vol ATM

<t>samyonez, thank you for your reply I have no historicals, but I have some ideas I feel like to try:Do you think it is a "good" idea to calibrate a Sabr model for swaption vol 1M/5Y and keep the same parameters for 1M/10Y, 1M/20Y, M/30Y ?or calibrate sabr parameters for swaption vol in another (co...
by Peniel
May 31st, 2007, 11:34 pm
Forum: Student Forum
Topic: Incomplete Data - Vol ATM
Replies: 4
Views: 71267

Incomplete Data - Vol ATM

up
by Peniel
May 31st, 2007, 11:23 am
Forum: Student Forum
Topic: Timing adjustments
Replies: 4
Views: 71331

Timing adjustments

<r>did you check the FAQ ? <URL url="http://www.wilmott.com/messageview.cfm?catid=19&threadid=13946Read"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... =13946Read">http://www.wilmott.com/messageview.cfm?catid=19&threadid=13946Read</LINK_TEXT></URL> Pat's article again, and agai...
by Peniel
May 30th, 2007, 1:42 pm
Forum: General Forum
Topic: CMS
Replies: 3
Views: 72404

CMS

<r>I would suggest Hagan "convexity conundrum..." or/and Boenkost "Interest rate convexity..."<URL url="http://www.wilmott.com/messageview.cfm?catid=4&threadid=15266-P-"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... d=15266-P-">http://www.wilmott.com/messageview.cfm?catid=4&th...
by Peniel
May 30th, 2007, 7:48 am
Forum: Student Forum
Topic: Incomplete Data - Vol ATM
Replies: 4
Views: 71267

Incomplete Data - Vol ATM

<t>_ok_I have this matrix:Swaption vol ATM--------1Y------2Y------3Y-----5Y----10Y----20Y----30Y 1M--vol11--vol12--vol13--vol14----?-------?-------?3M--vol21--vol22--vol23--vol24----?-------?-------?6M--vol31--vol32--vol33--vol34----?-------?-------?9M--vol41--vol42--vol43--vol44----?-------?-------...
by Peniel
May 29th, 2007, 8:52 am
Forum: Student Forum
Topic: Timing adjustments
Replies: 4
Views: 71331

Timing adjustments

Have a look at this one: Pat Hagan "Convexity conundrums..."
by Peniel
May 29th, 2007, 7:20 am
Forum: Student Forum
Topic: LGM model
Replies: 6
Views: 81959

LGM model

....how can i be sure....?For me LGM=Linear Gaussian Model but if it sounds something different for you,i don't know what you are looking for
by Peniel
May 29th, 2007, 6:59 am
Forum: Student Forum
Topic: LGM model
Replies: 6
Views: 81959

LGM model

LGM for Linear Gaussian Modelhttp://www.wilmott.com/messageview.cfm?catid=3&threadid=37777
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