SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Samsaveel
April 16th, 2014, 12:57 pm
Forum: Careers Forum
Topic: structured Transactions desk
Replies: 0
Views: 4966

structured Transactions desk

a question regarding the background and suitability of traders headinga structured derivatives portfolio,1st ,2nd generation IR,FX,Hybrid portfoliowhat is a typical background ,and what is deemed fit for purpose by the regulator ?
by Samsaveel
April 2nd, 2014, 10:16 am
Forum: Programming and Software Forum
Topic: Data exchanges
Replies: 5
Views: 5001

Data exchanges

sure,can be achieved by doing it through a vendor,but requirement is to get data directly from exchange !
by Samsaveel
April 2nd, 2014, 6:23 am
Forum: Programming and Software Forum
Topic: Data exchanges
Replies: 5
Views: 5001

Data exchanges

to download data (equity Indexes ,global bond yields and spreads,commodity's,etc.... ) and conduct analytic s
by Samsaveel
April 1st, 2014, 3:47 pm
Forum: Programming and Software Forum
Topic: Data exchanges
Replies: 5
Views: 5001

Data exchanges

Hi,what is the best approach to connect a website to different global exchanges ?any leads ,books,articles thanks,
by Samsaveel
March 26th, 2014, 4:57 am
Forum: Student Forum
Topic: Concept of Theta for a Swaps Portfolio
Replies: 4
Views: 5902

Concept of Theta for a Swaps Portfolio

flavell book swaps and other derivatives discusses the concept for swap portfolios on page 290under section 12.9 THETA RISK
by Samsaveel
March 20th, 2014, 11:36 am
Forum: Careers Forum
Topic: Market risk
Replies: 6
Views: 6523

Market risk

<t>You'r welcome.if your organization has a dedicated research dept who develop the math's for different pricing modelsand risk metrics ,then Market Risk will be working with research on Model validation .so let's say the FO wants to trade a new product that is not within current Trading policy yet,...
by Samsaveel
March 18th, 2014, 5:04 am
Forum: General Forum
Topic: Interest Payments Due Question
Replies: 13
Views: 5812

Interest Payments Due Question

524695.0766 every 180 day'sis the 1.05% per annum effective or compounded semi-annulay ?
by Samsaveel
March 17th, 2014, 6:17 pm
Forum: Careers Forum
Topic: Market risk
Replies: 6
Views: 6523

Market risk

<t>as neuroguy said ,it depends on the structure of the organization.-Risk Assessment and control within a bank has a research department who develop the maths,IT do the implementation of the models ,and Market risk works on the Model Review before sign-off .-generating various reports ,and risk met...
by Samsaveel
March 10th, 2014, 6:48 pm
Forum: Programming and Software Forum
Topic: char type in c++ dll and VBA
Replies: 9
Views: 6181

char type in c++ dll and VBA

Thanks cuch ,will check Avt's .double sum1 = 0.0 ;
by Samsaveel
March 10th, 2014, 1:58 pm
Forum: Programming and Software Forum
Topic: char type in c++ dll and VBA
Replies: 9
Views: 6181

char type in c++ dll and VBA

<t>I changed the data type of type1 to integer.the issue now is that when type1 i== -1(indicating a put ) , I get 0 as output.below is the code snippet if (type1 == 1) val = 0.5*(max(0, S1 - strike) ; else if (type1 == -1) val = 0.5*(max(0, strike - S1) ; sum1 = sum1 + val; } val = exp(-rate*T)*sum1...
by Samsaveel
March 9th, 2014, 1:17 pm
Forum: Programming and Software Forum
Topic: char type in c++ dll and VBA
Replies: 9
Views: 6181

char type in c++ dll and VBA

<t>hi, I created a dll and want to use it from excel using vba.one of the arguments to the c++ function is option type 'P','C' of type charmy c++ function returns a vector containing the option value,standard deviation,and standard error.c++ function:vector <double> _stdcall MonteCarloSobol(double p...
by Samsaveel
February 28th, 2014, 4:52 am
Forum: General Forum
Topic: NatGas structured product
Replies: 8
Views: 5466

NatGas structured product

any example of a payoff structure of the upside on Brent,or a term sheet ?
by Samsaveel
February 26th, 2014, 4:54 pm
Forum: General Forum
Topic: NatGas structured product
Replies: 8
Views: 5466

NatGas structured product

exactly ,not clear to me either ! , they only mention a floor price of $6.5 per 1k cubic feet plus upside on Brent.with a maturity date 2031.are Take or Pay clauses standard in Long term NatGas contracts ?
by Samsaveel
February 26th, 2014, 4:06 am
Forum: General Forum
Topic: NatGas structured product
Replies: 8
Views: 5466

NatGas structured product

I read the following in a news article"the price of 1000 cubic feet of NatGasis based on a floor price + upside on Brent .the transaction start date is in 2016.is this a forward start option with the seller receiving a minimum floor price and a call option on Brent ?
by Samsaveel
November 25th, 2013, 1:51 pm
Forum: Numerical Methods Forum
Topic: Intro to Copula
Replies: 25
Views: 32153

Intro to Copula

<t>QuoteOriginally posted by: mjQuoteFor five years, Li's formula, known as a Gaussian copula function, looked like an unambiguously positive breakthrough, a piece of financial technology that allowed hugely complex risks to be modeled with more ease and accuracy than ever beforeHardly any quants ev...
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