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by pcaspers
February 24th, 2016, 8:53 am
Forum: Student Forum
Topic: Daycount basis of broker quotes of cms swaps
Replies: 7
Views: 2441

Daycount basis of broker quotes of cms swaps

QuoteOriginally posted by: Randorhi pcaspers,what about USD and CHF - both legs act/360 there too?and GBP both legs act/365 ?sorry, I don't know for other currencies than EUR
by pcaspers
February 21st, 2016, 6:41 pm
Forum: Student Forum
Topic: HW2F - Actual rates vs Implied Forwards
Replies: 7
Views: 2182

HW2F - Actual rates vs Implied Forwards

<t>QuoteOriginally posted by: AlanMy second try -- again, not my area. But, now it sound like a simple Jensen inequality thing: MCAvg(rates) [$]\not=[$] rates(MCAvg(prices))So, the correct way to get rates is the r.h.s.Yes, because in your notatino rates = rates(t) is in general not a martingale, so...
by pcaspers
February 20th, 2016, 4:18 pm
Forum: General Forum
Topic: Jensen's inequality and Black-Scholes
Replies: 12
Views: 2580

Jensen's inequality and Black-Scholes

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: nomihaveabcOh, A B C , It's easy as 1 2 3 , or simple as do re mi, A B C, 1 2 3 baby you and me girlit's more probably referring to this hot topic
by pcaspers
February 20th, 2016, 1:59 pm
Forum: Student Forum
Topic: HW2F - Actual rates vs Implied Forwards
Replies: 7
Views: 2182

HW2F - Actual rates vs Implied Forwards

<t>If you are estimating E [ (1-P(t,T)) / P(t,T) ] / tau this will only give F(0,t,T) if the model is operated in the T-forward measure, because only then the expression inside the expectation will be a martingale. If you are working in a different measure, you have to multiply this expression by th...
by pcaspers
February 17th, 2016, 5:23 pm
Forum: Student Forum
Topic: Daycount basis of broker quotes of cms swaps
Replies: 7
Views: 2441

Daycount basis of broker quotes of cms swaps

<t>No, the fixing is the ISDA fixing which is based on traded standard swaps Annual fixed 30/360 vs 6m Euribor Act360 (for the 1y swap it is 3m Euribor). Still the CMS leg payments are decoupled from these conventions. Why not, the CMS rate is not related to the period of the structured payment in t...
by pcaspers
February 17th, 2016, 11:10 am
Forum: Student Forum
Topic: Daycount basis of broker quotes of cms swaps
Replies: 7
Views: 2441

Daycount basis of broker quotes of cms swaps

If this hasn't changed recently it is act360 (because the CMS leg pays quarterly just as the Euribor3M leg).
by pcaspers
January 9th, 2016, 7:34 pm
Forum: Technical Forum
Topic: Quanto adjustment with no Black vol
Replies: 2
Views: 3145

Quanto adjustment with no Black vol

a) switch to a shifted lognormal volatility for the ibor forward and change rate => rate + shift in the formulas b) derive an adjustment based on a normal Black model for the ibor forward
by pcaspers
December 12th, 2015, 4:00 pm
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 30012

Cool algorithms

Indeed. The problem is, you almost never start on a green meadow, but find yourself in an enviroment where the project you work on is in C++ (which is luck already), and then you continue with that and never use Haskell except for playing with it at home ...
by pcaspers
December 11th, 2015, 4:41 pm
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 30012

Cool algorithms

Cuch, have a look at Haskell, it's born as a functional language and supports AD as well
by pcaspers
November 25th, 2015, 10:07 am
Forum: Programming and Software Forum
Topic: git annex
Replies: 4
Views: 2930

git annex

even the history of the annexed files is kept by default (and of course can be dropped ultimately on demand - or moved to some "long-term-keeps-everything" repository)
by pcaspers
November 25th, 2015, 10:01 am
Forum: Programming and Software Forum
Topic: git annex
Replies: 4
Views: 2930

git annex

<r>yes, you can even prescribe a minimum number of copies to be kept across your distributed backup landscapeas long as this minimum number of copies is out there (which is by default 1) you can drop the annex files in the other repositories and just keep the symlinkworks smoothly for my mp3 collect...
by pcaspers
November 24th, 2015, 6:27 pm
Forum: Programming and Software Forum
Topic: git annex
Replies: 4
Views: 2930

git annex

This is great, full power of git plus management of large files. Can also be used for distributed backups. Very nice! Seems not to be supported by github though, that would make sense, too.
by pcaspers
November 23rd, 2015, 5:19 pm
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 30012

Cool algorithms

I think you have to go through step 6 to get a configure.hpp that matches your system
by pcaspers
November 23rd, 2015, 3:27 pm
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 30012

Cool algorithms

<r>PowerArchiver ... :-)use some grown up tools like thistar (GNU tar) 1.27.1Copyright (C) 2013 Free Software Foundation, Inc.License GPLv3+: GNU GPL version 3 or later <<URL url="http://gnu.org/licenses/gpl.html%3E.This">http://gnu.org/licenses/gpl.html>.This</URL> is free software: you are free to...
by pcaspers
November 23rd, 2015, 3:13 pm
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 30012

Cool algorithms

I don't think so (I tried epl, too) - that's is only referring to the license, both should work fine
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