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by pcaspers
March 27th, 2016, 8:54 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 11136

Put-Call-Bermudan

<t>You mean, the put is exercised on the first possible date always and the call which is generated by this exercise is then a usual Bermudan call on the rest of the grid (a detail of the term sheet is that you can not exercise the call on the same date as the put)?Let's see what the implementation ...
by pcaspers
March 25th, 2016, 3:45 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 11136

Put-Call-Bermudan

I meant a payoff in the sense how Alan described it. And yes, the roll back procedure looks sensible. I will give it a try in the new few days and see what comes out. Thank you all.
by pcaspers
March 25th, 2016, 7:11 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 11136

Put-Call-Bermudan

Maybe the better description is: You have a Bermudan put and if exercised on t_i this generates a Bermudan call on the exercise grid t_{i+1}, ... , t_n. Strikes are all the same.
by pcaspers
March 24th, 2016, 7:08 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 11136

Put-Call-Bermudan

<t>Consider the following option. Exercise dates are on t_1, t_2, t_3, ... , t_n. You have an underlying and may exercisea) a put on t_i, then a call on t_j, for one pair (i,j) with i<j, but only on one pair of dates. or alternativelyb) a put on t_i for one of the iWhat is this, is it something fami...
by pcaspers
March 12th, 2016, 6:50 pm
Forum: Programming and Software Forum
Topic: -frandom-seed=
Replies: 7
Views: 4729

-frandom-seed=

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: pcaspersI just learned that this is a gcc option - can someone clarify why a compiler needs a random number stream ?Hi pc,You were doing some *parallel* random number generators in C++. Is that open source and easily plugged into oth...
by pcaspers
February 24th, 2016, 8:53 am
Forum: Student Forum
Topic: Daycount basis of broker quotes of cms swaps
Replies: 7
Views: 2891

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: 2607

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: 3082

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: 2607

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: 2891

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: 2891

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: 3414

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: 38390

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: 38390

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: 3292

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)
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