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by RedAlert
December 20th, 2005, 9:41 pm
Forum: Programming and Software Forum
Topic: Visual Studio Express 2005
Replies: 33
Views: 138102

Visual Studio Express 2005

Thanks Mark - adding User32.lib did the trick.Cheers,F.
by RedAlert
December 19th, 2005, 4:06 pm
Forum: Programming and Software Forum
Topic: Visual Studio Express 2005
Replies: 33
Views: 138102

Visual Studio Express 2005

MJ - I'm having problems building xlls using xlw in Express 2005. I've downloaded the SDK for windows 2003 but it seems to give lnk 2019 errors claiming it can't find stuff like:error LNK2019: unresolved external symbol __imp__MessageBoxA@16any thoughts?Thanks,F.
by RedAlert
December 10th, 2005, 7:49 pm
Forum: Student Forum
Topic: currency Basket
Replies: 2
Views: 127729

currency Basket

There's a paper by Brigo and/or Mercurio on Basket options. Look on each of their personal web pages (just google them).
by RedAlert
November 20th, 2005, 10:15 pm
Forum: Programming and Software Forum
Topic: XLL Performance NT Vs XP
Replies: 6
Views: 130066

XLL Performance NT Vs XP

<t>All,I've created an XLL which has a number of computationally intensive pricing functions. The XLL appears to function correctly, however I am observing massive performance issues on machines using NT. For example running my code in Excel on XP or Win2K will return an answer in about 3 seconds, e...
by RedAlert
November 9th, 2005, 10:13 am
Forum: Technical Forum
Topic: Bermudan Swaptions - par spread
Replies: 1
Views: 130241

Bermudan Swaptions - par spread

<t>All,If I was to go to the market and purchase a EUR-USD Xccy Bermudan (30Y NC 1Y (annual)):(6M EURIBOR - 40bp) Vs (3M USD + spread)and somebody in the market was to quote me the par value spread as -44bp. How do I interpret this spread? Is this:1. The spread which values the Bermudan as zero.2. T...
by RedAlert
October 15th, 2005, 6:32 am
Forum: Student Forum
Topic: Hull-White calibration results
Replies: 10
Views: 137169

Hull-White calibration results

<t>Richard,Your values look ok. Typically the mean reversion in 1F HW will lie between 1% and 4% depending on the market. E.G. JPY is about 1%, USD is about 3% currently.HW vols fluctuate between 0.5% and 1%; this is abviously market dependent again ant also dependent on the underlying tenors and ma...
by RedAlert
October 5th, 2005, 8:01 pm
Forum: Trading Forum
Topic: Quanto correlation
Replies: 10
Views: 148325

Quanto correlation

<t>A quick question - how are you backing out the market implied correlation? If you have asked a broker/IB for a quote for a particular quanto structure and you are using this together with the implied vol seen on screens for vanilla trades then might this lead to an inaccurate correlation? Presuma...
by RedAlert
September 10th, 2005, 6:46 am
Forum: Technical Forum
Topic: Swap rates - Hull White
Replies: 10
Views: 159163

Swap rates - Hull White

[repeat deleted]
by RedAlert
September 10th, 2005, 6:46 am
Forum: Technical Forum
Topic: Swap rates - Hull White
Replies: 10
Views: 159163

Swap rates - Hull White

Richard,did you come to any final conclusions on your swap rate issue? Would you expect HW generated fwd swap rates to be different to those obtained from the yield curve? If so, why?thxs,F
by RedAlert
August 30th, 2005, 11:17 am
Forum: Technical Forum
Topic: is WBS training useful ?
Replies: 7
Views: 138687

is WBS training useful ?

WBS - World Business Strategies....Have been on a couple of their workshops; they're well run and organised - the quality of the course obviously depends on the speaker.Have heard good things about their 4-day workshop in Prague last year....
by RedAlert
August 27th, 2005, 7:14 am
Forum: Careers Forum
Topic: How long before moving on
Replies: 4
Views: 138218

How long before moving on

<t>I'd echo DCFC comments. Additionally I'd also say that there's often considerable value for staying put, my experience is that the first year in a job can often be the worst....as you get more experienced in the role and get to be better known in the organisation you can quite often get more inte...
by RedAlert
August 27th, 2005, 7:06 am
Forum: Careers Forum
Topic: Life after Model Validation
Replies: 4
Views: 155093

Life after Model Validation

<t>Profnimbus,I think you already have a reasonably good insight into how model validators are perceived. Personally I think starting out as a model validation quant is a fairly good idea. If you get in a team that validates models across all the asset classes then you will get a wide exposure to va...
by RedAlert
August 27th, 2005, 6:54 am
Forum: Careers Forum
Topic: quant or trader?who earns the most!
Replies: 21
Views: 141298

quant or trader?who earns the most!

I disagree with "NoShame". I don't think "colour of skin" is a barrier in investment banks. The diversity in these organisations is phenomenal! Also, personally I wouldn't recommend an MBA as the best route into finance, a well respected and structured MSc is enough to get started.
by RedAlert
August 25th, 2005, 10:33 am
Forum: Student Forum
Topic: wedding cake option
Replies: 2
Views: 137767

wedding cake option

Makes sense - thanks.