SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
monkeydust
Topic Author
Posts: 9
Joined: August 8th, 2007, 4:37 pm

cds - jpm to give away its model?

November 13th, 2008, 11:37 am

is jpm making its cdsw model open source? anyone else heard this
 
User avatar
bojan
Posts: 347
Joined: August 8th, 2008, 5:35 am

cds - jpm to give away its model?

January 30th, 2009, 9:11 am

I have today seen this announcement:http://www.isda.org/press/press012909.htmlBut no link to download the code yet....
 
User avatar
kalkin
Posts: 41
Joined: January 23rd, 2007, 4:12 pm

cds - jpm to give away its model?

January 30th, 2009, 1:52 pm

I never thought I would see the day that this happens
 
User avatar
rmeenaks
Posts: 186
Joined: May 1st, 2006, 2:31 pm

cds - jpm to give away its model?

January 30th, 2009, 3:56 pm

Just contacted ISDA and they are in the process of packaging it up. They said it will be released in the very near future for download...Ram
 
User avatar
Paul
Posts: 10781
Joined: July 20th, 2001, 3:28 pm

cds - jpm to give away its model?

January 30th, 2009, 4:09 pm

You are all too young to remember VaR and RiskMetrics then! P
 
User avatar
freddiemac
Posts: 557
Joined: July 17th, 2006, 8:29 am

cds - jpm to give away its model?

January 30th, 2009, 6:38 pm

Is this the JPM model used in the Bloomberg page CDSW? Has that model not been known for along time? Is this news of any kind or just a PR trick? Am I missing something?
 
User avatar
katastrofa
Posts: 9221
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

cds - jpm to give away its model?

January 30th, 2009, 9:34 pm

I've seen this code, I can say I've never seen such C code in my life before.
 
User avatar
freddiemac
Posts: 557
Joined: July 17th, 2006, 8:29 am

cds - jpm to give away its model?

January 30th, 2009, 9:39 pm

QuoteOriginally posted by: katastrofaI've seen this code, I can say I've never seen such C code in my life before.Can you please elaborate on that? Do you mean it is very complicated or bad code?
 
User avatar
Cuchulainn
Posts: 62149
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

cds - jpm to give away its model?

January 31st, 2009, 1:13 pm

QuoteOriginally posted by: katastrofaI've seen this code, I can say I've never seen such C code in my life before.Lots of '*', -> and &* ??And of course malloc You mean, it's not OO?
Last edited by Cuchulainn on January 30th, 2009, 11:00 pm, edited 1 time in total.
 
User avatar
daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

cds - jpm to give away its model?

January 31st, 2009, 1:20 pm

QuoteYou mean, it's not OO?Oh No !
knowledge comes, wisdom lingers
 
User avatar
Cuchulainn
Posts: 62149
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

cds - jpm to give away its model?

January 31st, 2009, 2:00 pm

QuoteOriginally posted by: daveangelQuoteYou mean, it's not OO?Oh No !Especially if it was done in the 90's ('90s?); inheritance all over the place. IS A != HAS A
Last edited by Cuchulainn on January 30th, 2009, 11:00 pm, edited 1 time in total.
 
User avatar
daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

cds - jpm to give away its model?

January 31st, 2009, 2:04 pm

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: daveangelQuoteYou mean, it's not OO?Oh No !Especially if it was done in the 90's ('90s?); inheritance all over the place. IS A != HAS AI am sure people knew this in the 90s but having seen some other JPM models then I am not very optimistic.
knowledge comes, wisdom lingers
 
User avatar
Cuchulainn
Posts: 62149
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

cds - jpm to give away its model?

January 31st, 2009, 2:48 pm

There are two types of developers in my opinion based on problem solving mindset1. get it to workthen2. get it rightthen 3. optimiseOne group starts with 1 and goes to 2; the other starts with step 3 and when finshed there is no time for 2.My favourite is "We will build a generic and highly customisable engine and we will do it in 1 year". In practice it never is like that.
Last edited by Cuchulainn on January 30th, 2009, 11:00 pm, edited 1 time in total.
 
User avatar
Cuchulainn
Posts: 62149
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

cds - jpm to give away its model?

January 31st, 2009, 3:30 pm

What's more important is to give 1) UML design blueprints and 2) algos.All other code is plumbing, in general.
 
User avatar
daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

cds - jpm to give away its model?

January 31st, 2009, 4:09 pm

the design is well know - its based on a reduced form model. I think this is largely a symbolic move by JPM as the CDS issue is being resolved and they probably want to be seen to be doing the right thing.
knowledge comes, wisdom lingers
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On