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  1. 'forward curve steeping'..??

    I don't know the math behind it but it looks like G2++ setting to me. The rho in your content is often heard as having something to do with "humps" in the vol term structure. Brigo's book (ch4) should have some useful information for you. If you want, you can build the machinary to calibrate the...

  2. Portfolio replication

    Is that the only/final question you have?

  3. Risk Latte's Certificate in Financial Engineering (CFE)

    tbs.....very funny

  4. Google stops censoring web for China

    I find this whole discussion very amusing. "Taiwan is quieter than before because they need China market...not USA anymore. You will find most Taiwanese friends accept Mainland China " As a Taiwanese, I sort of agree on the above statement. People always like to go with where money goes...

  5. FYI: new CDS conventions in North America

    the Big Bang may be someone's Big "Pain"....

  6. J.P. Morgan's CDS Analytical Engine Available as Open Source

    I also tried to play with some of the function. One thing i am not sure is that they released a new document: "Standard CDS Example" at www.cdsmodel.com. In that doc they mentioned the Converter Assumptions is assuming a single flat hazard rate... Is there anyway that i can see how they...

  7. J.P. Morgan's CDS Analytical Engine Available as Open Source

    anyone download/played with that already?

  8. Education Advice - NYU Advanced Certificate in Financial Mathematics

    "I want to make use of my quantitative abilities, and I simply know I would make a great fit for a position as a quant. My decision is more out of passion than the rewards." "The smallest one being 40 units and the largest being 90 units. We make six figures as of now in terms of cash income...

  9. quick and dirty way to do PnL

    I dont know what else on the everyone's book. but, Bloomberg CDSW provides the following things: Repl Sprd: the spread to price the deal to par Sprd DV01: by BB's definition, that's the value when the WHOLE spread curve move up 1 bps IR DV01: the value changes when the swap curve move up 1...

  10. quick and dirty way to do PnL

    interesting question... i also want to know the answer....cause i have five pricing sources for one same deal and they give me five different numbers.......oh~~my god...

  11. US hedge fund makes 1,000% return betting against subprime

    Any thoughts of how they ACTUALLY, EFFICIENTLY, and PRACTICALLY short these structured products?
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