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seen Oct 27 at 19:28

Aug
6
comment Duration of a floating rate note
I don't really know what kind of different durations are used for FRN's. I have a list with "curve+spread" elements on a quarterly basis that I reckon would be the coupon payments, (thus replacing the cpn term in the code).
Jul
10
comment Need to match my bond price calculation to that of Bloomberg, currently failing hard
Thanks, it was the accrued interest in combination with the day count convention that messed up my numbers. :)
Jul
9
comment Need to match my bond price calculation to that of Bloomberg, currently failing hard
Also, sorry that I didn't post any code but it's all on my work computer and I'm currently out of the office. I can post it tomorrow if that would help you help me.
Apr
23
comment What mathematical characteristics are required from the asset price process in order to stay within the RNP framework?
Aha, so does this imply that all models need to evaluated using PDE methods before one finds more practical pricing methods?
Apr
22
comment What mathematical characteristics are required from the asset price process in order to stay within the RNP framework?
Thanks for this. I should have specified that what I meant with RNP-framework is the fact that you can discount whatever payoff you are able to conjure up, at the risk free rate instead of some rate that takes into account the uncertainty of this payoff. So my question really is, what must be in place in order for it to be ok to do this.
Apr
9
comment Do weights from portfolio theory contain bias?
Thank you very much for this! :) I much appreciate the additional information, and will check it out.