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Jul
19
comment 30360 Daycount Count Convention to find NPV for Bonds
@jessica, does that answer your question?
Jul
19
comment DCF Zero Coupon Bond
It has to do with what compounding frequency you apply. If you compound annually then the 360 term would drop out. Please see my edited answer here: quant.stackexchange.com/questions/8497/…
Jul
19
reviewed Approve DCF Zero Coupon Bond
Jul
19
reviewed Approve Convexity adjustment
Jul
19
comment 30360 Daycount Count Convention to find NPV for Bonds
Please see my edit. The day count convention dictates the 'T', the time fraction applied in the discount factor function. It makes the assumption here that months are of 30 day length and years of 360 days.
Jul
19
revised 30360 Daycount Count Convention to find NPV for Bonds
added 217 characters in body
Jul
19
answered DCF Zero Coupon Bond
Jul
19
comment 30360 Daycount Count Convention to find NPV for Bonds
@jessica, then you get 360 days just as 30/360 suggests. Re coupon payment frequencies you made no mention of that in your question and nor does it matter for your actual problem. You look to discount a future cash flow, whether it be a semi-annually paid cash flow or annually paid cash flow. The formula to discount any cash flow, using 30/360 convention, is as stated above in my answer.
Jul
19
comment Total number of currency transactions
Not sure how you derive value from such estimate. But I am unable to give you such figures because I never thought about it as I never expected such numbers add value
Jul
19
comment fetch from yahoo! finance database - varying number of ticks
I think rather than it being a MATLAB issue (all queries are identical) it may have to do with yahoo data storage or possible the fact that Japan is a week off the grid during golden week (may). It should be easy for you to verify which weeks are missing in the shorter time series.
Jul
18
comment How to tune Kalman filter's parameter?
I did but currently not. I work on something similar than particle filters but the algorithms are very expensive computationally. Digging into Cuda GPU programming in order to ease some matrix computations. Why, do you?
Jul
18
answered How to tune Kalman filter's parameter?
Jul
17
answered Total number of currency transactions
Jul
17
revised 30360 Daycount Count Convention to find NPV for Bonds
added 7 characters in body
Jul
17
answered 30360 Daycount Count Convention to find NPV for Bonds
Jul
15
comment Am I reading this correctly? probability way too small with BS model
Nice answer, practical, concise and to the point. +1 for this!!!
Jul
15
comment Tools/R code for predicting Dragon-Kings
By the way, I did watch the TED speech and felt it was a waste of time, why: All his reasons of why he can predict extreme events are accurate, however, the exact same variable states occur in countless market observations that do not lead to extreme events (increasing autocorrelation, increasing variance, increases in cross-correlations with external factors...). So, it again comes down to the same guy screaming "extreme event ahead" who screamed 20 times before and was proven incorrect. I did not come across his name forecasting any past extreme events. How come?
Jul
15
comment Tools/R code for predicting Dragon-Kings
@vonjd, what do you mean with "encrypted forecasts" and why you encrypt something, archive it and then decrypt it? I am not falling victim to a catch-the-fool type of post right now, am I? ;-) (I generally highly value your posts and read them with much interest but you have be gotten completely lost here).
Jul
14
comment Tools/R code for predicting Dragon-Kings
I flipped through the paper and found it to be utter "humbug". Nowhere have the authors established nor presented a statistical study that would support that there is any reliable way to forecast extreme events. While I disagree with Taleb in many ways I would say he is spot on in claiming black swans cannot be predicted but only subsequently managed. No earthquake (as of today) can be reliably predicted nor a financial crisis. For each guy who claimed he pinpointed the day the market put in a top there are 20 guys who did so before and got burned. But of course one should never stop dreaming
Jul
12
answered how to calculate more efficient volatility figure than historical volatility?