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May
25
awarded  Nice Answer
Mar
10
comment Which method is implemented by Excel's YEARFRAC for ACT/ACT?
I agree. Thank you.
Mar
10
comment Which method is implemented by Excel's YEARFRAC for ACT/ACT?
I agree in one point: I don't like ACT/ACT and I prefer ACT/365 too. Also, I do not claim that daycounting has to be additive, but it is a desirable feature and ACT/ACT ISDA is addtive but Excel ACT/ACT is not. Apart from this, you do not answer the question in any aspect: Which method is implemented by Excel? - It appears that Excel is not implementing any known method at all (and there are "some" well definied method under the name ACT/ACT).
Jan
5
awarded  Yearling
Jan
4
comment Longstaff Schwartz method
@BoppityBop: More details are here: finmath.net/topics/bermudanoptionmontecarlo the core regression is performed by the class at svn.finmath.net/finmath%20lib/trunk/src/main/java/net/finmath/…
Nov
19
awarded  Necromancer
Sep
30
awarded  Explainer
Sep
24
awarded  Autobiographer
May
28
comment Rationale for OIS discounting for collateralized derivatives?
It appears you are thinking of a (call) option only. In that case: being that option short would be an example. A more natural example is that of a swap exchanging fixed rate C versus floating rate L, i.e. X = C-L (negative for high L). The swap could be a structured one with a complex coupon C, but the above applies for plain products as well.
Apr
13
awarded  Revival
Jan
5
awarded  Yearling
Dec
2
comment Why doesn't a simulated delta hedging process go to zero?
The link to the applet above works. The source code of the delta hedge is here: svn.finmath.net/finmath%20lib/trunk/src/main/java/net/finmath/… (there is also a delta-gamma hedge version in the same package/folder)
Sep
19
revised What's the algorithm behind Excel's ACCRINT?
added 246 characters in body
Sep
19
comment What's the algorithm behind Excel's ACCRINT?
With respect to YEARFRAC: I haven a re-implementation of Excel's algorithm and many more at finmath.net svn.finmath.net/finmath%20lib/trunk/src/main/java/net/finmath/… see also christian-fries.de/blog/files/2013-yearfrac.html - the problem is that YEARFRAC is not a standard act/act method. Sure, many may use it for calculating stuff, but that does not mean that is is correct. When it comes to payoff by the financial institution they will use a different (standardized) rule (like ACT/ACT ISDA).
Sep
19
awarded  Student
Sep
19
asked Which method is implemented by Excel's YEARFRAC for ACT/ACT?
Sep
3
awarded  Quorum
Aug
31
revised Question about option theta
edited body
Aug
31
comment Is there an all Java options-pricing library (preferably open source) besides jquantlib?
It is now at Java 6 and we are developing a branch which will use Java 8. Intention is to support Java 6 and Java 8 by two different releases.
Aug
31
answered Question about option theta