Curiosities on the Monotone Preserving Cubic Spline
In this paper we describe some new features of the monotone-preserving cubic splines and the Hyman’s monotonicity constraint, that is implemented into various spline interpolation methods to ensure...
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Reproduction Example 1 of Generalized Procedure for Building Trees
In a recent (2014) paper John Hull and Alan White demonstrate a generalized method for the construction of short rate trees. Keen to understand the model we tried to reproduce the results of the first...
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Compiling Levmar using NMake (Visual Studio 2010)
Prerequisites: -Visual Studio 2010 which comes with NMake -levmar 2.6 (http://users.ics.forth.gr/~lourakis/levmar/) For a recent research project we needed to solve an optimization problem. We...
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Compiling LevmarSharp (Visual Studio 2010)
Prerequisites: -Visual Studio 2010 -levmar 2.6 (http://users.ics.forth.gr/~lourakis/levmar/) -levmarsharp (https://github.com/AvengerDr/LevmarSharp) For a recent research project we needed to solve...
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Generalized Procedure for Building Short Rate Trees in Excel / VBA
In their 2014 paper John Hull and Alan White derive generalized method for the construction of short rate trees. This generalization is interesting as it allows for one tree (or lattice) construction...
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Levmar Excel An Introduction
Levmar Excel is a wrapper around levmar, one of the best Levenberg-Marquardt algorithms out there. The wrapper allows you to use levmar in Excel via VBA. This is handy if you want to solve a nonlinear...
View ArticleLevmar Excel version 1.1 released
We are happy to announce that a new version of Levmar Excel has been released. This version exposes more functionalities from the original levmar package to Excel. New in this version is the ability to...
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Wrapping C++ DLL for use in Excel / VBA using some pretty awesome open source...
In this blog it’s explained how you can wrap up C++ managed or unmanaged code and make the functionality available in Excel / VBA. The blog uses levmar as specific example, but most steps are generic....
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Generalized Procedure for Building Short Rate Trees in Excel / VBA using...
In a previous we blog we reproduced example 1 of the 2014 paper John Hull and Alan White “Generalized Procedure for Building Short Rate Trees”. In the paper the authors derive a generalized method for...
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Theta : A Test for Short Rate Model Lattice
While short rate models have lost ground to libor market models for valuation of (complex) interest rate derivatives, they remain popular for Asset and Liability Management. As a result you may find...
View ArticleWorld Finance Conference Talk 2015 - The Geometry of Interest Rate Risk
In this talk the process of interest rate risk management is considered. The yield curve construction is revisited and emphasis is given to aspects such as input instruments, bootstrap and...
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Review of Lattice Construction Methods
Just before year end we put out our paper, titled "Review of Lattice Construction Methods"! This paper extends the generalized procedure for building trees for short rates by Hull & White. A...
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Theta - Critical Note
In a previous blog we presented an implementation of the Generalised Hull-White model (2014). This implementation relies on a numerical root-finding routine to determine model parameters so that model...
View ArticleMulti-Curve - Useful References
We have recently started the project of including the multi-curve framework into the UDFinLib, our own financial library. The topic is delicate, as it consists of both research and implementation at...
View ArticleCredit Default Swaps : First Steps with Example
A Credit Default Swaps (CDS) is a derivative to transfer default risk from one party to the next. The default protection is granted on the reference entity which can in principal be any entity, for...
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Bootstrap approach for CDS spreads
In this blog we consider the hazard (or default) rate implied by Credit Default Swaps (CDS). In specific we compare a simplified CDS-spreads-based model against a bootstrap procedure. Surprisingly we...
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Intuitions From The Multi-Curve Framework
How can we hedge within the multi-curve framework? Let’s consider a simplified case. Our building blocks will be swaps only of various tenors and maturities with the following purposes: Discounting...
View ArticleOn the Design Board: From Single- to Multi-Curve
Introduction Standard fixed-income applications make a larger and larger use of the multi-curve framework to price products and hedge risks. For whatever reason this is the case, it is useful to know...
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