Test Data for the Cumulative Bivariate Normal Distribution
Using Java I implemented the double precision algorithm to compute the cumulative bivariate normal distribution found in A.Genz, “Numerical computation of rectangular bivariate and trivariate normal and t probabilities”, Statistics and Computing, 14, (3), 2004. $$M(a,b, \rho)=\frac{1}{2\pi\sqrt{1-\rho^2}}\int_{-\infty}^a\int_{-\infty}^b \exp\left(-\frac{x^2-2\rho xy +y^2}{2(1-\rho^2)}\right)dxdy$$ To validate the implementation I had hoped to find an easily accessible table of values […]
99Designs: The Good, the Bad and the Ugly
99Designs is a crowdsourcing platform for graphic designers. We were interested in a new logo for Clarus and also curious about the modern 99Designs platform, so we hosted a ‘competition’ for the design of a new logo. We chose a ‘Silver’ competition (£339), received 219 entries from 64 different designers, and are very happy with […]
OTC Derivatives for Fund Management Conference
On November 14th I was invited to speak on a panel at the Osney Media OTC Derivatives Fund Management Conference. The panel discussion before mine was titled “Focusing on counterparty risk in the new CCP world”. A number of interesting points were made by the panelists. LCH SwapClear stated that the Lehman’s default was handled […]
Dragon4 and Grisu3: algorithms to display floating point numbers
I recently encountered a reference to algorithms called Dragon4 and Grisu3; curious as to what they were I read an enlightening blog “Here be dragons: advances in problems you didn’t even know you had”. I was quite astonished that the display of floating point numbers was even a difficult problem and that there was a […]
ShareLaTeX
I recently stumbled across a little piece of magic, ShareLaTeX. I had just switched OS on my work laptop which meant reinstalling LaTeX again. It’s a windows machine, and I was also keen to be able to use my Mac Mini at home, so I started to look into using google drive with LaTeX. Whilst […]
Valuation of CME Deliverable Swap Future
Recently CME announced the introduction of a new interest rate swap future. The future delivers an interest rate swap at expiry which is then cleared through CME. The contract uses the usual future style margining. This week I had a quick look at the valuation of the contract. The existing machinery developed by Marc Henrard […]
CCP Initial Margin for Interest Rate Swaps
The Dodd-Frank Act in the US and the EMIR Directive in Europe have mandated the requirement for Interest Rate Swaps to be cleared at Clearing Houses. One of the most significant differences in market practices from this change is the requirement to post collateral to meet the Initial Margin requirement. At the recent 13th Annual […]
Implementing BUS/252 Daycount Convention
The daycount convention BUS/252 is determined by computing the number of good business days in the relevant calculation period and dividing by 252. There are several alternative short names I have seen for the same convention; ACT/252, ACTW/252, BU/252, BD/252. I prefer BUS/252, not least because it is the short name used by FpML. The […]
Starting an Internship Programme at a Startup
In the UK, the notion of an internship is fairly new (to me at least). It was not straight forward to set up a program, so I share a few of the key steps I have found to be useful. The documents “Common Best Practice Code for Quality Internships” and “Internships that Work: A Guide […]
Angel Investing in London – CityMeetsTech
I attended the CityMeetsTech event yesterday evening at the new Google Campus on Bonhill Street, EC2. The event was advertised as an opportunity for selected tech start-ups to pitch to angel investors. Each start-up to be given 3 minutes to pitch their slide deck and then 2 minutes for questions and onto the next. See […]