Archive for March, 2010
Convexity adjustments for futures in a rate curve?
Hello all, I was wondering how you do the convexity adjustment for futures in rate curves in your Murex implementation? Are you using the Flesaker approximation derived from the Ho-Lee model ( 0.5 * sigma^2 * t1 * t2 ) or a variant thereof? Are youincluding amendments to cope with the different day count conventions?Perhaps [...]
Re: Website temporarily down
It’s a bug in the version of WordPress I’m using. I’ll give them a bit moretime and roll back if there is no fix shortly … On Sat, Mar 20, 2010 at 8:01 AM, Markus Linke wrote: > Hi,>> I’m having a problem with the website and its temporarily down. Should be> back in a [...]
Website temporarily down
Hi, I’m having a problem with the website and its temporarily down. Should beback in a few hours. Cheers,Markus —This e-mail contains information for the intended recipient only. It may contain proprietary material or confidential information. If you are not the intended recipient you are not authorised to distribute, copy or use this e-mail or [...]
Re: Website temporarily down
Fixed; it’s all up and running again … On Mon, Mar 22, 2010 at 3:19 PM, Markus Linke wrote: > It’s a bug in the version of WordPress I’m using. I’ll give them a bit more> time and roll back if there is no fix shortly …>>> On Sat, Mar 20, 2010 at 8:01 AM, [...]
[full-time] Junior Consultants at jeremy.birchell@excelian.com
Location: AnywhereDescription: Excelian is a dynamic, award winning IT consultancy delivering system integration across multiple asset classes and business areas for the financial services sector. Headquartered in the City of London with bases in the USA, Asia Pacific and South Africa, we work worldwide, with a suite of services including strategic IT planning, business consulting, [...]
Re: Flexible premiums settlements (IRD)
Hello Borja, > 3. Premium settles at any Index reference (not only the cap/floor index)> or any other formula> for example, inside one structure we will have a Loan + IRS + Cap +> Swaption, the idea is that the premium could be settled with the IRS index You could set the premium settlement mode [...]
Re: Static Data Issues
Hello Tobias, imho your observation holds true for at least 2.10 and 2.11, both writing back inconsistent information at times. This is gettingmuch better with the years, yet it still does occur (like 2.11.35.8 junking the audit configuration on two concurrent logins).I think every client running Murex in a certain scale does either have this [...]
Re: Static Data Issues
2010/3/10 Björn Küstner > “Transactions in Mx.3/Mx G2000 work reliably.”> I cannot confirm that. We have had to roll-back transactions and found that> afterwards the data were in an inconsistent state. In other words: The app> was _not_ putting everything that belongs together into one transaction in> the DB.> Ok, maybe my statement was to [...]
Re: Static Data Issues
Hi, “Transactions in Mx.3/Mx G2000 work reliably.” I cannot confirm that. We have had to roll-back transactions and found that afterwards the data were in an inconsistent state. In other words: The app was _not_ putting everything that belongs together into one transaction in the DB. That said, I agree that the vast majority of [...]
Re: Static Data Issues
Hi Markus Tobias asked for SQL type queries, and a db comparison could work. He could for example reverse engineer Murex processes by running a DBX Info –> Statistic while executing a static data change in order to figure out which tables are updated.Or he could ask Murex, who might provide him with the tables [...]
