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Interfacing C# and VBA with Excel-DNA (no intellisense support)
Some readers might be aware, that there used to be a posting under this name before. However, after getting some comments and advices directly from Govert Van Drimmelen (inventor, developer and author...
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Interfacing C# and VBA with Excel-DNA (with intellisense support)
In my previous posting, I was presenting how to create C# COM Server class and use that class in VBA without intellisense support. If this topic is completely new for you, I suggest that you check out...
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Creating C# NAG random numbers to Excel
There has already been a couple of blog postings on generating and using random numbers in VBA. However, VBA is not efficient tool for this task and the grass might be a bit greener on the other side...
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Configurable C# Monte Carlo option pricer in Excel
This time, I wanted to present one possible design for Monte Carlo (MC) option pricer, what I have been chewing for some time. The great wisdom what I have learned so far is the following: MC...
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Configurable C# Monte Carlo zero-coupon bond pricer in Excel
Monte Carlo design, what was presented in my previous blog article could actually be used, not only for pricing options, but for all applications where one would like to simulate stochastic process....
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Bootstrapping default probabilities from CDS prices in VBA
Default probabilities are needed when dealing with credit market models. This time, I wanted to present one simple algorithm for bootstrapping default probabilities from CDS market prices. Final...
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Bootstrapping OIS-adjusted Libor curve in VBA
OIS discounting has been hot topic for the last few years, since most of the collateralized OTC swaps are valued by this methodology. In this blog post, I will present simple example algorithm for...
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Calibration of short rate models in Excel with C#, Solver Foundation and...
This time, I wanted to present one possible solution for calibrating one-factor short interest rate model to market data. As we already know, generalized form for stochastic differential equation (SDE)...
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Write/read dynamic matrix between Excel and C# with Excel-DNA
This time I wanted to share some quick technical information about how to write or read dynamic matrix between Excel and C# program with Excel-DNA. The scheme what I am presenting here, applies to the...
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Multi-Threaded Copula producer in C#
I wanted to publish one more article for the sake of celebrating the end of the year 2014. This time I am opening one possible solution for producing multi-threaded correlated random numbers with...
View ArticleBloomberg API Wrapper for C#
As a starter for the year 2015, I wanted to share the current version of my C# wrapper, which can be used to execute reference and historical data requests for Bloomberg BBCOMM server.In the past, I...
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NAG Copula wrapper for C#
I've got you under my skin, Frank Sinatra is singing in computer radio. Somehow, it reminds me about my obsession with Copula, what I have been chewing in a form or another, again and again for some...
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C# Basket Default Swap Pricer
More Copula stuff coming again. This time, I wanted to open my implementation for Basket Default Swap (BDS) pricer. It is assumed, that the reader is familiar with this exotic credit product.PROGRAM...
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Builder Pattern for C# Basket Default Swap Pricer
Keep your options open is a phrase, we often hear when making decisions concerning our lives. Needless to say, this great advice is directly applicable to any programming scheme. Now, I have to confess...
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Pricing Bloomberg Swap Manager Transactions with C#
From time to time, I need to have reliable second opinion or benchmark valuation for a given book of swap transactions. Bloomberg Swap Manager (SWPM) is just a great tool for pricing many different...
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Bootstrapping Libor Discount Factor and Forward Rate Curves using C# and...
Defining a set of correct discount factors and forward rates is the cornerstone of valuing any Libor-based products. As we know, calculation of present value for a Libor cash flow seems to be almost...
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Simulating Discount Factor and Forward Rate Curves using Monte Carlo in C#
The process of creating discount factor and forward rate curves with traditional bootstrapping algorithm was presented in the last post. In this post we are going to do the same thing, but following a...
View ArticleImplementing statistics gatherer design by using Boost library in C++
As a result of Monte Carlo simulation process, we get a lot of simulated values. After this, we usually want to calculate a set of desired statistics from those simulated values. A great statistics...
View ArticleQuantLib : Builder Class for PiecewiseYieldCurve
Selection of high-quality benchmark securities and bootstrapping of valuation curve is the bread and butter in valuing financial transactions. In one of my blog, I opened up one possible framework for...
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QuantLib : Simulating HW1F paths using PathGenerator
Monte Carlo is bread and butter for so many purposes. Calculating payoffs for complex path-dependent products or simulating future exposures for calculating CVA are two excellent examples. The big...
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