Recent content by yetanotherquant

Ask Siraj :) (I am not [completely] agree with his affirmation but find his rap very amusing :))

One can still name Matlab (or whatever) in comment :)

Because Ok, short after I created this topic , I really thought I had to include Matlab but I if you modify a poll, it is only possible to append (not arbitrarily insert) an option. This would make the checkbox list looking ugly :)

Participants are highly encouraged not just to select among possible responses but also write some comments :)

And the 2nd part: Pitfalls of Nelson-Siegel Yield Curve Modeling – Part II - what ML and AI can[not] do

This not, but of course I could have previously mentioned that the NS has these problems.

The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses it. However, what may do for ECB will not necessarily work in all cases...

What is the most fair reward system for a wealth manager? In theory it is hardly possible to answer this question without oversimplifications. But in [best] practice? Feedback is very welcome! The Fairest Reward System for a Wealth Manager — letYourMoneyGrow.com - Serving Retail Investors

The Open Source Risk Engine is an opensource software project for risk analytics and xVA. It is written (mostly) in C++ and based on QuantLib. In this post we explain how the ORE can be built from source in Visual Studio 2017. Building Open Source Risk Engine (Quaternion ORE) in VS2017 without Git

Yes, but it is also non-trivial to setup a "C++Python" project. Anyway, I would prefer (if possible) to stay with PyCharm for Python-side. To my knowledge there is none (I mean no open-source project, which is more or less complete or is being actively developed). SWIG is indeed old but it...

QuantLib Python - debugging C++ side with Visual Studio and PyCharm - a dirty way

I always considered FX for a tough market: I mean in Stocks and Bonds one has [besides TA] company fundamentals, but FX... well, some macroeconomics, which is hard to integrate into a trading system. That's why it is interesting to see that some traders consitently do make money in Forex: 12...

No, I dropped writing it since (as you can see in this poll), there was little (pay-willing) interest. As to Luigi's book, it is good but it is not for novices. I always told to Luigi that the main problem is that he assumes that every user of QuantLib is as brilliant as he, himself :) @Quasar...

Best in which sense? Yes. Although it is inconsistent: HW is arbitrage free, NS is not. But who cares? :) Or who cared about theoretical inconsistencies by a usage of Black'76 for pricing options on bonds (until the LIBOR model appeared)? Moreover, in pricing and trading it is quite essential...

No. Moreover, Damir Filipovic did a fine research, in which he has shown a kind of inconsistency of NS with HJM Framework. Because in Europe Nelson-Siegel-Svensson is de-factor a standard model, in particular Deutsche Bundesbank, German Finance Agency (and likely the ECB) use it. The reason...