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7 SQL performance technics

Submitted by admin on Tue, 10/04/2011 - 20:14

 1. Don't use UPDATE instead of CASE
This issue is very common, and though it's not hard to spot, many developers often overlook it because using UPDATE has a natural flow that seems logical.

 

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PV & VFC

Submitted by admin on Tue, 03/22/2011 - 08:45
VFC (Value of Future Cash flows) is an estimate of the value of a deal at this moment in time, based on its known or expected future returns and obligations, and given the prevailing market circumstances.
PV (Present Value) means the same thing as VFC (except for positions in exchange-traded futures, where the concept of “value” is in any case somewhat tricky).
VFC is the term preferred
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Natural logarithm definitions

Submitted by admin on Wed, 01/05/2011 - 11:08

Natural logarithm

 

e is the natural logarithm,

e = 2.718281828.

e^{\ln(x)} = x \qquad \mbox{if }x > 0\,\!

 

\ln(e^x) = x.\,\!

 

\ln(xy) = \ln(x) + \ln(y) \!\,

 

\ln(1) = 0\,

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The Black and Scholes Model

Submitted by admin on Wed, 01/05/2011 - 10:25

The Black and Scholes Model:

The Black and Scholes Option Pricing Model didn't appear overnight, in fact, Fisher Black started out working to create a valuation model for stock warrants. This work involved calculating a derivative to measure how the discount rate of a warrant varies with time and stock price. The result of this calculation held a striking resemblance to a well-known heat transfer equation. Soon after this discovery, Myron Scholes joined Black and the result of their work is a startlingly accurate option pricing model. Black and Scholes can't take all credit for their work, in fact their model is actually an improved version of a previous model developed by A. James Boness in his Ph.D. dissertation at the University of Chicago.

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Calculating delta - interest rate derivatives

Submitted by admin on Mon, 01/03/2011 - 23:26

 

EXAMPLE #1:  Plain Vanilla Swap

The first example uses a $100 million notional vanilla swap paying USD Fixed and receiving USD LIBOR.

How to hedge this trade – 5 STEPS TO HEDGING:

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Black–Scholes formula

Submitted by admin on Mon, 01/03/2011 - 23:22

 The Black Scholes formula calculates the price of European »

Delta risk on interest rate derivatives

Submitted by admin on Mon, 01/03/2011 - 23:16

Delta risk on interest rate derivatives

The concept of delta risk on interest rate derivatives is a generalization of the traditional one of a single asset option. However, contrary to single asset derivatives, fixed income derivatives are derivatives depending on a variety of instruments, used in the determination of the interest rate curve, rather than a single asset. The delta risk measures precisely the risk associated with the shift of the interest rate curve. Because there are many ways of shifting the interest rate curve, many different deltas can be computed. The most common ones are the following:

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list all files that have been modified today

Submitted by admin on Tue, 10/19/2010 - 07:36

find ./foundry_*SCRIPTED09* -type f -mtime -1 -print

 

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Unix move files older than 7 days

Submitted by admin on Tue, 10/19/2010 - 07:34

find . -type f -name "*.caf" -mtime +7 -exec mv {} backup/ \;

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5 Greeks and Corresponding Sensitivities

Submitted by GeorgeS on Tue, 03/23/2010 - 07:51

 

Greek              Measures option price sensitivity to changes in:

Delta               Underlier Price

Gamma            Underlier Price

Vega                Underlier Volatility

Theta               Time to Expiration

Rho                   Interest Rate

 

 

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