vega v @ r , credit reserve model update attached is a draft of the vega var implement documentation . we will discuss
this issue tomorrow .
index var and the vega var status :
because any modification of the var model has to be coded into the new
version by it , the index var model and the vega var model are on the waiting
list to get into it group ' s door . currently , they are struggling with the
credit model . accord to jonathan le , they will implement the " prudency "
model after the " credit " and before anything else . so , it ' s uncertain when
they can begin these two projects .
credit reserve model status :
new version developed by it is still in the debugging stage . two major
difference exist between the new and old versions :
1 ) old version uses delta - gammar methodology , new version uses full
evaluation . it group is not comfortable with their implementation of the
" spread option " and " swaption " evaluation . i am working with them on it .
2 ) insurance projects are new to the new version . it also wants our help too .
only after the it finishes the debugging process , could we start testing the
new version with the current one .
thanks .
vincent
vega v @ r , credit reserve model update
attached is a draft of the vega var implement documentation . we will discuss
this issue tomorrow .
index var and the vega var status :
because any modification of the var model has to be coded into the new
version by it , the index var model and the vega var model are on the waiting
list to get into it group ' s door . currently , they are struggling with the
credit model . accord to jonathan le , they will implement the " prudency "
model after the " credit " and before anything else . so , it ' s uncertain when
they can begin these two projects .
credit reserve model status :
new version developed by it is still in the debugging stage . two major
difference exist between the new and old versions :
1 ) old version uses delta - gammar methodology , new version uses full
evaluation . it group is not comfortable with their implementation of the
" spread option " and " swaption " evaluation . i am working with them on it .
2 ) insurance projects are new to the new version . it also wants our help too .
only after the it finishes the debugging process , could we start testing the
new version with the current one .
thanks .
vincent