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Price sensitivities are important in any model for pricing derivatives because the sensitivities determine the trading strategy for hedging the derivative. The sensitivities are more commonly known as Greeks and in the LIBOR market model can be computed using Monte Carlo methods or likelihood ratio methods (LRMs). The difference between the two methods is in the dependence of the parameter under consideration (i.e., the initial value of a price or interest rate), for sensitivity estimation. In Monte Carlo methods, the dependence of the parameter is made in the underlying stochastic process via sample paths, which lead to estimators that differentiate the paths of the process, known as pathwise derivatives.29 The LRM puts the dependence in the probability measure and leads to estimators based on differentiating probability densities. The following discussion is based on the work of Glasserman and Zhao (1999). Assume a given tenor structure that is a nite set of dates 0 = T0 < T1 < . . . < TN < TN+1, representing maturities spaced three months for six months apart. We also assume that the day-count fractions i = Ti+1 Ti, i = 0, . . . , N, are all equal to a xed (i.e., = 0.25 years). However, in practice, day-count conventions lead to intervals of different sizes. We assume the index of the next tenor date at time t satis-
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Similarly, the arbitrage-free price of a quanto oorlet that pays off at time T2, 1,2Nmax(K Ff (t; T1, T2), 0) in domestic currency is QCpl(t, T1, T2, N, K) = 1,2NP(t, T2)(K ( d2) Ff (t; T1, T2)e (T1 t) ( d1)) It is easy to price quanto caps and oors. Let = {t0, t1, . . . , tn} denote the set of reset and payment times where t0 is the rst reset time and t1 is the rst payment time. Let i denote the year fraction for the time interval (ti 1, ti], i = 0, . . . , n. Since the price of a cap ( oor) is the sum of prices of the underlying caplets ( oorlets), the price at time t of a cap with cap rate (strike) K, nominal value N, and set of times is then given by f t i ) F (t ;
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g max = pmax po / 4
10:18
which coincides with the Hull-White (1994) extended Vasicek model (10.76).17 Moreover, from (11.66), we can obtain (11.64) by setting
NOTES 1. For more information about the profound work carried out at CERN (the European Organization for Nuclear Research) during the 1980s and early 1990s, which eventually resulted in a webbased collaborative suite of applications, see www.kronodoc.fi. 2. Carol Brown, The Succesful CIO: Integrating Organizational and Individual Perspectives (Bloomington, IN: Graduate School of Business, Indiana University, 1993. 3. Leon Erlanger, Distributed Computing An Introduction, ExtremeTech, http://www.findarticles.com/p/articles/mi_zdext/ is_200204/ai_ziff25002, April 2002. 4. Henry Bal, Jennifer Steiner, and Andrew Tannenbaum, ACM Computing Surveys 21 (September 1989). 5. Ibid. 6. See note 4. 7. The Economics of Agility, Executive White Paper, Credit Suisse First Boston, December 2003. 8. Vision, Executive Brief White Paper, Credit Suisse First Boston, June 2003.
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where, for example, C( + ) is the value computed with , a small fraction of (i.e., = 0.001 ). Thus, we can compute vega, rho, and theta as: v 1.664 1.661 = 10 2 (0.00015) 1.662 1.663 = 9.09 2 (0.000055) 1.663 1.662 = 0.667 2 (0.00075)
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It s important to understand that the TODAY function is updated whenever the worksheet is calculated. For example, if you enter either of the preceding formulas into a worksheet, they will display the current date. But when you open the workbook tomorrow, they will display the current date (not the date when you entered the formula).
On the transmit side, the baseband signal generation unit receives the framed data signal and converts it into two baseband analogue signals. It includes therefore the functions listed as follows: convolutional encoding; symbols mapping (especially for 8 PSK mode); variable oversampling digital filter with its associated sampling clock generation; digital to analogue conversion of samples; analogue smoothing filters.
Step 7: Calculate the ice crystal dependent term: Cice = (XPD ) rain (0.3 + 0.1 log p ) 2 dB Step 8: Calculate the XPD not exceeded for p% of the time, including the effects of ice:
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6.3 The communication payload TABLE 6.4 (B)
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Sometimes an application or a user or a programmer, too has to assign a unique name to a file. In this section, we discuss two methods of assigning unique names:
Approximately line 105:
the order in which the values were collected. In Fig. 4.20, the residual values have been plotted against the order the observations were taken, and a clear trend is discernable in both graphs, indicating that the assumption of independence is violated. This error may have been introduced as a result of the measurements being taken over time.
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