Friday, September 28, 2007

Time To Blend In

The nice and curvy user interface produced by WPF has always been intriguingly attractive. But the one thing that has stopped me from getting into that is the lack of a good XAML editor (The one comes with VS2005 SUCKS!).

Now that the Blend is almost here, it's time to dig into WPF from both a UI designer and developer perspective. September Preview of Blend 2 can be downloaded here.

A great tutorial of Blend can be found here (Fabrikam Catalog).

Thursday, September 27, 2007

Microsoft .NET StockTrader Download

I blogged about Microsoft .NET StockTrader a while back. You can now download the source code here.

The sample application does include a WPF based client GUI. It looks very nice and neat:

MSDN Magazine POI

Some point of interests in the Oct MSDN Magazine:

  • Parallel LINQ: A new source interface (Similar to IEnumerable and IQueryable) that allows different parts of the querys to execute parallelly.
  • WPF Threads: These are too many articles on how to create/use fancy controls in WPF but too few for how WPF really works. This is a nice introducation on the threading model of WPF.

Monday, September 24, 2007

What Happened To The Quants In August 2007?

The Academic World is quick to follow this round. It's only September and people have come up with research papers on the Quant Fund drama last month.

A word of caution though, the paper is some 60 pages long and nice looking formulas start to show up on page 7. For us non-math-holic kind, this summarizes it pretty well:

During the week of August 6, 2007, a number of high-profile and highly successful quantitative long/short equity hedge funds experienced unprecedented losses. Based on empirical results from TASS hedge-fund data as well as the simulated performance of a specific long/short equity strategy, we hypothesize that the losses were initiated by the rapid unwinding of one or more sizable quantitative equity market-neutral portfolios. Given the speed and price impact with which this occurred, it was likely the result of a sudden liquidation by a multi-strategy fund or proprietary-trading desk, possibly due to margin calls or a risk reduction. These initial losses then put pressure on a broader set of long/short and long-only equity portfolios, causing further losses on August 9th by triggering stop-loss and de-leveraging policies...

Sounds familiar?

Goldman and Bear

From an FT Article:

World comes to an end. Goldman Sachs net income surges.

Well, almost. It verges on the unseemly to achieve a 20 per cent increase in fixed-income trading from the previous quarter - after stripping out a one-off gain on a disposal. That means Goldman was able to increase fixed-income revenues even after taking its lumps on leveraged loan write-downs - a painful $1.5bn, after its fee cushion.

The really impressive feat was to more than offset big write-downs on mortgage assets with better hedging than anyone else. Hapless Bear Stearns, until recently believed to be the canniest operator in mortgages on Wall Street, still took a $450m hit on mortgage securities and the like, even after significant hedging gains. There were a couple of other nuggets that underscore how good Goldman's risk management appears to be. For instance, leveraged loan debt that it sold in the market recently fetched prices in line with or slightly above the negative marks Goldman had pencilled in. That may be so for others as well, but Goldman has said it publicly.

Another, far smaller point of comparison between Goldman and Bear was inevitable yesterday: hedge funds. Goldman has taken a reputational black eye with the underperformance of its quantitative funds. But by investing in one of them, GEO, and inviting existing investors to do so as well, it has even managed to make some money out of the August rout for quants, as those strategies recovered. That helps soften the blow as incentive fees get hit. Bear suffered twice. First, the implosion of two mortgage-related funds led to a write-off. Second, prime brokerage clients, facing stress of their own, moved some of their money away.

Bear should try to avoid reporting on the same day as Goldman in future.

Friday, September 14, 2007

Worst Credit Card in the World

Behold, the Continental Finance MasterCard (Read more about it here, and apply for it here --- if there is a severe leakage in your brain):

  • Account setup fee: $99
  • Program participation fee: $89
  • Annual fee: $49
  • Account maintenance fee: $120 (charged @ $10/month)
  • Purchase APR: 19.92%
  • Authorized user fee: $30 (great! seems like $53 credit is a bit too much for a single person to handle)
  • Credit limit increase fee: $25 (and you don't even have to ask for it because they automatically increases it by $100 every time!)
  • Internet payment fee: $4 for each authorized internet payment.

After all the predatory fees are factored in, your initial credit limit is only $53:

Your initial Credit Limit will be $300.00 and you agree to pay the following fees, which will be billed to your Account and will appear on your first monthly Billing Statement: a one-time Account Processing Fee of $99.00, a one-time Program Participation Fee of $89.00, a monthly Account Maintenance Fee of $10.00 and an Annual Fee of $49.00. Your available credit after these charges will be $53.00 at Card issuance.

Here is a youtube video critisizing the same card:

Wednesday, September 12, 2007

The Ultimate Steal

Microsoft is selling its Office Ultimate 2007 for $60 to college students.

You will need an email address ending with "edu" to get the product key. Also the promotion is supposed to start today but obviously the website isn't functioning yet.

Thursday, September 6, 2007

Loan-only Credit Default Swaps

An LCDS works very similar to a CDS, with two major differences:

  • The reference obligation on CDS is normally senior unsecured bond. For LCDS, it's secured loan. This means the recovery rate in the event of default is much higher for LCDS than CDS.
  • In the event that the reference obligation is paid down(called), CDS will continue to exist on a different reference obligation but LCDS will cease to exist. This means in addition to the credit risk, LCDS is also exposed to prepayment risk. Hence the pricing model for LCDS should incorporate a interest rate process and a prepament model.

An introducation on LCDS.

Law and Order: Arthur Branch for President?

I watch "Law and Order" quite a bit. And that's why I was surprised when seeing Mr. Branch's face turning up on TV, running for U.S. president.

Of course, I didn't know that Mr. Thomson was at one time a real ADA, among many other things.

It gets more interesting: base on this report, NBC now can't air any "Law and Order" featuring Mr. Branch because of the equal time consideration.

Tuesday, September 4, 2007

Making Sense of the Sensor Bar

Every Wii owner would likely agree that the little black sensorbar that comes with the console is every bit as innovative and high-tech as a VR helmet: given the way Wii games are played, that sensorbar must collect various motion data from the Wiimote and transmit that back to the console. Very complicated stuff...or so I thought.

On my quest to de-clutter the wires (the wire connecting the sensorbar is the only visible one around the TV now), I came to know a really cost efficient replacement for that mighty sensorbar: two light candles... No, I'm not joking. You can read about it here. Turns out the sensorbar is no more than two light sources that the Wiimote can use to figure out its coordinate and orientation... High-tech? No, but Brilliant? Yes!

BTW, in case you don't want to leave burn marks on your TV, the wireless sensorbar is probably a better alternative.