Pointlessness

MBS Basics

2008-08-20T15:56:00.001-05:00

MBS Basics.

Structured Credit, Sub-prime, Presentations and Articles

2008-08-19T15:50:00.002-05:00

Good overall introduction of CDO market:

The CDO market: Functioning and implications in terms of financial stability

Fancy presentations by WSJ on Mortgate CDOs:

The Making of a Mortgage CDO multimedia graphic from The Wall Street Journal

Portfolio.com explains what CDO's are in an easy-to-understand multimedia graphic

Redirect Standard Out, The old (C) style

2008-08-06T13:34:00.003-05:00

We have a third party library that outputs some debug/trace information when executes, this is of course not very nice when you have a command line application that calls the library.

The solution we used is to have a wrapper around the library, which redirects stdout before the call and restores it after.

An initial attempt to do this with Windows APIs (GetStdHandle/SetStdHandle) was unsuccessful probably because C runtime keeps its own handles. So, we had to go down and dirty to the low level C APIs (and this works fine):


    //keep a handle and close stdout
    int handle = _dup(1);
    _close(1);

    // call the lib function here

    //restore stdout, close the copy
    _dup2(handle, 1);
    _close(handle);

C++ Development with Eclipse

2008-08-02T19:01:00.003-05:00

Eclipse has been the only Java IDE I can comfortably use. And while I'm writing C++ code on Windows, Visual Studio is naturally my first choice. But what should I do if I need to develop Linux C++ code (okay, I know vim and xemaces are out there...)?

Luckily, there is Eclipse CDT (C/C++ Development Tools). It seems basically build (with make) and code completion works nice and neatly. What I'd like to test next is to see whether the relatively "tricky" things, such as code completion with templates and smart pointers, might work with this...

Markit and DTCC form derivatives trade processing JV

2008-07-21T10:23:00.001-05:00

Markit and DTCC form derivatives trade processing JV.

The partners say the new company will provide a single gateway for confirming OTC derivative transactions globally and the initiative will accelerate the adoption of electronic processing services across the rapidly growing $454 trillion OTC derivative market where around 50% of transactions are still confirmed on paper.

Randomness

2008-07-11T09:30:00.002-05:00

Something as simple as generating random strings can actually be complex. What if you want the strings to be truely unique? What if you have constraints on what chars to use and the length of the output?

The article here has a few methods listed, along with their respective pros and cons.

PInvoke Interop Assistant

2008-07-02T13:37:00.003-05:00

I have been using PInvoke.Net most of the time for P/Invoke translation of Windows APIs. Just found out that Microsoft has officially released a tool that does the same called PInvoke Interop Assistant.

The tool relys on a Windows API signature database file, so it won't work with any non-API third party DLLs. Given the way C/C++ compilers name mangling works, a generic signature translator is probably mission impossible anyway.

Since this doesn't really provide more functionality than P/Invoke, I guess I might just stick with PInvoke Visual Studio Add-in.

WSJ: Study Casts Doubt on Key Rate

2008-05-29T07:53:00.003-05:00

Banks May Have Reported Flawed Interest Data for Libor.

For Three Minutes, China stopped

2008-05-23T15:00:00.004-05:00

On Monday, May 19th 14:28pm, exactly one week after Sichuan Earthquake, a quarter of world's population stopped to mourn for the wictims.

What can record this better than the number of searches processed by Google.cn search engine?

A Moment of Silence

2008-05-19T09:36:00.002-05:00

Three days of national mourning for more than 30,000 victims of 5.12 Sichuan Earthquake.

Municipal Bond Credit Derivative Index

2008-05-11T21:50:00.002-05:00

MarkIt MCDX (Municipal Bond Credit Derivative) Index has started trading on last Tuesday, May 6th.

MCDX, like its CDX and ABX counter parts, is an index of 50 municipal bond credit default swaps. The blog post here has a good deal of information on MCDX...

Java v.s. C#: enum

2008-05-02T09:35:00.003-05:00

Here is one thing that's done better in Java than C#: enum

The enum types in Java 1.5 is far more flexible than its C# counterpart. Instead of defining it as a "value type", or primitive that has limited room for extensibility, it's defined as a normal class with a list of static final memebers. You can choose to define your own constructor, memeber fields and methods.

Both C# and Java provide many basic utility functions for enums, such as converting back and forth between enum type and strings, etc.

Here is an excellent article on the implementation of enum in Java.

21: Monty Hall problem

2008-04-28T12:56:00.003-05:00

An interesting problem raised in movie 21:

Suppose you're on a game show, and you're given the choice of three doors: Behind one door is a car; behind the others, goats. You pick a door, say No. 1, and the host, who knows what's behind the doors, opens another door, say No. 3, which has a goat. He then says to you, "Do you want to pick door No. 2?" Is it to your advantage to switch your choice?

The answer is somewhat counter intuitive: switch gives a 67% chance of winning while stay with original only has 33%. The way to best understand this is to give up your intuition, use the more fundentmental "decision tree" to evaluate the probabilities: (picture linked from wikipedia):

Another interesting probability topic of the movie is card counting in BlackJack...

Free Tibet, wait, where is Tibet?

2008-04-10T21:33:00.003-05:00

Okay, have to give it up to this guy... This is, well, simply funny: It doesn't matter where Tibet is to me...What matters is that the people understand that California is the most powerful state of the world.

Joan Chen: Let the Games Go On

2008-04-09T15:02:00.001-05:00

From Washingtonpost:

The Olympic torch is in California and is to be carried through San Francisco today. In a resolution criticizing China, Chris Daly, a member of the San Francisco Board of Supervisors, said that demonstrating against the torch relay would "provide the people of San Francisco with a lifetime opportunity to help 1.3 billion Chinese people gain more freedom and rights." To his credit, Mayor Gavin Newsom did not sign Daly's resolution.
This statement could not be further from reality. For one thing, the Chinese are a proud people. They want freedom and greater rights, but they know they must fight for them from within. They know that no one can grant them freedom and rights from afar. The stigma of Western imperialism and the Opium Wars also remains a strong reminder of the past, and Chinese people do not want their domestic policies to be dictated by outside powers. They also do not want the United States to boycott the opening ceremonies of the Games. The U.S. boycott of the 1980 Games in Moscow and the Soviet boycott of the 1984 Olympics in Los Angeles accomplished nothing. A U.S. boycott of the opening ceremonies in Beijing would be counterproductive for relations between the two countries.
For decades, anti-China human rights groups in Washington have spent millions of dollars denouncing China. To many Chinese, it seems that this lobby is the only voice that's acceptable or newsworthy in the U.S. media and to the U.S. government. But times are changing. We need to be open-minded and farsighted. We need to make more friends than enemies. Remember what a little ping-pong game did for Sino-U.S. relations in the 1970s? Let's celebrate the Olympics for what the Games are meant to be -- a bridge for friendship, not a playground for politics.
The writer is an actress and director. She became a U.S. citizen in 1989.

San Francisco Chronicle: Why I will carry the Olympic torch

2008-04-09T13:07:00.002-05:00

Many will scoff at this Olympic ideal and I understand why. As a longtime advocate of social justice, I'm familiar with the long list of failings attributed to the People's Republic of China from the days of its founding in 1949, including the simmering tensions in Tibet - especially because I just spent five months in Shanghai as a Fulbright scholar conducting research on the mass exodus that took place at the time of the Communist revolution.
As an American of Chinese descent, I grew up hearing constant critiques of the terrible Communist dictatorship. And because I am an open lesbian, my stay in China felt tenuous because, unlike America, which has anti-gay laws, China doesn't even recognize that we exist. Any of these might be reason enough to run as far from the Olympics as my middle-aged body can carry me.
But my time in China gave me another perspective. I observed firsthand the wide-ranging diversity and openness of viewpoints and cultural expression that now exists among China's 1.4 billion people. I met with hundreds of Chinese for my research and was struck by how outspoken and opinionated they are and, yes, even critical of their government.
Many of my conversations were with elderly survivors of civil war and revolution who have endured immense human suffering, from deprivation and humiliation to torture and death. Almost every one of them had family members or friends who had committed suicide before or during the Cultural Revolution that ended three decades ago. Yet, nearly all told me that they believe China is changing for the better and they are hopeful that Chinese society will continue to become more open.

Read the full article here.

Tibet Diary

2008-03-30T18:20:00.003-05:00

Meet Katy and Moge, two Californians about to make their first journey to Tibet.
Follow in their footsteps – from the moment they figure out their backpacks are a little too small to their final farewells from the beautiful city of Lhasa. Armed with cameras and a sense of humor, Katy and Moge brave bumpy roads and oxygen-deprivation to visit several of Tibet’s most breathtaking monasteries, temples, and palaces. They encounter a colorful cast of characters, from playful Buddhist monks and beer-drinking folk dancers to the friendly hosts of an afternoon tea.

For these two travelers, each day sheds new light on Tibetan society and culture in a way that challenges their assumptions, and may raise more questions than they can answer in the pages of… Tibet Diary.

ONE CHINA: Make our voice heard

2008-03-30T17:08:00.003-05:00

Make heard.

ONE CHINA: Toronto Chinese peaceful assembly
Protest in Silence against Biased German Media

The Wall Street Journal's Web site is already (secretly) free

2008-03-25T11:57:00.001-05:00

The Wall Street Journal's Web site is already (secretly) free.

The Week That Shook Wall Street: Inside the Demise of Bear Stearns

2008-03-18T10:48:00.003-05:00

The past six days have shaken American capitalism.

WSJ's amazingly detailed count on what had happened last week that led to the collapse of Bear Stearns.

Deminishing $17 billion capital in one day is definitely giving new definitions to the term "bank run".

A bad weekend and a volatile week ahead

2008-03-17T09:21:00.004-05:00

JPMorgan to Buy Bear Stearns for $2 a Share
Fed cut rate by another 25bps and Fed fund future now predicts a 100bp cut by Tuesday.
And in the coming week:

Fed meeting tomorrow.
Triple Witch moves to Thursday because of "Good Friday"
IMM roll date on Wednesday
New Credit Indices coming out on Thursday as well

Very interesting time to watch ...

Tibet WAS,IS,and ALWAYS WILL BE a part of China

2008-03-16T19:56:00.002-05:00

Bear Stearns Gets Emergency Funds From JPMorgan, Fed

2008-03-14T10:57:00.004-05:00

BS is having a huge liquidity problem and its stock has gone down some 70% this year.
This is the second investment by Chinese Sovereign fund not turning out too well...

And the fear is driving clients flee from BS's prime brokerage business...

Architect

2008-03-05T21:33:00.002-05:00

Articles on Credit Derivatives

2008-03-02T19:10:00.002-05:00

A few interesting readings on Credit Derivatives:

FT.COM article on correlation and CDO tranche pricing.
NYT article mentions some of the interesting aspects of CDS settlement, including the novation notification and cash v.s. physical settlements.
Barclays Capital research on CDS counterparty risks.

Nothing to desire

2008-02-23T02:41:00.001-05:00

From a subway poster:

If there is something to desire, there will be something to regret.
If there is something to regret, there will be something to recall.
If there is something to recall, there was nothing to regret.
If there was nothing to regret, there was nothing to desire.

Credit Suisse Writedowns

2008-02-19T22:54:00.002-05:00

Write downs are not really news any more, but Credit Suisse's reasoning behind it is still worth noting:

Switzerland's second-largest bank took $2.85 billion of writedowns on asset-backed securities after an internal review found ``mismarkings'' by a group of traders and debt markets deteriorated. The Zurich-based bank said in a statement today that it's assessing whether 2007 earnings were also affected.

Now if a financial firm is still relying on traders to mark the price of securities, it's ought to be in big trouble... Where are the Risk Managers?

Toshiba threw in the towel

2008-02-19T15:44:00.001-05:00

HD-DVD is officially history now. And what exactly does this mean for cosumers?

Template, Forward Class Declaration and Typedef

2008-02-16T21:58:00.001-05:00

Now that I'm back to the C++ wonder land, it's time to re-familiarize myself with the basic.

In C++, ideally, you should "forward declare" a class and only include its full declaration when necessary, since this would minimize the dependency relationship between files and cut down build time:

class A;
...
void foo(const A& a);

But things can quickly get problematic when there is typedef involved, for example in the previous case, if A is later typedefed as:

typedef B A;

Compiler will complaint that A is defined in two places with different type. To do this cleanly, you need:

class B; //forward declaration of B first
typedef B A; //now typedef A
...
void foo(const A& a);

But what if B is a template, something like:

typedef vector<B> A; //now typedef A

Unfortunately, I have yet find a way to make this work...

Rogue Trader at Societe Generale

2008-01-26T14:01:00.000-05:00

Jerome Kerviel, the French trade from Societe Generale, is now on top of the rogue traders list. We see many other familiar faces on that list: Mr. Copper, The Orange County Treasurer and Mr Kerviel's predecessor, Nick Leeson.

Another interesting point is the potential "butterfly effect" of Jerome's action: The unwinding of his lossing trades became a major force behind the sharp market decline around the globe on Monday, which then pushed the Fed to cut rates by another 75bp and eventually led to one of the most volatile week in the history of wall street...

Players in the back office of wall street

2008-01-24T22:07:00.000-05:00

Some players I have learnt recently in the course of my work:

DTCC Deriv/SERV: Providing matching and settlement services for OTC derivatives, notably, credit default swaps. An interesting point is that DTCC provids the Master Confirmation Agreements on these CDS trades so that its participants can delivery trade confirmations in the "short form", and avoid signing bilateral confirmation agreements with each dealers.
CLS Bank: Performs settlement and netting for FX transations on a global basis, which greatly reduces counter party risks compare to the more traditional way of settling FX trades (i.e. settle each leg of the transation separately).
Prime Broker and Give-up Trades: When the client uses prime broker for certain FX trades, the executing broker must "give-up" trade details on these transactions to the prime broker for further process (settlement, legal confirmation, etc.)

Model accuracy in different markets

2008-01-20T13:57:00.000-05:00

Model accuracy in different markets from Paul's latest blog entry.

The dynamic relationship between just two equities can be beautifully complex, and certainly never to be captured by a single number, correlation.

There goes your reason why the CDO business is in deep trouble now...

S.W.I.F.T

2008-01-15T10:50:00.000-05:00

It must be quite a long time since my last attempt to read some scrambled text. Yet here I am, trying to make sense of a SWIFT message, one of the standard wire formats for Wall Street's backoffices:

{1: F01BANKBEBB2222123456} {2: I100BANKDEFFXXXXU3003}...

Trust me, you don't want to read the official SWIFT Handbook unless you are having sleeping problems. Luckily, I have found a one-page introduction to SWIFT format in an odd place --- IBM WebSphere documentation.

Bridge to Terabithia

2008-01-06T16:47:00.000-05:00

Just close your eyes and keep your mind wide open.

---- Leslie Burke, Bridge to Terabithia

Thanks to the very deceiving trailers, I thought Bridge to Terabithia was just another average fantasy movie at the time and skipped it. It couldn't have been further from the truth.

I was totally unprepared for the sad ending when I finally watched it yesterday. In every possible way, I liked Leslie and her mildly crazy personality (even for a fifth grader). And that's why the final tragedy was a bit shocking and, kind of depressing.

But then, I guess that's what a truly moving film should make people feel...

How municipal bond insurance works

2008-01-02T10:15:00.000-05:00

With Warren Buffett getting into Muni Bond Insurer business, it's time to get a lesson on how municipal bond insurance works.

How To Hook Up Your Home Theater

2007-12-25T16:14:00.000-05:00

Went to see the new National Treasure today. The movie wasn't very interesting but a short animation film before it was brilliantly funny. "How To Hook Up Your Home Theater" by Walt Disney Pictures.

You need to have the experience to setup a home theater to really feel the irony. I especially liked the surround-sourround speakers (and the subwoofer came with it, of course) and the super universal remote. You should go watch it, trust me, this animation itself is worth the movie ticket.

See a clip of it here.

Merrill May Get $5 Billion Investment From Temasek

2007-12-21T15:20:00.000-05:00

Bloomberg news here.
Merrill has become the latest to join the league, turning to Singapore for capital infusion.

Morgan Stanley Posts Loss, Sells Stake to China

2007-12-19T11:42:00.000-05:00

Morgan Stanley reported a steeper- than-forecast loss after $9.4 billion of writedowns on mortgage- related holdings and received a $5 billion cash infusion from state-controlled China Investment Corp.

A rather special phenomena in the current credit crisis is that the troubled institutions are turning to the reserve-rich developing governments for capital infusion. Notably China (Bear and now Morgan), Singapore (UBS) and Abu Dhabi (Citi). While the more traditional "white-knights" such as Warren Buffett have not shown up in the headlines much.

This could mark a sea-change in the emerging market investing paradigm: instead of being driven into the boom-bust cycle by FDI, now these EM economies are in the driver's seat investing their own capital elsewhere. Can they pass the road test? Guess we have to wait and see...

How Goldman Won Big On Mortgage Meltdown

2007-12-14T09:12:00.000-05:00

In today's journal.

Perl QuickStart

2007-12-12T16:35:00.000-05:00

Specifically, a Perl variable scope guide for beginners.

Photos from Trip to Hawaii

2007-12-05T17:25:00.000-05:00

Snorkeling Shots
Island of Oahu
Big Island
Island of Maui
Island of Kauai
Pride of Hawaii

The Office

2007-11-20T13:05:00.001-05:00

Noticed a link to Dunder Mifflin somewhere.

Wonder why I can't find gaydar in the Shop. Oh, I forgot, it's only sold in Sharper Image...

WPF Routed Commands and Focus Scope

2007-11-16T13:25:00.001-05:00

Some WPF concepts are not as simple as it might look like. Case in point: Routed Commands. I created the following XAML snippet, and expected the buttons to function out-of-box:

<StackPanel>
    <TextBox/>
    <Button Content="Copy" Command="ApplicationCommands.Copy"/>
    <Button Content="Cut" Command="ApplicationCommands.Cut"/>
    <Button Content="Paste" Command="ApplicationCommands.Paste"/>
 </StackPanel>

It didn't. After a bit of googling, I found the solution here. I.E. The TextBox and Buttons must be put under different containers and the container for the buttons must have FocusManager.IsFocusScope set to true:

<StackPanel>
    <TextBox/>
</StackPanel>
<StackPanel FocusManager.IsFocusScope="True">
    <Button Content="Copy" Command="ApplicationCommands.Copy"/>
    <Button Content="Cut" Command="ApplicationCommands.Cut"/>
    <Button Content="Paste" Command="ApplicationCommands.Paste"/>
</StackPanel>

The post, however, didn't fully explain the connection between Focus Scope and Routed Command. As another bizarre example, when you set the same property on the first StackPanel that contains the TextBox, the buttons fail again.

I couldn't find any official documentation on this behavior. But did manage to dig up this forum reply (the last post on the page) that explains it fairly well. Here is my understanding:

By default, Routed Command travels from the source element up the visual tree, from child to parent. In our first example, this involves the button clicked and StackPanel. The text box that contains the command binding never gets a chance to handle the command, hence the buttons were never effective.

Setting IsFocusScope creates a separated focus scope that tracks its own focus element. In this case, the routing of command takes a detour: it first bubbles from the button clicked to the StackPanel, which now acts as the root of the newly created focus scope, then it jumps to the focus element of the default visual tree and travel up to its root. Because the focus element in the default visual tree is the text box, it now gets a chance to handle the command.

When the stack panel containing the text box is defined as another focus scope, it effectively moves the text box out of the command routing path (because it's no longer in the default visual tree focus scope). Hence the buttons seize to function again.

Ducking the Subprime Hit

2007-11-14T11:18:00.001-05:00

In today's Journal:

Asked yesterday if the firm would take the sort of significant write-down facing many of its peers, Mr. Blankfein answered with a succinct "No." Given the continued, challenging conditions in the trading of complex mortgage products, "we continue to be net shorting these markets," he told the crowd.

High Grade ABX-HE indices

2007-11-09T16:03:00.001-05:00

According to the press release, Morgan Stanley used ABX indices as a reference point for its ABS asset valuations. Looking at the changes in high grade (AAA) ABX-HE index in the last couple days, it seems that there might be more to write down post Oct 31^st.

Makes me wonder how other "smarter" banks (read: GS and LEH) are holding up in this climate.

"Negative Convexity" at Morgan Stanley

2007-11-09T12:24:00.001-05:00

Morgan Stanley reported a $3.7b write down on subprime related exposures. Make no mistake though, Morgan Stanley didn't bet on the wrong side of the market. It started the year with a short position in subprime, a position that earned good profit for the first nine months of 2007. Here is Colm Kelleher, Morgan Stanley CFO's explanation of what happened in the last two months:

We began with a short position in the subprime asset class, which went right through to the first quarter; as the structure of this book had big negative convexity and the markets continued to decline, our risk exposure swung from short to flat to long.

In essence, you can think of Morgan Stanley's trade as a short position in the junior tranche of ABS CDO, with an offsetting long position in the super senior tranche of the same structure.

Initially, as the delinquency ratio in subprime market on the rise, the junior tranche suffers the first loss and declines more in value than the super senior tranche. The overall trade represents a short subprime position.

In the last two months, as the subprime problem continued to worsen, the junior tranche has lost most of its value with losses now bites into the super senior tranche. Since the value of the junior tranche is floored at zero, it now declines in a much slower pace than the value of super senior tranche. As a result, the trade now becomes a long position in subprime, hence the $3.7b paper losses.

Handy Tools

2007-11-07T17:52:00.001-05:00

Windows Live Writer: Just came out of Beta, fresh.
Finally a decent enough, truly WYSIWYG, free blogging tool. It supports Blogger, Windows Live Space (of course) and a few other blogging site. (I'm using it to write this post right now...)
Videora iPod Converter
A free iPod video converter that can convert a good deal of different video file formats for iPod. It downloads and converts youTube video too.

Mosaic: Perspectives on Investing

2007-11-07T10:02:00.000-05:00

Several chapters of the "Mosaic" book written by investing guru Mohnish Pabrai.

The book has been out of print for a couple years now and is selling for ridiculous prices on ebay. Had you purchased it years ago and selling now, you'd get some 500% return on investment. Not bad...

Supersized Chinese Corporations

2007-11-05T15:59:00.000-05:00

From Bloomberg: PetroChina Co. almost tripled on its first day of trading in Shanghai, becoming the world's first company to be valued at $1 trillion, more than Exxon Mobil Corp. and General Electric Co. combined.

The calculation accounts for the majority non-tradable shares held by the Chinese government. Nonetheless, this is probably going to be the hallmark of the Chinese stock market bubble, after ICBC dwarfed Citigroup to become the largest financial company in the world.

Bear Mountain

2007-11-04T21:45:00.000-05:00

Some pics from my trip to Bear Mountain this past weekend:

Black Friday, HD DVD Format War

2007-11-01T14:57:00.000-05:00

To say the prices of HD DVD players are dropping like a rock is an understatement. Both BestBuy and Walmart are offering Toshiba HD DVD player at $98 even before Black Friday.

If history is of any reference, the coming Balck Friday is going to mark the beginning of the end for the HD format war, with HD DVD gaining much more shelf space, despite Blu-ray being a technically "superier" format.

iPhone

2007-10-31T10:38:00.000-05:00

How difficult is it to unlock iPhone? The start up screen says it all (Slide to Unlock, LOL).

Seriously though, when you need to utilize a buffer overflow exploit and SSH to replace system files on a cellphone, it's definitely not for the faint hearted. Here is a comprehensive guide on jailbreaking and unlocking iPhone with firmware 1.1.1 on Windows. A word of caution: the guide may not be completely up to date and, needless to say, you're risking voiding your warranty and bricking your iPhone.

it's comforting to know that in most cases, you can set iPhone to recovery mode and restore the default settings (Turn off, hold Home key and plug the USB connector. iTune will deal with the rest).

Grid Computing in .Net

2007-10-25T15:02:00.000-05:00

Alchemi: An open source grid computing framework.

Idiot's Guide to Grid Computing I (notice that the author is only 13 years old! at that age, I was proud of being able to arrange stars in BASIC...)

Digipede: a commercial distributed computing solution.
- Grid and Cluster Computing
- Distributed Computing with the Digipede Network

CDO Pricing: Binomial Expansion Technique

2007-10-25T13:58:00.000-05:00

BET is a relatively simple technique used by Moody's to price and rate CDOs.

First, the collateral pool is mapped to a hypothetical portfolio of N uncorrelated assets (the diversity score).
The default probability of assets in the hypothetical portfolio is then calculated with WARF (Weighted Average Rating Factor)
Since the default event of each asset is uncorrelated, the probability of J defaults in the portfolio simply follows binomial distribution: (DS: diversity score. PD: probability of default for each asset)
With this distribution, the expected loss (EL) for each CDO tranche can now be calculated: (L_j: loss for a given tranche with J defaults)
The expected loss can now be used to price or rate the CDO tranche by referencing comparable securities (i.e. with similar default probability).

The BET methodology gives a sneak preview of what's deep down in the CDO pricing rabbit hole without getting into the rocket sciences (Monte Carlo, Copula, etc). Here is a good paper that compares the BET with Monte Carlo simulations.

Windows 7

2007-10-23T09:17:00.000-05:00

A demo of the next generation Windows kernel, strip naked, codenamed "Windows 7" (Microsoft really needs to put more work in these names. Just a random thought, something along the line of "iWin" might work...).

The OS ran under Virtual PC, and this allowed Traut to show the audience exactly how many resources it was consuming: about 25MB on disk (compare with 14GB for a full Vista install) and 40MB of RAM. The OS booted up in about 20 seconds inside Virtual PC.

Dow down more than 366 points

2007-10-19T15:27:00.000-05:00

A nice way to pay tribute to the 1987 crash on its 20^th anniversary.

ClickOnce Resources

2007-10-19T14:11:00.000-05:00

A overview of ClickOnce deployment, which includes some introducation of the System.Deployment APIs.
ClickOnce and Security by DevelopMentor, explains how ClickOnce applications are launched by the runtime, the role of AppLaunch.exe, dfshim.dll and .application/.appref-ms files and the relationship between ClickOnce and CAS.
MSDN Walkthrough: Downloading Assemblies on Demand with the ClickOnce Deployment API Using the Designer.

M-LEC

2007-10-19T09:02:00.000-05:00

The big boys are putting togather an $80b mega fund, dubbed M-LEC, or Master Liquidity Enhancement Conduit, to prevent a melt down in asset backed commercial paper market by purchasing assets from troubled SIVs.

JPMorgan is quick to confess that it has no direct exposure in such SIVs. So it's into this only for the "greater good" (read: fees).

About Goldman's blowout quarter

2007-10-16T15:29:00.000-05:00

As Goldman's official 10Q filing has come to light, some started to rise questions about its spectacular third quarter earnings.

The focus is on the $2.6b unrealized level 3 trading gains Goldman booked for the quarter, a category that has been called "mark-to-make-believe" by some analysts.

So does Goldman really stand head and shoulders above its peers? Only time will tell.

Certified Scrum Master

2007-10-12T15:36:00.000-05:00

Got certified this passed weekend. The training course was taught by Ken Schwaber, the master himself. The case studies were very well organized, the benefit and challenge of implementing Scrum in an organization are cleared delivered to the trainees.

That being said, there is the part of me that doesn't completely agree with the "certification" process. Base on my observation, there are about a third of the trainees either have no clue about Scrum or have only read about it on paper. Another one third implemented some half baked version of Scrum (i.e. Backlog but no daily Scrum meeting, Assigned ScrumMaster but no clear role of product owner, etc). And only the one third left being hardcore Scrum practitioners. Besides, there is really nothing stopping one from have nice chats with people during the two days, enjoy the food and "woof" your way out of the door being "certified". It's hard to believe that all these people can now take the responsibility of being the change proxy for the organization. In my mind, being "certified" implies there is going to be a bar set to be cleared. Well, maybe it's just me...

WPF: Interactive 2D Controls in 3D space

2007-10-11T16:17:00.001-05:00

The power of WPF really has no limits. With just a little help, you can place 2D controls (text box, button, you name it...) on to 3D space. The coolest of all, these controls are fully operational!

The source code download contains a couple examples in XAML as good starting points.

What's under the hood.

Notes on the infrastructure of WPF

2007-10-08T18:36:00.000-05:00

A Four hour train ride to Boston is the pefect timing to do some catch up reading on WPF, and there had been a few thoughts popping up somewhere in Conneticut and Rhode Islands. Some notes to check on later:

The entire Dependency Properties, Attached Properties and Routed Events framework is great. But what does it take to move these components out of the WPF framework and into your application? How much do they depend on WPF (UIElements, etc)? I know this is not easy, as WF has got a separate system for it.
As the same time, this framework is actually bringing C#/.Net many steps closer to a scripting language (I.E. objects are no more than a group of loosely typed hashtables). Is there any real disadvantage to this approach, aside from performance?
The Automation Peers are more than a natural way to perform unit tests on GUI components. Are there any related products/frameworks available from Microsoft or someone else?

Warren Buffett's comment on Investment in Gold

2007-10-04T09:41:00.000-05:00

Read this from someone's blog today:

If Martian were to to observe the activity of human beings for many many years, they would not understand what these humans were doing. They are digging the gold out from the ground, proccess them and put them in the vaults and never touch them again.

A true value investor should only invest in businesses Martians can understand.

.Net Framework Library Source Code

2007-10-03T15:50:00.000-05:00

Microsoft is releasing the source code of a host of .Net Framework Libraries with .Net 3.5 and VS 2008, according to ScottGu's blog here.

Now we fellow developers will have the mighty power to walk all the way up on the call stack. This is simply fantastic.

Debugging System.Threading.ThreadPool:

The next "Big" Flat Panel TV is ... 11 inchs

2007-10-03T10:20:00.000-05:00

Sony will start to sell the first commercial OLED TV this december. The 11 inch TV is only 3mm thin and has a contrast ratio of 1,000,000:1. It has get fairly good reviews on picture quality, but the screen size is just too small.

Time To Blend In

2007-09-28T10:16:00.000-05:00

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).

Microsoft .NET StockTrader Download

2007-09-27T13:21:00.000-05:00

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

2007-09-27T12:55:00.000-05:00

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.

What Happened To The Quants In August 2007?

2007-09-24T16:06:00.000-05:00

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

2007-09-24T09:56:00.000-05:00

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.

Worst Credit Card in the World

2007-09-14T08:21:00.000-05:00

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:

The Ultimate Steal

2007-09-12T15:16:00.000-05:00

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.

Loan-only Credit Default Swaps

2007-09-06T14:29:00.000-05:00

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?

2007-09-06T11:36:00.000-05:00

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.

Making Sense of the Sensor Bar

2007-09-04T15:08:00.000-05:00

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.

Mark-to-Make-Believe

2007-08-31T10:17:00.000-05:00

Wells Fargo Gorges on Mark-to-Make-Believe Gains

Pay attention to how WFC has "creatively structured" it's Mark-to-Make-Believe pnl on MSRs...

IMPLODE-O-METER

2007-08-29T15:01:00.001-05:00

Mortgage Lender Implode-o-Meter, a fun way to look at the sub-prime mortgage train wreck in slow motion.

Also check out the new Hedge Fund Implode-o-Meter.

MSBuild Custom Task

2007-08-28T15:41:00.000-05:00

How to implement MSbuild Custom Tasks: Part I, Part II

The built-in Exec task of MSBuild has quite a few limitations, so in order to invoke command line tools such as isql/sqlcmd in your build file, a recommended approach is to build your custom task base on ToolTask.

HD-DVD Players

2007-08-28T08:33:00.000-05:00

Thanks largely to the competition between PS3 and XBOX360, the prices of HDDVD and Blu-ray players are finally droping like rocks, with HDDVD player in the sub-$200 range. And with deals like this, my crystal ball tells me that my upconverting DVD player is on its borrowed life.

XBRL: eXtensible Business Reporting Language

2007-08-28T08:11:00.000-05:00

While reading company financial reports on SEC web site, I have always been wondering why these documents aren't published in XML format. That would make data analysis that much easier as it's very hard to export data in text/html format to excel or database.

One article in the Journal today says that the XBRL standard has been there for a long time, just being utilized on a limited scale.

A small sample of XBRL and what it represents:

And here is an example of how XBRL can help producing fancy interactive reports. Unfortunately only a few companies produce their filings in XBRL format.

Bear Stearns' letter to investors

2007-08-16T16:16:00.000-05:00

Bear Stearns' letter to investors (PDF) on "their disappeared money".

...
Fund managers and account executives have been informing the Funds’ investors of the significant deterioration in performance for May and June. The preliminary estimates show there is effectively no value left for the investors in the Enhanced Leverage Fund and very little value left for the investors in the High-Grade Fund as of June 30, 2007.

In light of these returns, we intend to seek an orderly wind-down of the Funds over time. This is a difficult development for investors in these Funds and it is certainly uncharacteristic of BSAM’s overall strong record of performance.
...

How lovely...

But you don't even know the meaning of the words "I'm sorry"...

2007-08-16T15:47:00.000-05:00

Today's Journal has an article on how hedge funds coming up with all kinds of excuses for the market turmoil in the recent weeks in order to avoid the embarrassing "I'm sorry".

The two (mock) letters below summarized it pretty well. Read the originals here:

How to Say All Their Money is Gone

by Mr Juggles
Dear Valued Client:

As you may know, the investment process has a normal course. Generally accepted investing practices follows that you, the investor, give us, the manager, money. As manager we take that money and buy something with it. This something generates profits and at the end of the year, we pay ourselves some percentage of what we bought with your money, as well as some percentage of the generated profits. Everyone profits which is a good thing.

Unfortunately, the money you gave us did not follow this normal course. Per usual, we “invested” your money in tranches of CDOs comprised solely of loans to people who specifically would never be able to pay down their mortgage. Their inability to pay was the very thing that made these such great loans and allowed us to demonstrate to you a profitable two year record of performance. This could have continued but your money decided to disappear.

As far as we can tell, there is no current record that points to existence of your money. It’s no longer part of our assets under management. Look, it’s up to you how you raise your money and I don’t want to get into a nature vs nurture sidebar with you, our valued client. But don’t you think that maybe you should have imbued your money with more of a sense of sticktuitiveness? I mean, it literally seems to have vanished at the worst possible time, what with the depressed prices and attractive yields which now litter our market. This is when we could be printing profits for you (if only your money hadn’t disappeared).

I guess, for us, we’re disappointed in you. Your role is to let us take your money, assume none of the risk and allow us to give you some of the return. Don’t you see how this relationship breaks down if you allow your money to disappear? We’re not angry with you, just disappointed. It’s your loss, as we still earned our management fee, it just seems like a waste for you.

I have enormous confidence in Long or Short Capital management and the ability of our talented professionals to bring you the highest quality products and services now and in the future as they have in the past. You can count on us to deliver…if you don’t let your money vanish.

Sincerely,

Mister Juggles

How to Say All Their Money is Gone - Part II

by Johnny Debacle

Dear Valued Client:

Last week you received a letter from the head of Long or Short Capital Management, Mr Juggles. In this letter Mr. Juggles told you that although your money was invested wisely according to the prospectus, that money has subsequently disappeared. We wanted to write you to let you know that after further diligence this is 100% accurate. Your money is definitely, definitely gone, for sure.

The feedback we received on the previous letter has revealed that you are unhappy that your money is gone but you were especially upset with our refusal to accept responsibility for your money being gone. Well first we would like to remind all of our valued clients that you shouldn’t point fingers. This is not just your fault, it’s everyone’s fault. Even ours, just to a much lesser degree than it is yours( especially important point for you to take away). We have completed a detailed and rigorous analysis of whose fault it is and thought it was important to share the results:

The chart depicts graphically the small size of our fault. After further study it was determined that all of our market share of the fault stems from one person: Mr. Juggles. As of this morning we have resigned him. Kaiser Edamame, our Germo-Japo restructuring expert and portfolio manager of our anti-union humor portfolio, will take-over for Mr. Juggles effective immediately.

We have also implemented several restructuring measures to ensure that when your money disappears in the future, it is less our fault than it was this time. Starting on August 30th, before we invest in low-yield, illiquid securities with high default risk we promise to “think-twice”. This represents a 100% increase in the amount of thinking we have done in the past. Also, in the case of our most risky investments, before we increase our exposure to them we will now “sleep on it,” something we have not done previously. We feel confident that these measures will significantly increase your returns and hence our fees over time.

Please contact me with any questions.

Subprimely,

Johnny Debacle

EVP Long or Short Capital Managment

Dr. Watson

2007-08-09T09:41:00.000-05:00

A common problem bugslayers all have faced one day is that your application crashed on a client's machine. There is simply no debug tools available for you to investigate further each if you have the source code and symbol files on hand.

It's good to know that Windows does come with a default error logging tool, Dr. Watson. It would create a crash dump file with the call stack and variables. Later, you can load the dump file in Visual Studio to reproduce the crime scene.

Here is all you need to konw in order to set it up and make it work...

Forfiles

2007-08-06T09:34:00.000-05:00

A very common maintanence task for a file server is to purge files older than a certainly date. For example, to delete all files under a directory that's more than 10 days old.

I'm sure some one can do this in Perl or some other script language in no time. But here is another handy tool for the job: Forfile comes with Windows 2000 Resource Kit and later versions of Windows .Net Servers. It can accomplish that task in just one command, sure beats mingling with date format in a batch file.

One thing to note is that the examples given in that msdn help page don't really work. You need to test things out yourself...

You, investor, are a sucker

2007-07-24T14:39:00.000-05:00

No, I won't say this kind of harsh things to our fellow active investors. It's the author of a blog posted here. No matter how much you disagrees, it's still a good read.

Death Bonds

2007-07-24T13:52:00.000-05:00

Saw this title on the cover of current issue of BusinessWeek today in dentist's office. It not only caught my eyes, but also sent a chill down my spine --- given that my dentist was sharpening her gears at that time...

Anyhow, here is how the security, which is formally known as Life Settlement Backed Security, works:

Life Insurance policy holder pays insurance company premium for the eventual big payout on the policy holder's death.
With a "death bond" market, the policy holder now can sell his policy to a third party (life settlement broker) at any time.
The investment banks, hedge funds will then purchase the policy from the broker and continue paying the premium on that person's policy and will receive the payout on his/her death.
Very much like an MBS, the bankers will then pool individual life insurances together, and then issue bonds backed by cash flows on these policies.
According the the article, the return can be attractive --- close to 8%, located right between bond and stock returns. And more importantly, the return on death bonds is completely uncorrelated to the equity and bond market. If you are a firm believer of EMH and "the market portfolio", this is golden!

Data Visualization

2007-07-18T14:32:00.000-05:00

They rule is a web site that visualizes the network of the largest corporations and their boards of directors. An useful and fun way to look at the business world.

I got the link to website from visualcomplexity. The site provides a host of data visualization projects. Some of them are quite interesting:

Internet-call service SunRocket shuts down

2007-07-17T16:36:00.000-05:00

SunRocket Inc., the second biggest U.S. supplier of Internet phone services, appeared to have shut down its business on Monday without notifying its customers, which total more than 200,000.
Callers to its customer service line heard a brief recorded message, saying: “We are no longer taking customer service or sales calls. Goodbye.”

Now that is a nice way to still generate some buzz when your business is on death row.

Microsoft ESB Guidance

2007-07-16T12:36:00.000-05:00

A reusable sample ESB (Enterprise Service Bus) built on top of Microsoft Biztalk Server 2006/.NET 3.0.

The guidance application deals with many critical aspects of a SOA messaging bus, such as service address resolution, message routing, message transformation, exception handling, etc.

Download the application and powerpoint presentation here.

Real Estate, Subprime and Credit Market

2007-07-12T08:54:00.000-05:00

As the housing market keeps turning for the worse, the subprime sector of asset backed market has been deteriorating since the beginning of the year.

In the last couple weeks, amid the fallout of the Bear Stearns hedge funds, there have been signs that this weakness is spreading to other sectors of asset back securities and even the broad credit market.

Here are some of the relevant indices tracked by MarkIt:

Rogue Traders: Made in China

2007-07-09T13:14:00.000-05:00

I came across two (rather old) stories about rogue traders in China:

The interesting thing about these financial disasters is how they resemble the rogue trader at Barrings Bank decades ago:

Arbitrage trader starts to take massive unauthorized positions.
One man effectively in control of both front office (trading) and mid-office (risk management).
The use of false account to hide losses

It seems Chinese Government Agencies and SOEs still have a long way to go in properly managing their operational as well as market risks.

Windows Live Messenger Add-In API

2007-07-09T12:38:00.000-05:00

Seeems to be a nice way to create an alert/query service interface. The API is incredibly easy to use. You can probably create your own Messenger Robot in minutes (a automated trade alert, for example).

BTW: There is really no SDK to install, as the required assembly comes with Windows Live Messenger itself.

A simple guide on how to write Windows Live Messenger Add-Ins.
In case you need some ideas on your next messenger agent, check this out.

Buffett lunch goes for $650100

2007-07-05T09:30:00.000-05:00

And Mohnish Pabrai finally got it.

Here is his CNBC interview after winning the bid.

A good summary on Dhandho Investor...

Worldly Wisdom and Mental Models

2007-06-29T14:22:00.000-05:00

Charles Munger's 1994 USC Business School speech on Worldly Wisdom and Mental Models.

Blackstone IPO

2007-06-28T09:06:00.000-05:00

It's clear that Chinese government has not got the return it had expected in Blackstone's IPO. To be fair, 80% of the investment universe would have guessed the other way.

The long term return on that investment would largely depends on how the tax bill unfolds and how long the favourable borrowing environment persist.

Investments made in the other way are generally more successful. For example, Goldman's 5% stake in ICBC and BOA's 10% investment in China Construction Bank

How to price CDS Indices

2007-06-25T13:30:00.000-05:00

A good introduction on how to price CDS indices (a basket of single name CDSes). And here is the link to the spread sheet.

Of course, you can always use the average of single name CDS spreads as a first order approximation, which ignores the spread convexity. The proper method, as presented in the spread sheet, is risky annuity/DV01 weighted average of these spreads.

Interviews with Mohnish Pabrai

2007-06-25T10:02:00.000-05:00

Bloomberg interview with value investing guru Mohnish Pabrai(Part I, II) on his recent investments, including BRK, DFC, HNR, etc.

Here is another interview by CNBC.

Mohnish Pabrai is the author of The Dhandho Investor. He has been bidding for the Power Lunch with Warren Buffett for the last couple years but has yet won one.

EDIT: A FT article on his "low risk, high uncertainty" investment strategy.

Microsoft .NET StockTrader

2007-06-22T12:36:00.000-05:00

Microsoft just released .NET StockTrader, an end-to-end sample trading solution, at SIFMA.

The application and its source code are not yet available for download. Judging from its technical overview paper, the design is a very standard n-tier, SOA solution:

Web Application Layer (UI), utilizing ASP.NET and Web Forms
Middle layer Business Services Layer (BSL), utilizing stateless C# classes
Data Access Layer (DAL), utilizing ADO.NET and stateless C# classes

The design focus is on the business layer, with WCF based webservices implementation (transaction processing, interoperability, scalability, etc).

Microsoft has not put any of the cool stuff (such as WPF or SilverLight) to spice up the presentation layer, neither has it pushed the bleeding edge data access technologies (DLinq, Linq to Entities, etc).

Design Principle Acronyms

2007-06-22T09:15:00.000-05:00

A rather cynical list of acronyms in software engineering. My favorites are ADD, CYAE and GMPM...
Okay, seriously, here is the REAL list of design principles you should follow (including OCP, LSP, DI, etc).

The beauty of acronyms is that they make you look incredibly professional in the eyes of non-professionals when you talk like this:

"Lad, YAGNI, so KISS and DRY"...

POWER LUNCH WITH WARREN BUFFETT

2007-06-21T15:05:00.000-05:00

Bidding for a power lunch with Warren Buffett on eBay.

This is, of course, a charity event. The bid starts at $25,000 and the winner last year paid $600,000.