MBS Basics

MBS Basics.

Structured Credit, Sub-prime, Presentations and Articles

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

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

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

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

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

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

Banks May Have Reported Flawed Interest Data for Libor.

For Three Minutes, China stopped

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

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

Municipal Bond Credit Derivative Index

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

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

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?

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

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

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

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

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

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

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

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".