Happy Equations

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Date: 2004/12/7

It becomes the destination of my honeymoon because there is only few Taiwanese has been Tahiti. We are not celebrities, just want to visit somewhere special to us. Tahiti is a mysterious place for most of Taiwanese, even for most of Asian. No Chinese travel guide, no travel agent to ask for help, no one knows where is Tahiti, and most of my friends never heard about it.

But, Tahiti is always on Top 10 best destination for anything, Top 10 Paradises, Top 10 Honeymoon Trips, Top 10 Romantic, all of these have Tahiti on them. My wife wanted to go to the famous Heart of Voh in New Caledonia, but it is really a challenge to go there from Taiwan and nothing else is really worth to visit for my honeymoon. So we decided to go to Taihiti.

We transferred via Los Angeles because our cruise, the six-star motorship Paul Gauguin, has an optional air package. It cost much less than transferred via Auckland by ourselves, but it took 2 hours longer if not counted 3 hours waiting for transit at LAX. We stay in LA for 2 nights then fly to Tahiti in the third morning of my honeymoon.

After 8 and a half hours we arrived Faaa International Airport in Taihiti. Faaa is quite different from our images about international airports. As soon as we get off the plane, a mini band playing Polynesian music welcomed us. The small arrival custom hall decorated with a large Gauguinian wall painting. I made a mistake to go to a line only for EU residents. I said sorry for passing the wrong line. The custom officer said, "That's ok, you are in paradise."

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I travelled to Tahiti for my honeymoon, with my wife of course, from 12/8 to 12/20 in 2004. I originally wrote a log in Chinese. I will translate it to English to share with friends all over the world.

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Using EuroDollar Futures to build a LIBOR Yield Curve are good for whom are using them to hedge USD interest rate derivatives. We usuallly use swap curve to build forward curve for Taiwanese Dollar. It's new to me to do it.

Frankly it is really straightforward. First you have to convert EuroDollar Futures quotes to their implied spot rate. When you have a series of the spot rates of different maturity, you can treat it as a normal spot curve to bootstrap its forward curve.

First you must declare using namespace

   using Microsoft.Office.Interop.Excel;

if the Office Primary Interop Assemblies is installed in your system. If not, you can get it at http://www.microsoft.com/downloads/details.aspx?FamilyId=C41BD61E-3060-4F71-A6B4-01FEBA508E52&displaylang=en

Microsoft has changed the design of Office Primary Interop Assemblies in Office 2003. So if you want to read Excel files from a system with Office 2002 or before, you must use:

   Excel.Application excel = new Excel.Application();

   Excel.Workbook theWorkbook = excel.Workbooks.Open(
               FileName,,Missing.Value,Missing.Value,Missing.Value,Missing.Value,
               Missing.Value,Missing.Value,Missing.Value,Missing.Value,Missing.Value,
               Missing.Value,Missing.Value,Missing.Value,Missing.Value,Missing.Value);

You can't use null as parameters, that will cause an exception.

in Office 2003, Excel is just a namespace and everything has a Class postfix:

   Workbook theWorkbook = excel.Workbooks.Open(
               FileName,,Missing.Value,Missing.Value,Missing.Value,Missing.Value,
               Missing.Value,Missing.Value,Missing.Value,Missing.Value,Missing.Value,
               Missing.Value,Missing.Value,Missing.Value,Missing.Value,Missing.Value);

Risk management is getting important these years, so is FRM. FRM is a certification issued by GARP and focusing in risk management area. The exam is held once a year. The next one is on November 19, 2005. I have registered and prepared since last month. My collegues and me form a study group for the exam.

We found the official endorsed book: Handbook of Financial Risk Management by Jorian is not good for studying. We change to the study notes published by Schweiser starting next week. The old questions seems much more tricky and in depth than the handbook, but the study notes are very thick and hard to be finished. We have to work harder to get the certification.

I still think FpML is the untimate solution for storing information of derivatives. Maybe is is too complicated to use in house, but it reduce our effort for defining our own standard.

I spent a few days trying to build an infrastructure for processing FpML. I am happy that I have a system to process interest rate derivatives part of FpML specification. The software can import FpML data documents, store in a data structure similar to the sepc, and output XML files almost the same to the original one. I also implemented tens validation rules defined by FpML spec, they all work as expect.

The next step is to implement messaging part, which enable communication between two parties. I will describe my design in detail.