Things I Have Learned...

- Don't do card tricks while driving
- "Keep the whores in the bathroom"
- "I'm too old to fight - I just stab"
- "Everyone outside the city carries a knife"
- Sometimes just filling up your tank can lead to surprises
- It is not easy to live in the triangle of death
- Old folks seem to feel compelled to plug themselves into the slots
- Even 2 minute showers can be deemed "suspicious"
- Mo's has good food (and the Moasis)
- Heavy rocks leaning on twigs don't always catch squirrels
- Bet big when Carl does - and when Colin Powell is rollin'
- 2 Star Wars slots are not enough

BB notes from Greg

Problem:

Excel BLP functionality was not working. Additionally, Bloomberg DDE Server popped up a message saying "Unable to initialize the Time Zone Adjustment feature: request timed out"

Steps to Resolve the Problem:

Turn off TaskMaster service (if appropriate)

End process on bbcomm.exe and blp.exe. Make sure that bbcomm does not relaunch, and it will if something on the machine is still trying to access BBG data (i.e. Excel, wl_Rates, DataExtracter, etc)

Delete file: c:\blp\api\monitor.rte

Run program: c:\blp\api\mkmonrte.exe with the following inputs: 2, [default], 208.134.161.30, [default], 208.134.161.62, [default]

Run program: c:\blp\api\bbcomm.exe; click Defaults; point Route file to the just created .rte file above (c:\blp\api\monitor.rte); point Log file to c:\blp\api\bbcomm.log; verify that both IP addresses when SOCKS5 is clicked are 0.0.0.0 (the port numbers may be immaterial, I don't know); click OK

At this point, its easiest to test by opening up an Excel spreadsheet that contains BLP functionality. You can also run c:\blp\api\apidemo.exe, choose Bloomberg > Monitor, enter a security and yellow key (i.e. "IBM eqty") and click Subscribe. Click through all the status boxes that pop up until the data fields populate. If they don't after about 20 clicks or so, then call the help desk.

If everything is running, be sure to restart TaskMaster service if appropriate.

The Correct PAM Price

When looking at our PAM system - the Internal price is the good one to use

Sub Routine from Pucci

Sub RetrieveData()
Dim fname As String
fname = GetFileName
If fname = "" Then Exit Sub

Workbooks.OpenText FileName:= _
fname, Origin:=437, _
StartRow:=1, DataType:=xlDelimited, TextQualifier:=xlDoubleQuote, _
ConsecutiveDelimiter:=False, Tab:=True, Semicolon:=False, Comma:=False _
, Space:=False, Other:=False, FieldInfo:=Array(Array(1, 1), Array(2, 1), _
Array(3, 1), Array(4, 1), Array(5, 1), Array(6, 1)), TrailingMinusNumbers:=True

Dim DataSheet As Worksheet
Dim MasterSheet As Worksheet

Set DataSheet = Workbooks("HANOSEKMTN.risk.consol.tab").Sheets("HANOSEKMTN.risk.consol")
Set MasterSheet = Workbooks("MTN_Key_Rate_DV01.xls").Sheets("DV01")

Application.DisplayAlerts = False 'Turn off before saving
DataSheet.Range("A1:F150").Copy
MasterSheet.Range("A1").PasteSpecial Paste:=xlPasteValues, Operation:=xlNone, SkipBlanks _
:=False, Transpose:=False
Workbooks("HANOSEKMTN.risk.consol.tab").Close
Application.DisplayAlerts = True ' Turn back on
End Sub

The Muppet Show

Synopsis: Kermit the Frog is the manager of a cabaret-style theatre house, which invariably has more drama behind the stage than on it. He has to contend with wannabe-comedian bears, the smothering advances of Miss Piggy, crabby regular theatre patrons, homicidal chefs, livestock, not to mention making the weekly guest star feel welcome.

Finding the Bloomberg Security Type (Yellow Key)

Suppose you have a CUSIP but don't know the required Bloomberg Security type field aka "Yellow Key".

Enter the following in Excel to have it return the Yellow ticker key - 99999AB6(CUSIP)_Corp_CUSIP

Black Scholes: Dividend Payments

One way to think about modifiying B/S for dividend payments is to reduce the current share price by the PV of the dividends paid during the option's life and use this amount in place of the actual S in the model.

There is also a way to adjust the B/S model itself to accomodate dividend payments.

This post was to help me clarify a lunch-time conversation about GMDB hedging.

Notes on ABS CDS

Pay as you go (PAYG) are currently the most dominant type of ABSCDS. In PAYG contracts, the premium payments are calculated on the remaining notional. If some amount of the underlying ABS is written down, the premium will be calculated on the remaining amount outstanding. This is unlike Corporate CDS - where the premium is generally constant. Also, ABS CSD are security specific, while Corporate CDS can be thought of as more generic with respect to the underlying.

While ABSCDS and corporate CDS are both means to transfer credit risk, the two markets differ considerably because of differences in what constitutes a credit event and what counts as a reference obligation.

Dramatic growth of single name ABS CDS is the result of the ISDA's standard template.

Demand is being driven by CDO managers (sellers of protection), subprime loan originators hedging conduits (BBB paper bundled into mezanine CDOs), and hedge funds (express views on housing market, e.g., negative view on housing: sell BBB protection and buy BBB- protection)

Although a single name ABSCDS is not a TRR swap, it is important to note that the market value can change as the credit risk of the underlying reference obligation changes