One way to do it is
master -> jobjob
Each year that you spent on some job,
you earn, most important of all, some cash to keep the family financially safe.
** you also earn something to plow back. Look at my UChicago experience…
you earn some experience, insight, and hopefully some zbs, but most of it will not be relevant in future jobs
you earn/build some track record that helps maintain marketability.
you either speed up or slow down brain aging
you incur stress
you incur sacrifice of family time and exercise time
An intuitive explanation given by Roger, who pointed out that delta hedge insulates you from only small changes in stock (or another underlier).
Say, you use 50 shares to hedge an ATM option position with delta hedge ratio = 50%. Suppose your hedge is not dynamic so you don’t adjust the hedge, until price moves so much the option delta becomes close to 100%. Now a $1 move in your option is offset by $0.50 change in the stock position – insufficient hedge.
The other scenario Roger didn’t mention is, the option becomes deeply OTM, so delta becomes 1%. Now a $0.01 change in your option position is offset by $0.50 of the stock position – overhedged.
label – cppReal
See http://stackoverflow.com/questions/634662/non-static-const-member-cant-use-default-assignment-operator. My take is that a non-static const member will break the standard assignment operation. You could mess around operator= but non-trivial.
The other key features are all obscure:
2) (my suggestion) can pass into a reference parameter of a function
The book [I] introduces a simple test of Rval vs Lval, introduced by Stephan T. Lavavej — An Lval expression is anything that has a name. Minor qualifications:
* function returning a reference…
I=[[c++for the impatient]]
I feel FRA is the correct thing to replicate IRS…
The LTCM case P13 footnote very briefly described how to replicate IRS using ED futures.
Say we have a vanilla 10Y IRS based on 3M Libor. There are 40 payments, either incoming or outgoing. First payment is 3M after trade date (assuming Jan 1), when BBA announces the 3M Libor for Apr-Jun. Based on the differential against the pre-agreed fixed rate, one party will pay the other.
Here’s how an ED trader replicates this IRS position — On trade date she would simultaneously buy 40 (or sell 40) futures contracts each with a maturity matching those announcement dates.
In both cases, we are sensitive to all the 40 Libor rates to be announced. Each rate is a 3M spot deposit rate.
HJM hard to calibrate. Usually using European swaptions.
pimpl – adv/disadv
scripting support by boost::python
API wrapping/layering — extremely common technique
– flat C style