New project: IRR model

I'm going to start a new project. I'm not especially happy with the interest rate risk model I'm using at work. There's a lot of hand waving going on, and I'm not convinced that prices on assets are altogether accurate.

One problem that I have is that I don't have a bloomberg terminal. I'll have to get specific requests for month-end data from our accounting vendor. Another issue is conceptual. I've got data sets for assets and liabilities. I need to store functions and transformed data somewhere. This means SQL, so I'm going to need to create a dummy project with simplified balance sheet.

I've got a further problem, which is how to express my functions. I need to determine if and how to fit quantlib into SQL.

1Q20 : Week 3

It's been a pretty volatile investing year for me with a lot of both gains and losses. I'm not going to discuss either cases here. I'm stepping back from active investing and trading for a while. I will, however, continue looking at and commenting on finance and the market. I think that being aloof from the actual making of money will help with my enjoyment of the field, etc etc.

I'm hoping to write one reasonable sized blog post per week. I'm certainly not as eloquent as Matt Levine, let's say, but hopefully I'll produce something of worth nonetheless.

So, let's start of this blogging series with US treasuries.

2Q18 : Week 9

Too busy with work to finish SEC reading. I'll get through that this week. I'll also have to do a refresher on Wilmott's books.

2Q18 : Week 8

Got through some FAR reading. Very enlightening stuff.

Now working my way through the financial reporting manual issued by the division of corporation finance by the SEC. Hoping to fill in the gaps of understanding left by FAR, like how Reg S-X works, since interim reports I guess aren't necessarily GAAP compliant. Ah, the things they don't teach you in school.

On another note, I read through Matt Levine's column this morning (Broker Robots Will Calm Your Panic) and I was surprised to see how their 3D Insights project has morphed. The latter was supposed to be a Netflix-esque recommendation tool for their wealth management brokers. Now it seems they're trying to emulate Amazon, with tentacles in everything. Not creepy at all...

2Q18 : Week 7

Presently working my way through the FAR section of the CPA exam. Enjoying it... so far.

In other news, purchased some some mid-term call contracts on OCN. A little pricey in terms of the implied vol, but I'd like to potentially add to long-term holdings. Purchased a big bite of ASPS last week as well...