{
  "id": 1759,
  "title": "minimization function",
  "url": "/competitions/benchmark-bond-trade-price-challenge/discussion/1759",
  "author_name": "",
  "post_date": "2012-04-22T04:48:10.950Z",
  "votes": null,
  "comment_count": 5,
  "views": 3996,
  "content": "<p><span style=\"font-family:times new roman,times; font-size:medium\">Hi Admin, </span>\r\n</p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">I might have missed the answer to my questions in a previous topic but I want to confirm that the data columns we are allowed to use in the prediction function are cols E through BI (as displayed\r\n in excel), ie all columns from 'Current Coupon'&nbsp; to 'curve_based_price_last10' inclusive.&nbsp;\r\n</span></p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">I also want to confirm that we are minimizing</span></p>\r\n<p><span style=\"font-family:courier new,courier; font-size:medium\">∑<sub>i</sub>(weight<sub>i</sub> * abs(trade_price<sub>i</sub> - f(X<sub>i</sub>)))</span>\r\n</p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">where f is the prediction function and X is the vector of data from columns E to BI&nbsp; and i refers to row i.&nbsp; Does that make sense (sorry I cant get the symbols the way I want them but it should\r\n be clear enough.)<br>\r\n</span></p>\r\n<p>&nbsp;</p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">thanks</span></p>\r\n<p>&nbsp;</p>",
  "messages": [
    {
      "id": "10264",
      "postDate": "04/22/2012 04:48:10",
      "content": "<p><span style=\"font-family:times new roman,times; font-size:medium\">Hi Admin, </span>\r\n</p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">I might have missed the answer to my questions in a previous topic but I want to confirm that the data columns we are allowed to use in the prediction function are cols E through BI (as displayed\r\n in excel), ie all columns from 'Current Coupon'&nbsp; to 'curve_based_price_last10' inclusive.&nbsp;\r\n</span></p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">I also want to confirm that we are minimizing</span></p>\r\n<p><span style=\"font-family:courier new,courier; font-size:medium\">∑<sub>i</sub>(weight<sub>i</sub> * abs(trade_price<sub>i</sub> - f(X<sub>i</sub>)))</span>\r\n</p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">where f is the prediction function and X is the vector of data from columns E to BI&nbsp; and i refers to row i.&nbsp; Does that make sense (sorry I cant get the symbols the way I want them but it should\r\n be clear enough.)<br>\r\n</span></p>\r\n<p>&nbsp;</p>\r\n<p><span style=\"font-family:times new roman,times; font-size:medium\">thanks</span></p>\r\n<p>&nbsp;</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "10270",
      "postDate": "04/22/2012 15:53:00",
      "content": "<p>I am pretty sure you are correct.</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "10295",
      "postDate": "04/23/2012 10:06:35",
      "content": "<p>OK</p>\r\n<p>In that case can the comp Admin confirm that the curve<em>based</em>price for row i is a valid parameter for computing trade<em>price at i. Also Admin, for my edification, where is the definition or computable formula for curve</em>based_price?</p>\r\n<p>thx</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "10301",
      "postDate": "04/23/2012 13:55:10",
      "content": "<p>curve_based_price is a valid input. Anything available to you in the test data set is a valid input.</p>\r\n<p>As for the definition, curve_based_price cannot be completely described, but I'll try to give a simple explanation. &nbsp;A number of things (interest rates, cds quotes, bond quotes and bond trades) can be used to generate a number of maturity based curves for\r\n a given credit entity. &nbsp;Among these curves are hazard curves and funding curves. &nbsp;Based on simple things like a bond's maturity and coupon as well as more complicated factors such as callability or other features, a bond can be priced with these curves as\r\n well as interest rate curves. &nbsp;This price is therefore based not only on recent observations of the bond in question, but on a great deal of related observations and reference data. &nbsp;As this competition is about the trading dynamics and microstructure of the\r\n bond market, we chose to compute a curve_based_price for you. &nbsp;This also serves to make the competition more accessible.</p>\r\n<p>-Dan</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "10327",
      "postDate": "04/24/2012 05:28:07",
      "content": "<p>Thanks Dan.&nbsp; I thought that might be something like that.&nbsp;</p>\r\n<p>For the purposes of estimation, one should only predict the trade_price at time&nbsp;t<span style=\"font-size:medium\"><sub>i</sub></span> from data available at time&nbsp;t<span style=\"font-size:medium\"><sub>i-</sub></span>&nbsp; .&nbsp; That is, only information available prior\r\n to the moment of trade.&nbsp; My concern was that curve_based_price is not computed with this restriction.&nbsp; However, I shall assume for this purposes of this competition that any data in row i can be used to compute the trade_price at row i.</p>\r\n<p>&nbsp;</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "10378",
      "postDate": "04/25/2012 20:35:09",
      "content": "<p>The curve_based_price in each row is that calculated before the trade came in, so it is reasonable to use it. &nbsp;The data is structured such that everything available in a row is useable for prediction.</p>\r\n<p>-Dan</p>",
      "rawMarkdown": "",
      "votes": null
    }
  ],
  "comments": [
    {
      "id": 10270,
      "author_name": "yogurt",
      "author_url": "",
      "post_date": "04/22/2012 15:53:00",
      "content": "<p>I am pretty sure you are correct.</p>",
      "votes": null,
      "replies": []
    },
    {
      "id": 10295,
      "author_name": "stellar",
      "author_url": "",
      "post_date": "04/23/2012 10:06:35",
      "content": "<p>OK</p>\r\n<p>In that case can the comp Admin confirm that the curve<em>based</em>price for row i is a valid parameter for computing trade<em>price at i. Also Admin, for my edification, where is the definition or computable formula for curve</em>based_price?</p>\r\n<p>thx</p>",
      "votes": null,
      "replies": []
    },
    {
      "id": 10301,
      "author_name": "danglaser",
      "author_url": "",
      "post_date": "04/23/2012 13:55:10",
      "content": "<p>curve_based_price is a valid input. Anything available to you in the test data set is a valid input.</p>\r\n<p>As for the definition, curve_based_price cannot be completely described, but I'll try to give a simple explanation. &nbsp;A number of things (interest rates, cds quotes, bond quotes and bond trades) can be used to generate a number of maturity based curves for\r\n a given credit entity. &nbsp;Among these curves are hazard curves and funding curves. &nbsp;Based on simple things like a bond's maturity and coupon as well as more complicated factors such as callability or other features, a bond can be priced with these curves as\r\n well as interest rate curves. &nbsp;This price is therefore based not only on recent observations of the bond in question, but on a great deal of related observations and reference data. &nbsp;As this competition is about the trading dynamics and microstructure of the\r\n bond market, we chose to compute a curve_based_price for you. &nbsp;This also serves to make the competition more accessible.</p>\r\n<p>-Dan</p>",
      "votes": null,
      "replies": []
    },
    {
      "id": 10327,
      "author_name": "stellar",
      "author_url": "",
      "post_date": "04/24/2012 05:28:07",
      "content": "<p>Thanks Dan.&nbsp; I thought that might be something like that.&nbsp;</p>\r\n<p>For the purposes of estimation, one should only predict the trade_price at time&nbsp;t<span style=\"font-size:medium\"><sub>i</sub></span> from data available at time&nbsp;t<span style=\"font-size:medium\"><sub>i-</sub></span>&nbsp; .&nbsp; That is, only information available prior\r\n to the moment of trade.&nbsp; My concern was that curve_based_price is not computed with this restriction.&nbsp; However, I shall assume for this purposes of this competition that any data in row i can be used to compute the trade_price at row i.</p>\r\n<p>&nbsp;</p>",
      "votes": null,
      "replies": []
    },
    {
      "id": 10378,
      "author_name": "danglaser",
      "author_url": "",
      "post_date": "04/25/2012 20:35:09",
      "content": "<p>The curve_based_price in each row is that calculated before the trade came in, so it is reasonable to use it. &nbsp;The data is structured such that everything available in a row is useable for prediction.</p>\r\n<p>-Dan</p>",
      "votes": null,
      "replies": []
    }
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