Thank you – I’ve not been active with this for a while, but may start again …

I’ve been away from IR derivatives for more than 10 yrs. So to be honest, I don’t know where the state of the art / practice is with respect to models. Usually there is no single model used. For example HJM was used for the most complex interest rate structures, but often a simpler model was used for more vanilla options.

Oh cool, well I’m looking forward to following your blog. Out of curiosity, from your experience, what kinds of term structure models were mostly used in a risk management perspective? Multi factor exponential Vasicek model? CIR ++? HJM? PCA within an SDE model? It just seems as if though that every paper I read or book I read there is always a list of pros and cons to a given model nothing concrete that says “this is mostly like the worst case scenario”. I understand that each respected market operates differently but it just never seems narrowed down. Kind of makes me think of cooking spaghetti noodles….just keep throwing noodles at the wall until something sticks.

I can certainly answer any Qs you have about fixed income, however have not been doing anything in fixed income for quite a while (hence no recent posts there). I am more focused on equities, bitcoins, and a new asset class I have yet to write about.

I just found your blog and I find it a breath of fresh air to see someone actually using R as a programming language. I see you’re from an IR derivatives background; would you be open to providing some examples? The reason I ask is because I’m new to the area and I’m interested in all of the different approaches quants take.

Yes, still a fan. I use a mix of languages, but F# is one of them. F# deploys on linux with the same ease as a C# application. I use mono.

As for the blog, I plan to get back to it sometime this year.

Are you still a fan of F#? I am doing some system exploration in MATLAB, but am considering moving some of the more mature stuff to a functional platform for live trading. There are so many options, and so many proponents of each (F#, python (I count it lol), OCaml, Scala, Erlang, … haskell…)

How well does F# target Linux for deployment?

Love reading your blog back-posts, too bad it is not still active!

No, I don’t use IBX for actual trading, because it is not mature yet.
I developed this library besides my university studies because of my strong interest in automated trading in order to land a job in this field after graduation in summer.

Oliver, nice to cross paths with another FP enthusiast. Took a peak at your stuff, nice. I do use F# as opposed to OCaml, because of the .NET ecosystem. Have used other FP languages as well, but F# + imperative languages seem to provide the practical balance I need. F# is a bit weaker than some of the other FPL’s out there, but is, perhaps, more practical.

Are you trading with this individually, professionally?