BGonline.org Forums

EPC Confusion NO MORE!

Posted By: AP
Date: Monday, 14 January 2013, at 4:38 a.m.

In Response To: EPC Confusion (AP)

My main frustration with EPC method was that the only reliable application I could ever find was cube action at money for pipsVSrolls positions. What I was really looking for was a method for converting EPC to GWC. Of course I realized this may be a challenge because pipsVSpips and pipsVSrolls positions have different volatilities.

But this paper seems to really hit the nail on the head. Hopefully it can get the attention it deserves. Credits to the author Joachim Matussek for a job well done.

http://home.arcor.de/joachimmatussek/BearoffGWC.zip

p.s. I tested his formulas on the position I posted as well as a few others and it works great.

Messages In This Thread

• EPC Confusion
  AP -- Saturday, 12 January 2013, at 10:03 p.m.
  • A Better Way than Hybridization of EPC
    mamabear -- Saturday, 12 January 2013, at 11:50 p.m.
    • A Better Way than Hybridization of EPC
      Casper van der Tak -- Sunday, 13 January 2013, at 10:22 a.m.
    • A Better Way than Hybridization of EPC
      AP -- Monday, 14 January 2013, at 4:28 a.m.
  • EPC Confusion
    Daniel Murphy -- Sunday, 13 January 2013, at 7:35 a.m.
  • EPC Confusion
    Rick Janowski -- Sunday, 13 January 2013, at 12:45 p.m.
  • EPC Confusion
    Casper van der Tak -- Sunday, 13 January 2013, at 1:24 p.m.
  • EPC Confusion
    John O'Hagan -- Sunday, 13 January 2013, at 9:40 p.m.
  • EPC Confusion NO MORE!
    AP -- Monday, 14 January 2013, at 4:38 a.m.
    • EPC Confusion NO MORE!
      Rick Janowski -- Monday, 14 January 2013, at 8:35 a.m.
    • EPC Confusion NO MORE!
      Michael Nielsen -- Monday, 14 January 2013, at 10:32 a.m.