The Market Value and Dynamic Interest Rate Risk of Swaps

At the time of initiation, interest rate swaps are of zero market value to the counterparties involved. However, as time passes, the market value of the swap position of each counterpart may become positive or negative. These value changes are stochastic in nature and are primarily driven by stochastic variations of the term structure of interest rates. In this paper, we develop models for determining the market values and dynamic interest rate risks of existing swap positions using the one-factor general equilibrium term structure model of Cox, Ingersoll, and Ross (1985). The valuation and risk measurement framework of this paper should be useful in developing a value turn risk accounting method advocated by Merton and Bodie (1995) for better internal management and reporting purposes and for more effective regulation. This paper was presented at the Financial Institutions Center's October 1996 conference on "

A Component Analysis of the Effects of Response Interruption and Redirection on Vocal Stereotypy in an Adult with Autism Spectrum Disorder

There has been much research into evaluating the effectiveness of response interruption and redirection (RIRD) in the reduction of vocal stereotypy in children and adolescents diagnosed with autism spectrum disorder (ASD). Research has indicated that RIRD often results in the reduction in level of vocal stereotypy in this population. However, only one previous study has evaluated the efficacy of RIRD on vocal stereotypy for participants older than 18 years old. Furthermore, though some studies point to punishment as the mechanism by which RIRD produces its effects (Ahearn et al., 2007; Aherns et al., 2011), it is still described as a redirection procedure with unclear contingencies (Cassella et al., 2011). This study used the uninterrupted data collection procedures described by Carroll and Kodak (2014) and Wunderlich and Vollmer (2015) which have been shown to provide a more accurate analysis compared to the interrupted technique. Additionally, this study replicated and expanded upon Wunderlich and Vollmer (2015) by introducing a component analysis of the effects of RIRD on an adult participant. The results showed that motor RIRD was effective in reducing the vocal stereotypy, that random talking may be an establishing operation for vocal stereotypy, and that levels of appropriate vocalizations, while initially suppressed for 12 sessions, did not change meaningfully throughout the study

Determination of Swap Spreads: An Empirical Analysis

Data about swap rates and impinging variables were taken from multiple sources and examined using regression analysis. Results show that the identified variables, including corporate default spreads, Treasury rates, Treasury yield curve, interest rate volatility, and eurodollar rates explain changes in interest rate swap spreads

Propulsion simulation for magnetically suspended wind tunnel models

The feasibility of simulating propulsion-induced aerodynamic effects on scaled aircraft models in wind tunnels employing Magnetic Suspension and Balance Systems. The investigation concerned itself with techniques of generating exhaust jets of appropriate characteristics. The objectives were to: (1) define thrust and mass flow requirements of jets; (2) evaluate techniques for generating propulsive gas within volume limitations imposed by magnetically-suspended models; (3) conduct simple diagnostic experiments for techniques involving new concepts; and (4) recommend experiments for demonstration of propulsion simulation techniques. Various techniques of generating exhaust jets of appropriate characteristics were evaluated on scaled aircraft models in wind tunnels with MSBS. Four concepts of remotely-operated propulsion simulators were examined. Three conceptual designs involving innovative adaptation of convenient technologies (compressed gas cylinders, liquid, and solid propellants) were developed. The fourth innovative concept, namely, the laser-assisted thruster, which can potentially simulate both inlet and exhaust flows, was found to require very high power levels for small thrust levels

Regulation of NF-κB by PML and PML-RARα

Promyelocytic Leukemia (PML) is a nuclear protein that forms sub-nuclear structures termed nuclear bodies associated with transcriptionally active genomic regions. PML is a tumour suppressor and regulator of cell differentiation. We demonstrate that PML promotes TNFα-induced transcriptional responses by promoting NF-κB activity. TNFα-treated PML−/− cells show normal IκBα degradation and NF-κB nuclear translocation but significantly reduced NF-κB DNA binding and phosphorylation of NF-κB p65. We also demonstrate that the PML retinoic acid receptor-α (PML-RARα) oncofusion protein, which causes acute promyelocytic leukemia, inhibits TNFα induced gene expression and phosphorylation of NF-κB. This study establishes PML as an important regulator of NF-κB and demonstrates that PML-RARα dysregulates NF-κB

Opportunistic Source Coding for Data Gathering in Wireless Sensor Networks

We propose a jointly opportunistic source coding and opportunistic routing (OSCOR) protocol for correlated data gathering in wireless sensor networks. OSCOR improves data gathering efficiency by exploiting opportunistic data compression and cooperative diversity associated with wireless broadcast advantage. The design of OSCOR involves several challenging issues across different network protocol layers. At the MAC layer, sensor nodes need to coordinate wireless transmission and packet forwarding to exploit multiuser diversity in packet reception. At the network layer, in order to achieve high diversity and compression gains, routing must be based on a metric that is dependent on not only link-quality but also compression opportunities. At the application layer, sensor nodes need a distributed source coding algorithm that has low coordination overhead and does not require the source distributions to be known. OSCOR provides practical solutions to these challenges incorporating a slightly modified 802.11 MAC, a distributed source coding scheme based on network coding and Lempel-Ziv coding, and a node compression ratio dependent metric combined with a modified Dijkstra's algorithm for path selection. We evaluate the performance of OSCOR through simulations, and show that OSCOR can potentially reduce power consumption by over 30% compared with an existing greedy scheme, routing driven compression, in a 4 x 4 grid network

A multi-centre analysis of radiotherapy beam output measurement

Background and Purpose Radiotherapy requires tight control of the delivered dose. This should include the variation in beam output as this may directly affect treatment outcomes. This work provides results from a multi-centre analysis of routine beam output measurements. Materials and Methods A request for 6MV beam output data was submitted to all radiotherapy centres in the UK, covering the period January 2015 – July 2015. An analysis of the received data was performed, grouping the data by manufacturer, machine age, and recording method to quantify any observed differences. Trends in beam output drift over time were assessed as well as inter-centre variability. Annual trends were calculated by linear extrapolation of the fitted data. Results Data was received from 204 treatment machines across 52 centres. Results were normally distributed with mean of 0.0% (percentage deviation from initial calibration) and a 0.8% standard deviation, with 98.1% of results within ±2%. There were eight centres relying solely on paper records. Annual trends varied greatly between machines with a mean drift of +0.9%/year with 95th percentiles of +5.1%/year and -2.2%/year. For the machines of known age 25% were over ten years old, however there was no significant differences observed with machine age. Conclusions Machine beam output measurements were largely within ±2% of 1.00cGy/MU. Clear trends in measured output over time were seen, with some machines having large drifts which would result in additional burden to maintain within acceptable tolerances. This work may act as a baseline for future comparison of beam output measurements.</p

Prospects for photon blockade in four level systems in the N configuration with more than one atom

We show that for appropriate choices of parameters it is possible to achieve photon blockade in idealised one, two and three atom systems. We also include realistic parameter ranges for rubidium as the atomic species. Our results circumvent the doubts cast by recent discussion in the literature (Grangier et al Phys. Rev Lett. 81, 2833 (1998), Imamoglu et al Phys. Rev. Lett. 81, 2836 (1998)) on the possibility of photon blockade in multi-atom systems.Comment: 8 page, revtex, 7 figures, gif. Submitted to Journal of Optics B: Quantum and Semiclassical Optic