The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Cyclic deformation of bidisperse two-dimensional foams

In-plane deformation of foams was studied experimentally by subjecting bidisperse foams to cycles of traction and compression at a prescribed rate. Each foam contained bubbles of two sizes with given area ratio and one of three initial arrangements: sorted perpendicular to the axis of deformation (iso-strain), sorted parallel to the axis of deformation (iso-stress), or randomly mixed. Image analysis was used to measure the characteristics of the foams, including the number of edges separating small from large bubbles N-sl, the perimeter (surface energy), the distribution of the number of sides of the bubbles, and the topological disorder mu(2)(N). Foams that were initially mixed were found to remain mixed after the deformation. The response of sorted foams, however, depended on the initial geometry, including the area fraction of small bubbles and the total number of bubbles. For a given experiment we found that (i) the perimeter of a sorted foam varied little; (ii) each foam tended towards a mixed state, measured through the saturation of N-sl; and (iii) the topological disorder mu(2)(N) increased up to an "equilibrium" value. The results of different experiments showed that (i) the change in disorder, Delta mu(2)(N), decreased with the area fraction of small bubbles under iso-strain, but was independent of it under iso-stress; and (ii) Delta mu(2)(N) increased with Delta N-sl under iso-strain, but was again independent of it under iso-stress. We offer explanations for these effects in terms of elementary topological processes induced by the deformations that occur at the bubble scale.

Analysis of ground reaction force and electromyographic activity of the gastrocnemius muscle during double support

O documento em anexo encontra-se na versão post-print (versão corrigida pelo editor).

Syntheses, Molecular Structures, Electrochemical Behavior, Theoretical Study, and Antitumor Activities of Organotin(IV) Complexes Containing 1-(4-Chlorophenyl)-1-cyclopentanecarboxylato Ligands

The organotin(IV) compounds [Me2Sn(L)(2)] (1), [Et(2)sn(L)(2)] (2), [(Bu2Sn)-Bu-n(L)(2)] (3), [(n)Oct(2)Sn(L)(2)] (4), [Ph2Sn(L)(2)] (5), and [PhOSnL](6) (6) have been synthesized from the reactions of 1-(4-chlorophenyl)-1-cyclopentanecarboxylic acid (HL) with the corresponding diorganotin(IV) oxide or dichloride. They were characterized by IR and multinuclear NMR spectroscopies, elemental analysis, cyclic voltammetry, and, for 2, 3, 4 and 6, single crystal X-ray diffraction analysis. While 1-5 are mononuclear diorganotin (IV) compounds, the X-ray diffraction of 6 discloses a hexameric drumlike structure with a prismatic Sn6O6 core. All these complexes undergo irreversible reductions and were screened for their in vitro antitumor activities toward HL-60, BGC-823, Bel-7402, and KB human cancer cell lines. Within the mononuclear compounds, the most active ones (3, 5) are easiest to reduce (least cathodic reduction potentials), while the least active ones (1, 4) are the most difficult to reduce. Structural rearrangements (i.e., Sn-O bond cleavages and trans-to-cis isomerization) induced by reduction, which eventually can favor the bioactivity, are disclosed by theoretical/electrochemical studies.

Trends in properties of para-substituted 3-(phenylhydrazo)pentane-2,4-diones

Trends between the Hammett's sigma(p) and related normal sigma(n)(p), inductive sigma(I), resonance sigma(R), negative sigma(-)(p) and positive sigma(+)(p) polar conjugation and Taft's sigma(o)(p) substituent constants and the N-H center dot center dot center dot O distance, delta(N-H) NMR chemical shift, oxidation potential (E-p/2(ox), measured in this study by cyclic voltammetry (CV)) and thermodynamic parameters (pK, Delta G(0), Delta H-0 and Delta S-0) of the dissociation process of unsubstituted 3-(phenylhydrazo)pentane-2,4-dione (HL1) and its para-substituted chloro (HL2), carboxy (HL3), fluoro (HL4) and nitro (HL5) derivatives were recognized. The best fits were found for sigma(p) and/or sigma(-)(p) in the cases of d(N center dot center dot center dot O), delta(N-H) and E-p/2(ox), showing the importance of resonance and conjugation effects in such properties, whereas for the above thermodynamic properties the inductive effects (sigma(I)) are dominant. HL2 exists in the hydrazo form in DMSO solution and in the solid state and contains an intramolecular H-bond with the N center dot center dot center dot O distance of 2.588(3)angstrom. It was also established that the dissociation process of HL1-5 is non-spontaneous, endothermic and entropically unfavourable, and that the increase in the inductive effect (sigma(I)) of para-substitutents (-H < -Cl < -COOH < -F < -NO2) leads to the corresponding growth of the N center dot center dot center dot O distance and decrease of the pK and of the changes of Gibbs free energy, of enthalpy and of entropy for the HL1-5 acid dissociation process. The electrochemical behaviour of HL1-5 was interpreted using theoretical calculations at the DFT/HF hybrid level, namely in terms of HOMO and LUMO compositions, and of reactivities induced by anodic and cathodic electron-transfers. Copyright (C) 2010 John Wiley & Sons, Ltd.

Steroselective synthesis of imidazolidin-4-ones from α-amino amides of the antimalarial primaquine and substituted benzaldehydes

Imidazolidin-4-ones are commonly employed as skeletal modifications in bioactive oligopeptides, either as proline surrogates or for protection of the N-terminal amino acid against aminopeptidase-catalysed hydrolysis . We have been working on the synthesis of imidazolidin-4-ones of the antimalarial primaquine , through acylation of primaquine with an α-amino acid and subsequent reaction of the resulting α-aminoamide with a ketone or aldehyde. Thus, when using racemic primaquine, an optically pure chiral α-amino acid and an aldehyde as starting materials, four imidazolidin-4-one diastereomers are to be expected (Scheme 1). However, we have recently observed that imidazolidin-4-one synthesis was stereoselective when 2-carboxybenzaldehyde (2CBA)* was used, as only two diastereomers were produced2. Computational studies have shown that the imine formed prior to ring closure had, for structures derived from 2CBA, a quasi-cyclic rigid structure2. This rigid conformation is stabilized by an intramolecular hydrogen bond involving the C=O oxygen atom of the 2-carboxyl substituent in 2CBA and the N-H group of the α-amino amide moiety2. These findings led us to postulate that the 2-carbonyl substituent in the benzaldehyde moiety was the key for the stereoselective synthesis of the imidazolidin-4-ones2.

Oxorhenium Complexes Bearing the Water-Soluble Tris(pyrazol-1-yl)methanesulfonate, 1,3,5-Triaza-7-phosphaadamantane, or Related Ligands, as Catalysts for Baeyer-Villiger Oxidation of Ketones

New rhenium(VII or III) complexes [ReO3(PTA)(2)][ReO4] (1) (PTA = 1,3,5-triaza-7-phosphaadamantane), [ReO3(mPTA)][ReO4] (2) (mPTA = N-methyl-1,3,5-triaza-7-phosphaadamantane cation), [ReO3(HMT)(2)] [ReO4] (3) (HMT = hexamethylenetetramine), [ReO3(eta(2)-Tpm)(PTA)][ReO4] (4) [Tpm = hydrotris(pyrazol-1-yl)methane, HC(pz)(3), pz = pyrazolyl), [ReO3(Hpz)(HMT)][ReO4] (5) (Hpz = pyrazole), [ReO(Tpms)(HMT)] (6) [Tpms = tris(pyrazol-1-yl)methanesulfonate, O3SC(pz)(3)(-)] and [ReCl2{N2C(O)Ph} (PTA)(3)] (7) have been prepared from the Re(VII) oxide Re2O2 (1-6) or, in the case of 7, by ligand exchange from the benzoyldiazenido complex [ReCl2(N2C-(O)Ph}(Hpz)(PPh3)(2)], and characterized by IR and NMR spectroscopies, elemental analysis and electrochemical properties. Theoretical calculations at the density functional theory (DFT) level of theory indicated that the coordination of PTA to both Re(III) and Re(VII) centers by the P atom is preferable compared to the coordination by the N atom. This is interpreted in terms of the Re-PTA bond energy and hard-soft acid-base theory. The oxo-rhenium complexes 1-6 act as selective catalysts for the Baeyer-Villiger oxidation of cyclic and linear ketones (e.g., 2-methylcyclohexanone, 2-methylcyclopentanone, cyclohexanone, cyclopentanone, cyclobutanone, and 3,3-dimethyl-2-butanone or pinacolone) to the corresponding lactones or esters, in the presence of aqueous H2O2. The effects of a variety of factors are studied toward the optimization of the process.

Solution enthalpies of 1,4-dioxane: Study of solvent effects through quantitative structure-property relationships

Solution enthalpies of 1,4-dioxane have been obtained in 15 protic and aprotic solvents at 298.15 K. Breaking the overall process through the use of Solomonov's methodology the cavity term was calculated and interaction enthalpies (Delta H-int) were determined. Main factors involved in the interaction enthalpy have been identified and quantified using a QSPR approach based on the TAKA model equation. The relevant descriptors were found to be pi* and beta, which showed, respectively, exothermic and endothermic contributions. The magnitude of pi* coefficient points toward non-specific solute-solvent interactions playing a major role in the solution process. The positive value of the beta coefficient reflects the endothermic character of the solvents' hydrogen bond acceptor (HBA) basicity contribution, indicating that solvent molecules engaged in hydrogen bonding preferentially interact with each other rather than with 1,4-dioxane. (C) 2013 Elsevier B.V. All rights reserved.

Gold electrode modified by self-assembled monolayers of thiols to determine DNA sequences hybridization

The process of immobilization of biological molecules is one of the most important steps in the construction of a biosensor. In the case of DNA, the way it exposes its bases can result in electrochemical signals to acceptable levels. The use of self-assembled monolayer that allows a connection to the gold thiol group and DNA binding to an aldehydic ligand resulted in the possibility of determining DNA hybridization. Immobilized single strand of DNA (ssDNA) from calf thymus pre-formed from alkanethiol film was formed by incubating a solution of 2-aminoethanothiol (Cys) followed by glutaraldehyde (Glu). Cyclic voltammetry (CV) was used to characterize the self-assembled monolayer on the gold electrode and, also, to study the immobilization of ssDNA probe and hybridization with the complementary sequence (target ssDNA). The ssDNA probe presents a well-defined oxidation peak at +0.158 V. When the hybridization occurs, this peak disappears which confirms the efficacy of the annealing and the DNA double helix performing without the presence of electroactive indicators. The use of SAM resulted in a stable immobilization of the ssDNA probe, enabling the hybridization detection without labels. This study represents a promising approach for molecular biosensor with sensible and reproducible results.

A new fluorescent double-cavity calix[4]arene: synthesis and complexation studies toward nitroanilines

Agência Financiadora: Fundação para a Ciência e a Tecnologia/MCTES (Portugal) - PEst-OE/EQB/UI0702/2012

Interlimb relation during the double support phase of gait: an electromyographic, mechanical and energy based analysis

The purpose of this study is to analyse the interlimb relation and the influence of mechanical energy on metabolic energy expenditure during gait. In total, 22 subjects were monitored as to electromyographic activity, ground reaction forces and VO2 consumption (metabolic power) during gait. The results demonstrate a moderate negative correlation between the activity of tibialis anterior, biceps femoris and vastus medialis of the trailing limb during the transition between midstance and double support and that of the leading limb during double support for the same muscles, and between these and gastrocnemius medialis and soleus of the trailing limb during double support. Trailing limb soleus during the transition between mid-stance and double support was positively correlated to leading limb tibialis anterior, vastus medialis and biceps femoris during double support. Also, the trailing limb centre of mass mechanical work was strongly influenced by the leading limbs, although only the mechanical power related to forward progression of both limbs was correlated to metabolic power. These findings demonstrate a consistent interlimb relation in terms of electromyographic activity and centre of mass mechanical work, being the relations occurred in the plane of forward progression the more important to gait energy expenditure.

Teacher placement report: investigation: action research project investigating methods for promoting creativity in double bass students attending a portuguese music school

The investigation which employed the action research method (qualitative analysis)was divided into four fases. In phases 1-3 the participants were six double bass students at Nossa Senhora do Cabo Music School. Pilot exercises in creativity were followed by broader and more ambitious projects. In phase 4 the techniques were tested and amplified during a summer course for twelve double bass students at Santa Cecilia College.

Assessing the behaviour of RC beams subject to significant gravity loads under cyclic loads

Gravity loads can affect a reinforced concrete structure's response to seismic actions, however, traditional procedures for testing the beam behaviour do not take this effect into consideration. An experimental campaign was carried out in order to assess the influence of the gravity load on RC beam connection to the column subjected to cyclic loading. The experiments included the imposition of a conventional quasi-static test protocol based on the imposition of a reverse cyclic displacement history and of an alternative cyclic test procedure starting from the gravity load effects. The test results are presented, compared and analysed in this paper. The imposition of a cyclic test procedure that included the gravity loads effects on the RC beam ends reproduces the demands on the beams' critical zones more realistically than the traditional procedure. The consideration of the vertical load effects in the test procedure led to an accumulation of negative (hogging) deformation. This phenomenon is sustained with the behaviour of a portal frame system under cyclic loads subject to a significant level of the vertical load, leading to the formation of unidirectional plastic hinges. In addition, the hysteretic behaviour of the RC beam ends tested was simulated numerically using the nonlinear structural analysis software - OpenSees. The beam-column model simulates the global element behaviour very well, as there is a reasonable approximation to the hysteretic loops obtained experimentally. (C) 2013 Elsevier Ltd. All rights reserved.

Numerical and experimental study of tensile strength of single and double-strap repairs

Adhesive bonding as a joining or repair method has a wide application in many industries. Repairs with bonded patches are often carried out to re-establish the stiffness at critical regions or spots of corrosion and/or fatigue cracks. Single and double-strap repairs (SS and DS, respectively) are a viable option for repairing. For the SS repairs, a patch is adhesively-bonded on one of the structure faces. SS repairs are easy to execute, but the load eccentricity leads to peel peak stresses at the overlap edges. DS repairs involve the use of two patches, one on each face of the structure. These are more efficient than SS repairs, due to the doubling of the bonding area and suppression of the transverse deflection of the adherends. Shear stresses also become more uniform as a result of smaller differential straining. The experimental and Finite Element (FE) study presented here for strength prediction and design optimization of bonded repairs includes SS and DS solutions with different values of overlap length (LO). The examined values of LO include 10, 20 and 30 mm. The failure strengths of the SS and DS repairs were compared with FE results by using the Abaqus® FE software. A Cohesive Zone Model (CZM) with a triangular shape in pure tensile and shear modes, including the mixed-mode possibility for crack growth, was used to simulate fracture of the adhesive layer. A good agreement was found between the experiments and the FE simulations on the failure modes, elastic stiffness and strength of the repairs, showing the effectiveness and applicability of the proposed FE technique in predicting strength of bonded repairs. Furthermore, some optimization principles were proposed to repair structures with adhesively-bonded patches that will allow repair designers to effectively design bonded repairs.

Buckling strength of adhesively-bonded single and double-strap repairs on carbon-epoxy structures

This work reports on an experimental and finite element method (FEM) parametric study of adhesively-bonded single and double-strap repairs on carbon-epoxy structures under buckling unrestrained compression. The influence of the overlap length and patch thickness was evaluated. This loading gains a particular significance from the additional characteristic mechanisms of structures under compression, such as fibres microbuckling, for buckling restrained structures, or global buckling of the assembly, if no transverse restriction exists. The FEM analysis is based on the use of cohesive elements including mixed-mode criteria to simulate a cohesive fracture of the adhesive layer. Trapezoidal laws in pure modes I and II were used to account for the ductility of most structural adhesives. These laws were estimated for the adhesive used from double cantilever beam (DCB) and end-notched flexure (ENF) tests, respectively, using an inverse technique. The pure mode III cohesive law was equalled to the pure mode II one. Compression failure in the laminates was predicted using a stress-based criterion. The accurate FEM predictions open a good prospect for the reduction of the extensive experimentation in the design of carbon-epoxy repairs. Design principles were also established for these repairs under buckling.