Collateral Procedures Research Articles

Funding Adjustments in Equity Linear Products

Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can be reliably assessed. In particular, when dealing with linear products, we need a precise evaluation of such contributions since bid-ask spreads may be very tight. In this paper we start from a general pricing framework inclusive of valuation adjustments to derive simple evaluation formulae for the relevant case of total return equity swaps when stock lending and borrowing is adopted as hedging strategy.

(276) - Does opioid-induced nausea and vomiting (OINV) interfere with pain control?

Nausea and vomiting are distressing symptoms. Among other emetogenic medications, opioids are well-known pharmacologic causes of nausea and vomiting (i.e., OINV). Common sense suggests that OINV would interfere with pain control. Does it? What effect does OINV have on pain relief when patients are treated with a standard opioid-containing medication such as hydrocodone 7.5 mg/acetaminophen 325 mg (HC/APAP)? We had the opportunity to address this question in a randomized, double-blind, placebo-controlled trial by comparing pain reduction in patients treated with HC/APAP who developed OINV to pain reduction in patients treated with HC/APAP who did not. After unilateral first metatarsal bunionectomy with osteotomy and internal fixation without collateral procedures, adult patients were randomized under double-blind conditions to HC/APAP or placebo when they reported moderate-to-severe pain on a 0–10 numerical pain intensity rating scale. At specified intervals over the initial 48-hour post-op treatment observation period they rated the intensity of pain and nausea and documented episodes of vomiting and uses of antiemetics while taking study medication every 4–6 hours. Summed pain intensity differences were calculated over 48 hours (SPID48), in particular, to determine pain reduction in HC/APAP-treated patients with and without OINV. There were no significant clinical or demographic differences at baseline among 300 patients who were randomized to HC/APAP or placebo. OINV occurred in 45% of HC/APAP-treated patients. Mean SPID48 scores significantly differentiated HC/APAP treatment from placebo for all patients, for patients with OINV, and for patients without OINV. Mean SPID48 scores were approximately 40% lower for HC/APAP-treated patients who had OINV than for HC/APAP-treated patients who did not have OINV (P < .001). This study demonstrates that a commonly used opioid medication is significantly less effective as an analgesic for patients with OINV than patients without OINV. We conclude that OINV interferes with pain relief. Sponsored by Charleston Laboratories, Inc.

Singular majorants and minorants: enhanced design conditioning

ABSTRACTLower and upper spectral bounds are known for matrices under Loewner [Uber monotone matrixfunktionen. Math Z. 1934;38:177–216] order, as are corresponding bounds for the factor under an induced order. Least upper bounds for the latter give designs with dominating Fisher Information, with consequent gains in linear inference; see Jensen DR, Ramirez DE [Enhanced design efficiency through least upper bounds. J Stat Comput Simul. 2016;86:1798–1817]. The present study examines properties on ordering the singular values of a design matrix using majorization as in Marshall and Olkin [Inequalities: theory of majorization and its applications. New York: Academic Press; 1979]. The principal focus includes conditioning through condition numbers, variance inflation factors, and lengths and efficiencies of OLS solutions. Functions monotone under the induced order are identified; equivalence classes of designs are displayed preserving a dispersion matrix or its eigenvalues; a minimal element is characterized; as are equivalence classes of -optimal designs showing the latter not to be unique. Algorithms to achieve enhanced designs are given on modifying a single design, or on amalgamating two designs, with essential consequences in linear inference. A collateral procedure, based on mixtures of Fisher information matrices, serves effectively to ameliorate the ill effects of near collinearity. Case studies illustrate gains to be made in practice, to include a substantial improvement in the analysis of classically ill-conditioned data from the literature.

How not to do it

We have read the paper by Dr Elsayed about a life-threatening haemothorax complicating a mediastinoscopy [1]. We think many points must be discussed. First, the author states that they have closed a patient submitted to mediastinoscopy with demonstrated active (even if very mild) mediastinal bleeding associated with iatrogenic opening of the parietal pleura. This is not cautious behaviour by a thoracic surgeon. It is well known that even mild bleeding may be the cause of massive haemothorax when the negative intrapleural pressure is transmitted to other opened neighbouring compartments, such as the mediastinum. Second, when postoperative right-sided haemothorax was demonstrated by a reduction of the haemoglobin levels and chest X-ray (Fig. 2a of the cited paper [1]) they inserted – as stated – a basal chest drain without significant improvement. The chest X-ray demonstrated the presence of right-sided thoracic clotting in the upper and medial third of the chest without involvement of the basal region. Unfortunately, the patient was well-known preoperatively to have a raised right hemi-diaphragm, explained by a history of right lower lobe pneumonia with postpneumonic scarring and traction on the diaphragm. These are all indirect signs of the presence of basal pleural adhesions, confirmed by the presence on the chest X-ray of a bloody effusion without basal involvement. The basal chest drain was very hazardous in this case, with inherent risk of further damage. After a 24 h observation period, video-assisted thoracoscopic surgery was attempted, with demonstration of many pleural adhesions (obviously), so the video-assisted procedure was converted into right thoracotomy with evacuation of 1800 ml of clotted blood. Why, on the basis of the previous chest X-ray, was a limited axillary right thoracotomy not performed at the third intercostal space with easy pleural access and eventual control of bleeding at the well-exposed upper mediastinum? Third, but not last, during the procedure to control the iatrogenic bleeding secondary to mediastinal lymph nodal biopsy, the surgeons performed a mediastinal lymphadenectomy and attempted a decortication of the right inferior lobe. These procedures are debatable, because they are not directly related to the primary indication of the reintervenction and because they may significantly increase the operative risks. Moreover, the chest X-ray at discharge revealed that decortication resulted in no improvements. Our personal opinion is that an intervention of pleural access and haemostasis via the axillary route should have been attempted first without basal pleural drain insertion, and no other collateral procedures should have been carried out because the relative risks were not justified, in particular when the diagnosis of the primary disease was still unknown (lymph nodal enlargement due to sarcoidosis). The reported paper concerns a rare, life-threatening complication of mediastinoscopy that has been managed in a dangerous manner. We think that the procedures described are the perfect example of ‘how not to do it’.

A methodology for test selection

Software creation requires not only testing during the development cycle by the development staff, but also independent testing following the completion of the implementation. However in the latter case, the amount of testing that can be carried out is often limited by time and resources. At the very most, independent testing can be expected to provide 100% test coverage of the test requirements (or specifications) associated with the software element with the minimum of effort. This paper describes a methodology employing integer programming by which the amount of testing required to provide the maximum possible test coverage of the test requirements (for the given test set) is assured while at the same time minimizing the total number of tests to be included in a test suite. A collateral procedure provides recommendations on which tests might be eliminated if less than 100% test coverage of the test requirements is permitted. This latter procedure will be useful in determining the risk of not running the minimum set of tests for 100% test coverage. A third process selects from the test matrix the set of tests to be applied to the system following maintenance modification of any test requirements, i.e., to provide a submatrix for regression testing. The potential benefits for applying the integer programming technique in test data selection is also discussed.