Single Swap Research Articles

Chosen plaintext attack on JPEG image encryption with adaptive key and run consistency

A JPEG image encryption with the adaptive key and run consistency of MCUs is proposed. The chosen-plaintext attack (CPA) is given here on this encryption scheme. First, the adaptive key can be reproduced from the encrypted image, so that the plaintext images with the same adaptive key can be constructed. Second, the existence of run consistency of MCUs (RCM) between the original image and the encrypted image facilitates rapid estimation. In addition, the single swap for the runs of MCUs with RCM is designed for more accurate estimation. Detailed cryptanalytic results suggest that this encryption scheme can only be used to realize perceptual encryption but not to provide content protection for digital images. Furthermore, applications of the CPA to break other encryption schemes with RCM are presented.

The visible hand: benchmarks, regulation, and liquidity

According to recent theoretical work, a more transparent and precise benchmark assessment should positively impact liquidity in the underlying market. We exploit a benchmark regime change in the $289 trillion interest rate swaps market to test this prediction. Utilizing proprietary electronic order book data, we find improved liquidity effects in the USD swaps market following the transition to the regulated ICE Swap Rate. Regulations that improve the methodology and oversight of benchmarks can, therefore, impact markets positively. Conservative estimates of direct savings in a single swap tenor on one trading platform are in the region of $4 million - $7 million.

Robustness among multiwinner voting rules

We investigate how robust the results of committee elections are with respect to small changes in the input preference orders, depending on the voting rules used. We find that for typical rules the effect of making a single swap of adjacent candidates in a single preference order is either that (1) at most one committee member might be replaced, or (2) it is possible that the whole committee will be replaced. We also show that the problem of computing the smallest number of swaps that lead to changing the election outcome is typically NP-hard, but there are natural FPT algorithms. Finally, for a number of rules we assess experimentally the average number of random swaps necessary to change the election result.

Chikungunya virus resistant to the antiviral favipiravir is severely attenuated in mosquitoes

It is currently unclear whether antiviral drug-resistant arboviruses can be transmitted by their mosquito vectors. We showed previously that the dissemination and the transmission of a chikungunya virus (CHIKV) resistant to the antiviral favipiravir was markedly decreased as compared to WT (Delang et al, mSphere 2018). The attenuated phenotype of this resistant virus was confirmed in Aag2 and C6/36 mosquito cells. Here, we aimed to study the mechanism of the attenuated phenotype in more detail. First, replication kinetics studies at 32°C for both Vero and mosquito cells confirmed that the attenuated fitness in mosquito cells is associated with the cell line and not with temperature. A passaging experiment of WT CHIKV on Vero cells in the absence of favipiravir showed that the observed attenuation of the resistant CHIKV was not due to passaging on Vero cells during the resistance selection. To identify the molecular mechanism of the attenuated phenotype, the genes encoding for the non-structural proteins (nsP) of the favipiravirres CHIKV were swapped into a WT CHIKV backbone. The replication fitness of these nsP2, nsP3 or nsP4 single swap variants did not differ significantly from the fitness of WT CHIKV in Vero and C6/36 cells, indicating that a combination of mutations in multiple non-structural proteins is responsible for the attenuated phenotype. Double nsP swap variants are therefore constructed and these will provide additional information on the molecular mechanism of the attenuation. Together, our results may provide interesting insights in the mosquito tropism of CHIKV.

The Power of Deferral: Maintaining a Constant-Competitive Steiner Tree Online

In the online Steiner tree problem, a sequence of points is revealed one-by-one: when a point arrives, we only have time to add a single edge connecting this point to the previous ones, and we want to minimize the total length of edges added. Here, a tight bound has been known for two decades: the greedy algorithm maintains a tree whose cost is $O(\log n)$ times the Steiner tree cost, and this is the best possible. But suppose, in addition to the new edge we add, we have time to change a single edge from the previous set of edges: can we do much better? Can we, e.g., maintain a tree that is constant-competitive? We answer this question in the affirmative. We give a primal-dual algorithm that makes only a single swap per step (in addition to adding the edge connecting the new point to the previous ones), and such that the tree's cost is only a constant times the optimal cost. Our dual-based analysis is quite different from previous primal-only analyses. In particular, we give a correspondence between radii...

Portfolio Level FVA Under Perfect Collateralization and Re-Hypothecation

This thesis concentrates on FVA computation for interest rate swaps under perfect collateralization and re-hypothecation. It also analyses the effect of FVA computation in a portfolio level. With a Hull-White set-up for interest rate, we are able to compute FVA for single swap and swap portfolios. It shows that the funding cost of transactions can be partially or entirely reduced in that sense.

The max–min ant system and tabu search for pressurized water reactor loading pattern design

An automatic loading pattern (LP) design tool for a pressurized water reactor is developed. The design procedure consists of two steps: first, a LP is generated using max–min ant system (MMAS) and then tabu search (TS) is adopted to search the satisfactory LP. The MMAS is previously developed and the TS process is newly-developed. The heuristic rules are implemented to generate the candidate LP in TS process. The heuristic rules are comprised of two kinds of action, i.e., a single swap in the location of two fuel assemblies and rotation of fuel assembly. Since developed TS process is a local search algorithm, it is efficient for the minor change of LP. It means that a proper initial LP should be provided by the first step, i.e., by MMAS. The design requirements such as hot channel factor, the hot zero power moderator temperature coefficient, and cycle length are formulated in the objective function. The results show that the developed tool can obtain the satisfactory LP and dramatically reduce the computation time compared with previous tool using ant system alone.

NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES

In this work, we present some numerical procedures for a wrong way risk model that can be used for credit value adjustment (CVA) calculations. We look at a model that uses a multi-factor Hull–White model for interest rates and a single-factor lognormal Black–Karasinski default intensity model for counterparty credit, where the default intensity driver is correlated with all interest rate drivers. We describe how a trinomial tree-based approach for implementing single factor short rate models by Hull and White (1994) can be modified and used to calibrate the intensity model to credit default swaps (CDSs) in the presence of correlation. We also provide approximate pricing methods for CDS options and single swap contingent CDS contracts. The latter methods could also be used for model calibration purposes subject to data availability.

Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. It is based on a thin-out procedure applied to fixed payment streams, which reduces a very frequent stream of payments to a much less frequent one. The procedure requires careful handling of the path-dependence that arises from the floating legs of the swaps. We compute the exposure and CVA for a large portfolio of fixed-for-floating swaps, and find that our approximation reduces the computation time for the portfolio to that of a single swap, with a roughly annual schedule. Moreover, the approximation maintains a particularly high accuracy. Our technique is entirely model independent and can be applied to various instruments such as FX-forwards, cross-currency swaps etc.

A Distributed Algorithm for Finding All Best Swap Edges of a Minimum-Diameter Spanning Tree

Communication in networks suffers if a link fails. When the links are edges of a tree that has been chosen from an underlying graph of all possible links, a broken link even disconnects the network. Most often, the link is restored rapidly. A good policy to deal with this sort of transient link failures is swap rerouting, where the temporarily broken link is replaced by a single swap link from the underlying graph. A rapid replacement of a broken link by a swap link is only possible if all swap links have been precomputed. The selection of high-quality swap links is essential; it must follow the same objective as the originally chosen communication subnetwork. We are interested in a minimum-diameter tree in a graph with edge weights (so as to minimize the maximum travel time of messages). Hence, each swap link must minimize (among all possible swaps) the diameter of the tree that results from swapping. We propose a distributed algorithm that efficiently computes all of these swap links, and we explain how to route messages across swap edges with a compact routing scheme. Finally, we consider the computation of swap edges in an arbitrary spanning tree, where swap edges are chosen to minimize the time required to adapt routing in case of a failure, and give efficient distributed algorithms for two variants of this problem.

Generalized Swap Market Model and the Valuation of Interest Rate Derivatives

In this paper we will establish a generalized Swap Market Model (GSMM) by unifying the stochastic process of swap rates with constant tenors under a single swap measure. GSMM is a natural extension of Libor Market Model (LMM) for swap rates, and LMM can be considered as a special case of GSMM since Libors is a special swap rate with the constant tenor of one period. GSMM can be applied for pricing and hedging any interest rate derivatives, and is suited especially for CMS and swap rate products. There are a number advantages of GSMM: (1) GSMM models swap rates directly, and therefore achieves the best match between products and model. (2) GSMM can be calibrated to the term structure of swaption volatilities easily and quickly. (3) There is no translation of risk sensitivities with respect to swap rates within GSMM. In contrast, risk sensitives such as Vega for swap rates can not be derived directly, and must be translated in an inefficient, inaccurate and nontransparent manner in the most existing interest rate models. (4) All smile modelings for LMM can be taken over for GSMM since GSMM and LMM share an almost identical mathematical structure. (5) GSMM avoids the inconsistency of the market conventions in cap and swaptions markets. Accompanied by these favorite features, GSMM should be a promising interest rate model for pricing and hedging most traded swap rate structures in financial market.

Single photon SWAP gate using electromagnetically induced transparency

We describe a scheme that performs a SWAP gate between two photons at different wavelengths with near 100% fidelity. The essential idea is the preparation of a near-maximal atomic coherence using electromagnetically induced transparency.

A General Model for Hedging Swaps with Eurodollar Futures

A hedging model based on a cubic spline interpolation methodology model automatically reflects timing differences between futures maturities and swap payment dates, actual maturities of the three-month Eurodollar deposits that underlie the futures contract, and the convexity bias defining the difference between Eurodollar futures and forward rates. The model allows futures with overlapping maturities to be used rather than limiting hedging to contracts that are part of the regular March, June, September, and December maturity cycle. Tests of the model for calendar year 2001 for both a single swap and a swap book show it to be effective in hedging the interest rate risk of LIBOR-based swaps.

Closed-form Expressions for the Beta of a Weather Derivative Portfolio

We derive closed-form expressions for the regression coefficients between uncapped weather swaps and options and a single weather swap or weather index. The regression coefficient between a portfolio of weather swaps and options and a single weather swap is then a simple extension. This allows fast and precise calculation of the variance minimising swap hedge for a portfolio of weather derivatives.

Unpredictable Wiring Diagrams

Making predictions of the behavior of genetic networks may be even more complicatd than previously thought. Guet et al. (see the Perspective by Wigler and Mishra) created libraries of synthetic genetic networks in Escherichia coli . LacI, TetR, and lambda CI, along with five promoters regulated by these proteins, were linked together in various orders on plasmids. Two chemical inducers that change the binding state of LacI and TetR were used as inputs, and a fluorescent reporter of activity was used as the output. There were surprises even within such well-characterized components. A single swap of the connections between promoter and DNA-binding protein could dramatically change the behavior of the network. C. C. Guet, M. B. Elowitz, W. Hsing, S. Leibler, Combinational synthesis of genetic networks. Science 296 , 1466-1470 (2002). [Abstract] [Full Text] M. Wigler, B. Mishra, Wild by nature. Science 296 , 1407-1408 (2002). [Summary] [Full Text]

An aspartate residue at the extracellular boundary of TMII and an arginine residue in TMVII of the gastrin-releasing peptide receptor interact to facilitate heterotrimeric G protein coupling.

The mammalian bombesin receptor subfamily of G protein-coupled receptors currently consists of the gastrin-releasing peptide receptor (GRP-R), neuromedin B receptor, and bombesin receptor subtype 3. All three receptors contain a conserved aspartate residue (D98) at the extracellular boundary of transmembrane domain II and a conserved arginine residue (R309) near the extracellular boundary of transmembrane domain VII. To evaluate the functional role of these residues, site-directed GRP-R mutants were expressed in fibroblasts and assayed for their ability to both bind agonist and catalyze exchange of guanine nucleotides. Alanine substitution at GRP-R position 98 or 309 reduced agonist binding affinity by 24- and 56-fold, respectively, compared to wild-type GRP-R. Single swap GRP-R mutations either resulted in no receptor expression in the membrane (D98R) or the protein was not able to bind agonist (R309D). In contrast, the double swap mutation (D98R/R309D) had high-affinity agonist binding, reduced from wild-type GRP-R by only 6-fold. In situ reconstitution of urea-extracted membranes expressing either wild-type or mutant (D98A or R309A) GRP-R with G(q) indicated that alanine substitution greatly reduced G protein catalytic exchange compared to wild-type GRP-R. The D98R/R309D GRP-R had both a higher intrinsic basal activity and a higher overall catalytic exchange activity compared to wild-type; however, the wild-type GRP-R produced a larger agonist-stimulated response relative to the double swap mutant. Taken together, these data show that GRP-R residues D98 and R309 are critical for efficient coupling of GRP-R to G(q). Furthermore, our findings are consistent with a salt bridge interaction between these two polar and oppositely charged amino acids that maintains the proper receptor conformation necessary to interact with G proteins.

Simple Local Search Problems that are Hard to Solve

Many algorithms for NP-hard optimization problems find solutions that are locally optimal, in the sense that the solutions cannot be improved by a polynomially computable perturbation. Very little is known about the complexity of finding locally optimal solutions, either by local search algorithms or using other indirect methods. Johnson, Papadimitriou, and Yannakakis [J. Comput. System Sci., 37 (1988), pp. 79–100] studied this question by defining a complexity class PLS that captures local search problems. It was proved that finding a partition of a graph that is locally optimal into equal parts with respect to the acclaimed Kernighan-Lin algorithm is PLS-complete. It is shown here that several natural, simple local search problems are PLS-complete, and thus just as hard. Two examples are: finding a partition that cannot be improved by a single swap of two vertices, and finding a stable configuration for an undirected connectionist network. When edges or other objects are unweighted, then a local optimum can always be found in polynomial time. It is shown that the unweighted versions of the local search problems studied in this paper are P-complete.