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Page 253: The fund became so eager to do so. Dunbar, Inventing Money, 178. Page 254: Precisely because of its newfound role. Ibid., 181. Page 254: It has been estimated that for every. Ibid., 212. Page 254: In all, LTCM s equity index volatility. Ibid., 224. Page 255: Armed with a computer presentation, core LTCM. Ibid., 235. Page 257: At least one. Michael Lewis, The Memoir of a Wall Street Winner and Squash Champion, New York Times, March 23. 1997.
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this sequence differentiates the behaviors of these two versions. But this SRsequence is a valid, infeasible SR-sequence of boundedBuffer1 that cannot be exercised when nondeterministic testing is applied to boundedBuffer1 in line (3). Example 2 Assume that the program under test is boundedBuffer2, which correctly allows at most two consecutive deposit operations. A possible mutant of this program is boundedBuffer3 , representing the mutation shown in Listing 7.7. Mutant boundedBuffer3 is distinguished by an SR-sequence that exercises three consecutive deposits. But this SR-sequence is an invalid, infeasible SYN-sequence of boundedBuffer2 that cannot be exercised when nondeterministic testing is applied to boundedBuffer2 in line (3). These examples suggest that upon reaching a steady mutation score, we should select IN SYN test cases and apply deterministic testing (DT) to CP in line (3) in order to distinguish more mutants. As Examples 1 and 2 showed, the SYNsequences selected for deterministic testing may need to be infeasible for CP. Also, both valid and invalid SYN-sequences should be selected. A phase two test procedure using selected IN SYN test cases in line (3) is shown in Fig. 7.12. We now describe the results of applying deterministic mutation testing to the correct version of the bounded buffer program, denoted as boundedBuffer2. The boundedBuffer thread was mutated manually using the mutation operators of the Mothra mutation system [King and Offutt 1991]. (Statements that involved accesses to the buffer or to the buffer indices in and out were not mutated.) Since Mothra was developed for Fortran 77, a few of the mutations were not applicable or they needed to be modi ed slightly for our program. For example, some of the mutations resulted in errors that were caught by the compiler. The result was a set of 95 mutants. Since 14 of the mutations resulted in mutants that were equivalent to boundedBuffer2, this left 81 live mutants. The DMT testing procedures in Figs. 7.11 and 7.12 were applied to boundedBuffer2 and the 81 mutant programs: In phase one we used nondeterministic testing to generate SR-sequences of boundedBuffer2. Random delays were inserted into boundedBuffer2 to increase the chances of exercising different SR-sequences during nondeterministic testing. The mutation score leveled off at 71%. At this point, all four valid and feasible sequences of deposit (D) and withdraw (W) events had been exercised:
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on a different aspect of the process or on a different asset class. To better illustrate each of the formulas and concepts detailed throughout the book, I created a ctitious investment rm, CAM Asset Management, and use the data from CAM s underlying portfolio to illustrate how to perform each calculation and, more importantly, how to evaluate the results. Each formula and analytical technique discussed in the book is broken down and explained in great detail. CAM Asset Management is a ctitious investment rm that is based on a composite of investment rms that I have analyzed over the years. The investment team at CAM is also ctitious. My ultimate goal in writing this book is to provide a practical, real-life method of analyzing investment managers not to create a purely academic treatise. As a result, the style and tone that I employed when writing this book straddle the fence between academic and conversational. Each chapter begins by de ning all the relevant issues, concepts, and formulas. As the chapter progresses, each formula, concept, and analytical technique is identi ed and explained in detail. The organization of the book is also by design. The book s rst part deals with all the preliminary (background) work that needs to be done before we can actually begin to analyze an investment manager. The second part focuses on traditional asset classes, such as equity and xed-income investment managers. The nal part focuses on an alternative investment product: hedge funds.
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Introducing a New Level of Abstraction
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