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Apr
18
awarded  Nice Question
Feb
6
awarded  Notable Question
Dec
1
answered Why Central Bank carry out Qe when they can directly force banks to lower down the interest rate?
Nov
25
answered How to check that an interest rate curve is arbitrage free
Sep
19
comment Will rolling-down-yield-curve bond strategy work if interest rates remain unchanged?
What are your costs of funding?
Sep
4
answered Why the negative sign in modified duration relationship
Sep
4
comment What is this ratio: expected returns on stock divided by risk free rate?
Is this useful, particularly in a world of interest rates around par (0)?
Aug
30
awarded  Yearling
Feb
24
revised What is the difference between a book value and a market value?
added 7 characters in body
Feb
18
answered Cash flow diagram, interest rate inflow series
Feb
15
answered Deposit vs. LIBOR rates? (Bloomberg/SuperDerivatives)
Jan
26
answered Is it possible that some types of financial systems can resonate?
Jan
15
answered How can we write swap as a chain of FRA's
Nov
24
answered Modified or Macauley Duration in python
Nov
20
comment Basic question on LIBOR-OIS swap
Well, current USD overnight expectation hits 2% at around the 3y point, so maybe in 2017?
Nov
20
comment Replicate by Arbitrage price of a forward
I think for point 4, you mean vs 1MLibor+S? And the spread is somewhere near 1%.
Nov
20
answered Total return index for interest rates (EURIBOR 3M)
Nov
19
answered Curve Euribor - Euribor 3M
Nov
5
answered How trading in currency pair works, underlying techniques and mechanisms
Nov
4
comment how to calculate a cross-currency swap in basis pt?
What is the collateralisation of the CNH leg? CNH or USD? And is that cash, accruing at FedFunds rate?