network profile
| bio | website | |
|---|---|---|
| location | United Kingdom | |
| age | 30 | |
| visits | member for | 1 year, 9 months |
| seen | May 17 at 8:07 | |
| stats | profile views | 58 |
Quant/developer for a trader pricing software house (we make the screens of numbers), primarily Money Markets and Foreign Exchange instruments.
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May 17 |
comment |
Overnight Index Swaps Have you seen this? Which notional was being used for cashflow calculations if they were different? |
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May 8 |
answered | Best way to store hourly/daily options data for research purposes |
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Apr 30 |
comment |
Bond curve extrapolation Have you got anything out to 50y, like OIS or IRS? Market data for those does exist fairly broadly, but if you don't have them that won't help. |
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Apr 26 |
answered | Convexity adjustment for a forward swap rate |
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Apr 26 |
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Convexity adjustment for a forward swap rate A forward starting swap needs adjustment, yes, but in discounting terms rather than convexity. IRSs are linear AFAIK; if expected Libors rose 1bp, that would raise the par fixed rate 1bp. I'm assuming no optionality in the swap. |
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Mar 4 |
answered | compute FX forward from broker's data |
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Mar 4 |
comment |
How to calculate the Transfer Pricing from the FTP curve? Still need more detail. 2y is the length of the swap, but not the frequency of coupon payments (annual is usual for USD), nor the day basis (actual/360 is usual for USD). Is that what you mean? Is this a vanilla market swap? |
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Mar 1 |
answered | Fair swap rate of an amortizing swap |
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Mar 1 |
revised |
How to hedge the fixed leg of a swap contract? added 644 characters in body |
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Mar 1 |
answered | How to hedge the fixed leg of a swap contract? |
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Mar 1 |
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How to hedge the fixed leg of a swap contract? @bonCodigo: swap futures are futures contracts which deliver swap contracts, and are traded on exchanges. This means they have lower margin/risk requirements than trading the swaps directly, and may be more liquid, but the con is that they are less flexible. In terms of bonds, you'd have to be trying to replicate cash flows, and you'd remain exposed to floating rate risk on the swap's fixing index. |
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Mar 1 |
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How to identify technical analysis chart patterns algorithmically? Presumably this depends on the sampling frequency/resolution? |
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Mar 1 |
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How to calculate the Transfer Pricing from the FTP curve? How is the rate of 3.5% being quoted? As a simple interest rate, or as an annualized rate, and with what payment frequency? You cannot calculate it without knowing those details; 3.5% means nothing by itself. |
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Mar 1 |
answered | how to derive yield curve from interest rate swap? |
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Feb 22 |
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Is there an Australian Interbank Rate? Yes, it could be AUD Libor or BBSW. I would guess BBSW unless you have reason to think differently, particularly for an Australian bank. Note that having a fixed leg in either currency is not usual as far as I know. Both legs float, each on the appropriate index, and the basis is added to usually the lower-ranking currency, in this case SGD. If you have a question about that, ask it as a new question and we'll try to answer! |
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Feb 22 |
revised |
Is there an Australian Interbank Rate? added 299 characters in body |
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Feb 21 |
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how to represent financial data as a spatial process Can you give an example? emsfeld is considering networks relating quantities, but I thought at first you meant viewing a stochastic process as a random walk. So an example would give us some handle on the question. |
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Feb 21 |
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Why FX Vanilla Options are quoted in volatility Fascinating insight into options trading. Presumably if you calculate a price using your favoured model, you could work out what implied vol was needed in the common market's model to get you the same price and quote that? |
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Feb 19 |
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Is there an Australian Interbank Rate? I meant I was being facetious! I saw that comment, so I've updated it with OIS too. I would add Repo ON indices, but they're not quite my area and I'd have to basically research it all. |
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Feb 19 |
revised |
Is there an Australian Interbank Rate? added 881 characters in body |
