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314
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location United Kingdom
age 31
visits member for 2 years, 7 months
seen 14 mins ago

Quant/developer for a trader pricing software house (we make the screens of numbers), primarily Money Markets and Foreign Exchange instruments.


29m
comment Discounting based on instrument type
@DonShanil: No problem, is there anything there that isn't clear?
1d
answered Discounting based on instrument type
Apr
10
awarded  Custodian
Apr
10
reviewed Reject suggested edit on Are e-mini markets manipulated?
Apr
10
revised how to derive yield curve from interest rate swap?
added 1 characters in body
Apr
10
awarded  Citizen Patrol
Mar
27
answered How often do banks update forward points?
Mar
7
answered Wiener process proof
Feb
27
comment what was the quant role in the 2008 crash?
lexicon.ft.com/term?term=rehypothecation - it is a pretty standard term in the markets. icmacentre.wordpress.com/2013/12/14/…
Feb
25
answered what was the quant role in the 2008 crash?
Feb
25
comment swaps valuation
What market data do you have access to? Ideal list: FedFund rates, Annual vs 3M Libor IRS or Treasuries and spreads, 3m/OIS basis swaps, 3m futures rates. Alternatively, for something very quick, just the 10y market IRS and 3m/OIS basis. All depends on the data.
Feb
17
comment Why are short expiries associated with more pronounced volatility skews?
Are you looking at any class of options in particular?
Feb
13
revised Reasoning for Bloomberg's short rate volatilty calculation
added 619 characters in body
Feb
11
comment Reasoning for Bloomberg's short rate volatilty calculation
It's too much for their customer service people; producing the document that I got that formula from is all they can do.
Feb
11
asked Reasoning for Bloomberg's short rate volatilty calculation
Jan
30
comment Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
+1 for mentioning Markov
Jan
29
comment Which day count conventions are there and where do they apply?
Fincad's list: fincad.com/support/developerfunc/mathref/Daycount.htm
Jan
29
answered Are proof-of-work systems used by exchanges?
Jan
29
comment Which day count conventions are there and where do they apply?
If you have all the ones in the OpenGamma doc, then you're probably there regarding overviews. You can't catch them all, so you're on a trail of diminishing returns now.
Jan
28
answered Which day count conventions are there and where do they apply?