1,442 reputation
415
bio website
location United Kingdom
age 32
visits member for 3 years, 1 month
seen Oct 17 at 14:06

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


Oct
17
answered What is meant by “position at a given time” in the context of a series of forex trades?
Oct
10
comment Bond Interest Rate Swap Growth Rate
@ShaoZhang: I see you have removed the question. I would ask you or the moderators to return it as others will have the same question about reconstructing rates from bonds as it is classic finance theory. To that end, I think it would be useful for them to see both the explanation of the textbook theory and some pointers on why that is no longer the case. Without the question for context, it fails to serve anyone else who comes later, which is ultimately the purpose of Q&A sites like this.
Oct
9
comment Bond Interest Rate Swap Growth Rate
I've added the textbook answer showing the bootstrapping. Bootstrapping is generally the process of calculating discount factors along the curve, usually by calculating what curve shape is needed for each section (e.g. 2y-3y) given the available data (e.g. 3y IRS or bond) and already calculated factors (e.g. from ZCB or forward rates).
Oct
9
revised Bond Interest Rate Swap Growth Rate
added 1303 characters in body
Oct
9
answered Bond Interest Rate Swap Growth Rate
Oct
3
comment Looking for Research Paper on Creation of Currency Baskets
@MattWolf: Sorry, that's exactly my point, that there's only 1 link even to the URL, so it's very unlikely to turn up in general searches. I was intrigued as to whether a different search or a different approach would succeed instead, and the best I could come up with was that direct search on SSRN. I might start future searches with SSRN, because evidently the more recent papers are not making it into Google's index. This paper now has a whole Q.SE post pointing at it, so it should appear on Google's radar...
Oct
2
comment Looking for Research Paper on Creation of Currency Baskets
@MattWolf: Googling for the URL reveals 1 link to it, searching for the title reveals a few in Korean. In fact only by searching for '"principal component analysis" currency' on SSRN does it come up.
Sep
24
awarded  Autobiographer
Aug
30
awarded  Yearling
Aug
1
revised Comparison of multicurve calibration methods
deleted 1 character in body
Aug
1
answered Comparison of multicurve calibration methods
Jul
28
comment CVA number used by Finance Team
This is a bit vague - can you give us an actual example? 'Finance Team' and CVA are fairly broad, so a number of things could qualify here.
Jul
28
comment How to deal with extreme cases in normal random numbers generation?
While that is theoretically true, a real RNG in code can only return a discrete set of values, so all values removed represent a range. So you can remove a few problematic values, but it will leave (small) holes in your resulting distribution.
Jul
7
answered Transaction Costs for Currency Pairs
Jun
6
comment IMM Swaps vs. Forward Swaps
Not usually; if you have a -ibor forecasting curve, you should have forecasts for the -ibor fixings on the roll dates of the swap, which you can use to calculate the fair value of the leg. Unless you are trying to include risk adjustments (CVA, FVA etc), you shouldn't need anything like that.
Jun
5
answered Why shrink the covariance matrix?
Jun
4
answered IMM Swaps vs. Forward Swaps
May
27
comment Why are multiple custom curves (swap) built for one desk?
DFC is Discount Factor Curve, where you represent the term structure of rates as a set of discount factors. Classically, you would do this so that you can calculate say a 1m forward rate (even though the inputs were 3m rates) and so on. Now, however, you only care about what the fixing will be, so you don't need to bother with a DFC. The discounting is done using the OIS curve, so the bootstrapping is far simpler than a classical curve.
May
23
comment Why are multiple custom curves (swap) built for one desk?
Yes, unless you have more context, I would expect a forecasting curve to be the same as a forward rate curve. The difference is that you don't have to make it into a DFC any more, and that you may only use 3m-fixing products together or 1m-fixing products. Once upon a time it was Cash, Futures, Swaps; these days if the swaps are 6m, those are 3 different curves.
May
23
answered Why are multiple custom curves (swap) built for one desk?