1,452 reputation
415
bio website
location United Kingdom
age 32
visits member for 3 years, 2 months
seen 2 days ago

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


2d
comment Basic question on LIBOR-OIS swap
Well, current USD overnight expectation hits 2% at around the 3y point, so maybe in 2017?
2d
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%.
2d
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?
Oct
31
revised Factoring risk premium in to Forward Rate calculation
edited tags; edited title
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.