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415
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location United Kingdom
age 32
visits member for 3 years, 2 months
seen Nov 20 at 13:56

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


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?
Apr
28
answered Is this an inconsistency between Swap and LIBOR?
Apr
17
answered Sampling problem in portfolio optimization
Apr
17
comment Discounting based on instrument type
@DonShanil: No problem, is there anything there that isn't clear?
Apr
15
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.