1,472 reputation
415
bio website
location United Kingdom
age 32
visits member for 3 years, 3 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.


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?
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 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?