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.


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?
Jan
8
awarded  Popular Question
Jan
3
comment Smoothing Term Curve
Avoid high order polynomials, they can be unstable and are quite likely to give you a lot of overshoot. Splines are piecewise to reduce this risk.
Jan
3
comment How to reproject rates risk on a subset of tenors
Can you give us a specific example? 'Rates' is quite a wide area, you could mean all sorts of instruments...
Dec
14
awarded  Popular Question
Nov
22
comment Accrued Interest in CVA DVA
Are you saying you want to do this with a single curve? My answer regards dual-curve pricing.
Nov
22
answered Why is the discount function non increasing if pure cash holdings are feasible?
Nov
22
answered Accrued Interest in CVA DVA
Nov
22
comment Question about weighted midpoint formula
I would add that the best bid/offer doesn't reflect the depth of the market. If the size is all on the bid, then the small best ask size is likely masking a larger size at a higher price. Without that, the mid price would be higher, so the 2nd would be a better bet. So the depth of the book makes all the difference here.
Aug
30
awarded  Yearling
Aug
5
comment Duration of a floating rate note
Is this for a 'standard' FRN duration, or have you got a separate discounting curve, or...?
Aug
5
revised Modified Duration of Overnight Index Swaps
added 17 characters in body
Aug
2
answered Modified Duration of Overnight Index Swaps
Jul
19
awarded  Critic
Jul
19
revised 30360 Daycount Count Convention to find NPV for Bonds
added 27 characters in body
Jul
19
answered 30360 Daycount Count Convention to find NPV for Bonds
Jul
18
comment Convexity adjustment
@JoshuaUlrich: Since convexity adjustments are somewhat soup du jour, I've done this for him/her.
Jul
18
revised Convexity adjustment
Making a question a question
Jul
16
comment Convexity adjustment
I guess the question is "why is the standard convexity adjustment wrong according to current market rates?"