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314
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location United Kingdom
age 32
visits member for 2 years, 11 months
seen 18 hours ago

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


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?"
Jun
10
comment Why use swap-rates in a yield curve?
possible duplicate of Where do swap rates and/or long-term forward rates come from?
May
31
comment Matlab; How to specify Coupon frequency for Interest Rate Swap
Question was also asked on Stack Overflow, and this was the answer accepted. stackoverflow.com/questions/16764495/…
May
17
comment Overnight Index Swaps
Have you seen this? Which notional was being used for cashflow calculations if they were different?
May
8
answered Best way to store hourly/daily options data for research purposes
Apr
30
comment Bond curve extrapolation
Have you got anything out to 50y, like OIS or IRS? Market data for those does exist fairly broadly, but if you don't have them that won't help.
Apr
26
answered Convexity adjustment for a forward swap rate
Apr
26
comment Convexity adjustment for a forward swap rate
A forward starting swap needs adjustment, yes, but in discounting terms rather than convexity. IRSs are linear AFAIK; if expected Libors rose 1bp, that would raise the par fixed rate 1bp. I'm assuming no optionality in the swap.
Mar
4
answered compute FX forward from broker's data
Mar
1
answered Fair swap rate of an amortizing swap