network profile
| bio | website | |
|---|---|---|
| location | United Kingdom | |
| age | 30 | |
| visits | member for | 1 year, 8 months |
| seen | May 17 at 8:07 | |
| stats | profile views | 58 |
Quant/developer for a trader pricing software house (we make the screens of numbers), primarily Money Markets and Foreign Exchange instruments.
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Jan 22 |
answered | When hiring a quant, how can I protect my IP? |
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Jan 22 |
answered | What's the algorithm behind Excel's ACCRINT? |
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Nov 26 |
answered | How to make the final Interpretation of PCA? |
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Oct 25 |
comment |
Where do swap rates and/or long-term forward rates come from? The broad point is that you get the fixings implied by the swaps, not the other way around. Today's swap prices give a set of implied fixing expectations, which can be then used to imply FRAs, spreads, etc. The risk is in Libor diverging more from funding costs, as that can't be directly hedged without swaps or perhaps swaptions. |
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Oct 19 |
comment |
Credit Valuation Adjustments — computation issues What are the numbers you see from local banks? |
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Oct 16 |
comment |
Major FX pairs - Pentahedron Data Structure The point of the first paragraph was that I don't think it's an actual pentahedron in 3d space, because that assumes there are only 3 degrees of freedom (dimensions) in 5 currencies. In truth there are at least 5. So think more about graph theory and less about geometry; arbitrage forms alternate paths on the graph. |
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Oct 15 |
answered | Major FX pairs - Pentahedron Data Structure |
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Oct 15 |
comment |
Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)? Is the shape still there now? |
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Oct 15 |
comment |
Minimum variance hedge with more than one asset And then there's the risk that the future is 100% correlated with the future; i.e. that the past covariance holds for the future. I suppose this is the source of rebalancing. |
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Oct 14 |
answered | Where do swap rates and/or long-term forward rates come from? |
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Oct 5 |
answered | Combining covariances? |
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Oct 4 |
answered | Why would a 6M LIBOR rate be significantly above 3M LIBOR, ED futures and swap rates? |
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Sep 11 |
comment |
Interpolating FX forward points Well, not any more! It used to be the case that cash+fx was an arbitrage circuit. But the disappearance of cash (and thus wide prices) and the arrival of the basis has removed it. Perhaps the closest would be via Repos in both markets, but that does add collateral risk to the (reduced) counterparty risk and I assume additional costs to maintain and manage all the required collateral. |
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Sep 11 |
comment |
Should portfolio be optimized by marking to the future than marking to market (excluding currencies)? I don't understand quite what you're suggesting or asking. Can you give us an example with specific instruments and trades? Marking to Market means calculating the current market value of an instrument. Whatever you may think of the value of a flow, its value today is what counts. |
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Sep 6 |
revised |
Could banks move to continuous (rather than overnight) funding? added 679 characters in body |
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Sep 6 |
comment |
Interpolating FX forward points The classic arb is to use depos on both currencies. Unfortunately that arb no longer holds and there is a basis involved. Also, depos are calendar dated, and FX fwds are calendar dated, so there is no extra definition of the cash curve between the FX dates as required. OIS rates, though, have meeting date definition. |
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Sep 6 |
awarded | Commentator |
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Sep 6 |
comment |
Computing FX forward delivery dates Ah, that's a more specific question. SW is calculated by adding a week to Spot, and then rolling on until you have a valid business day in all the appropriate markets. |
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Sep 6 |
answered | Computing FX forward delivery dates |
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Sep 5 |
revised |
Interpolating FX forward points deleted 3 characters in body |
