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


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.
Feb
17
comment Why are short expiries associated with more pronounced volatility skews?
Are you looking at any class of options in particular?
Feb
13
revised Reasoning for Bloomberg's short rate volatilty calculation
added 619 characters in body
Feb
11
comment Reasoning for Bloomberg's short rate volatilty calculation
It's too much for their customer service people; producing the document that I got that formula from is all they can do.
Feb
11
asked Reasoning for Bloomberg's short rate volatilty calculation
Jan
30
comment Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
+1 for mentioning Markov
Jan
29
comment Which day count conventions are there and where do they apply?
Fincad's list: fincad.com/support/developerfunc/mathref/Daycount.htm
Jan
29
answered Are proof-of-work systems used by exchanges?
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...?