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 | 57 |
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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Sep 5 |
answered | Interpolating FX forward points |
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Aug 30 |
awarded | Yearling |
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Jul 12 |
comment |
Derivatives with a floating Libor leg Read this dealbreaker post, and consider changing your answer; turns out the contracts aren't so strictly worded. dealbreaker.com/2012/06/libor-can-be-whatever-you-want-it-to-be |
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Jul 12 |
answered | Derivatives with a floating Libor leg |
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Jun 25 |
comment |
Any thoughts on how Warren Buffet's B of A warrants might be “marked-to-market” by either counterparty? Surely Black-Scholes will give you a reasonable answer, if you factor in 10y interest rates? |
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Jun 25 |
comment |
Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex By the way, note that FX sources are banks and brokerages, not exchanges, so the price you see is not actual trade prices; it's embarassing if their prices are not up to date, but they don't have to deal at them. On the other hand, live e-trading systems are real prices that you can hit in your arb. |
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Jun 25 |
comment |
Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex I'm not quite following the arbitrage opportunities you describe. Can you give a concrete example using numbers and real currency names? E.g. would your triangular arb be USD/DKK, USD/CHF and USD/SEK? Or do you mean USD/DKK, USD/CHF and DKK/CHF? |
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Jun 14 |
comment |
How good is managed code for algo trading? I suppose with GC you could do a final check to see if GC has occurred during this trade calculation cycle, and dump the trade if so. That should filter out the (few) occasions where GC would be problematic. Also, there are a few 'real time' JVMs around, see en.wikipedia.org/wiki/Real_time_Java . Just to play devil's advocate. |
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Jun 14 |
answered | Different stocks with the same stock code |
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Jun 12 |
comment |
What is “Flow Interest Rates”? Cheers, that is very clear. So, I do flow interest rate derivs, good to know! So presumably more likely to be at larger IDBs and broker/dealers than retail. |
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Jun 12 |
accepted | What is “Flow Interest Rates”? |
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Jun 11 |
comment |
What is “Flow Interest Rates”? Incidentally, any idea what it would involve? |
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Jun 11 |
comment |
What is “Flow Interest Rates”? Cheers. If you add that as an answer, I'll be able to accept it... |
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Jun 11 |
asked | What is “Flow Interest Rates”? |
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May 30 |
awarded | Scholar |
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May 30 |
accepted | Is the risk-free rate really limited by inflation? |
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Apr 10 |
comment |
Could banks move to continuous (rather than overnight) funding? OIS fixings, I think, are calculated based on the day's actual trades, weighted by volume, not on an auction. See the SONIA and RONIA specs - maybe it's only UK & EU that do it this way? |
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Apr 10 |
answered | One bar look-ahead backtesting |
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Nov 26 |
revised |
Is the risk-free rate really limited by inflation? added 261 characters in body |
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Sep 28 |
awarded | Necromancer |
