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314
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location United Kingdom
age 31
visits member for 2 years, 7 months
seen 10 hours ago

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


Feb
18
comment Is there an Australian Interbank Rate?
Good point, I didn't think the questions was about actual interbank lending, who does that these days? The swap market dwarfs depos. I just assumed the question was about fixings.
Feb
18
comment Is there an Australian Interbank Rate?
Perhaps you're right on AUD; I only know that we had to change from LIBOR to BBSW because we had 'the wrong fixing'; that may have been for an Aussie client. A few sites note BBSW being standard rather than LIBOR. I'm aware of the users of these fixings..! OTC is by choice; if you look at the EUR IRS rates quoted on Reuters and Bloomberg, some are EURIBOR, some are LIBOR fix. They don't always tell you, and each bank might standardise on one. Some European banks have started using the USD EURIBOR fix for USD. Caveat: we are London-based, NY may be different.
Feb
18
comment Is there an Australian Interbank Rate?
Agree. I've added an answer with domestic/international conventions as far as I'm aware of them.
Feb
18
answered Is there an Australian Interbank Rate?
Feb
18
comment Is there an Australian Interbank Rate?
Except BBSW? afma.com.au/data/bbsw.html
Feb
18
comment Is there an Australian Interbank Rate?
Indeed, BBSW is the preferred fixing in Australia, so if you are trading domestic AUD swaps, they are likely to be BBSW-fixed, not AUD Libor fixed.
Feb
15
awarded  Nice Question
Feb
4
awarded  Organizer
Feb
1
revised How much does a Grid Computing software cost?
added 32 characters in body
Feb
1
revised What do these maturity codes mean?
deleted 146 characters in body
Jan
31
answered How much does a Grid Computing software cost?
Jan
31
revised What do these maturity codes mean?
added 61 characters in body
Jan
31
answered What do these maturity codes mean?
Jan
23
comment What's the algorithm behind Excel's ACCRINT?
Cheers, I remembered it from something I read and remember being alarmed that it favoured Excel's methods even when they were wrong.
Jan
22
answered When hiring a quant, how can I protect my IP?
Jan
22
answered What's the algorithm behind Excel's ACCRINT?
Nov
26
answered How to make the final Interpretation of PCA?
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.
Oct
19
comment Credit Valuation Adjustments — computation issues
What are the numbers you see from local banks?
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.