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415
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location United Kingdom
age 32
visits member for 3 years, 1 month
seen 37 mins ago

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


Mar
4
answered compute FX forward from broker's data
Mar
1
answered Fair swap rate of an amortizing swap
Mar
1
revised How to hedge the fixed leg of a swap contract?
added 644 characters in body
Mar
1
answered How to hedge the fixed leg of a swap contract?
Mar
1
comment How to hedge the fixed leg of a swap contract?
@bonCodigo: swap futures are futures contracts which deliver swap contracts, and are traded on exchanges. This means they have lower margin/risk requirements than trading the swaps directly, and may be more liquid, but the con is that they are less flexible. In terms of bonds, you'd have to be trying to replicate cash flows, and you'd remain exposed to floating rate risk on the swap's fixing index.
Mar
1
comment How to identify technical analysis chart patterns algorithmically?
Presumably this depends on the sampling frequency/resolution?
Mar
1
answered how to derive yield curve from interest rate swap?
Feb
22
comment Is there an Australian Interbank Rate?
Yes, it could be AUD Libor or BBSW. I would guess BBSW unless you have reason to think differently, particularly for an Australian bank. Note that having a fixed leg in either currency is not usual as far as I know. Both legs float, each on the appropriate index, and the basis is added to usually the lower-ranking currency, in this case SGD. If you have a question about that, ask it as a new question and we'll try to answer!
Feb
22
revised Is there an Australian Interbank Rate?
added 299 characters in body
Feb
21
comment how to represent financial data as a spatial process
Can you give an example? emsfeld is considering networks relating quantities, but I thought at first you meant viewing a stochastic process as a random walk. So an example would give us some handle on the question.
Feb
21
comment Why FX Vanilla Options are quoted in volatility
Fascinating insight into options trading. Presumably if you calculate a price using your favoured model, you could work out what implied vol was needed in the common market's model to get you the same price and quote that?
Feb
19
comment Is there an Australian Interbank Rate?
I meant I was being facetious! I saw that comment, so I've updated it with OIS too. I would add Repo ON indices, but they're not quite my area and I'd have to basically research it all.
Feb
19
revised Is there an Australian Interbank Rate?
added 881 characters in body
Feb
19
comment Is there an Australian Interbank Rate?
Ok, that was slightly facetious... Banks lend to each other still, but these days it is largely overnight or collateralised and not at Libor. I didn't mean no-one lends, I meant approximately no-one lends unsecured using Libor for tenors like 3m, at least not in the interbank market.
Feb
18
revised Is there an Australian Interbank Rate?
added 78 characters in body
Feb
18
comment Is there an Australian Interbank Rate?
I agree with you entirely on actual interbank loans. I assumed, perhaps wrongly, that the question was about fixings rather than actual lending.
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?