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location United Kingdom
age 32
visits member for 3 years, 1 month
seen 7 hours ago

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


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?
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?