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location United Kingdom
age 32
visits member for 3 years, 3 months
seen 20 hours ago

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


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.
Oct
15
answered Major FX pairs - Pentahedron Data Structure
Oct
15
comment Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Is the shape still there now?
Oct
15
comment Minimum variance hedge with more than one asset
And then there's the risk that the future is 100% correlated with the future; i.e. that the past covariance holds for the future. I suppose this is the source of rebalancing.
Oct
14
answered Where do swap rates and/or long-term forward rates come from?
Oct
5
answered Combining covariances?
Oct
4
answered Why would a 6M LIBOR rate be significantly above 3M LIBOR, ED futures and swap rates?
Sep
11
comment Interpolating FX forward points
Well, not any more! It used to be the case that cash+fx was an arbitrage circuit. But the disappearance of cash (and thus wide prices) and the arrival of the basis has removed it. Perhaps the closest would be via Repos in both markets, but that does add collateral risk to the (reduced) counterparty risk and I assume additional costs to maintain and manage all the required collateral.
Sep
11
comment Should portfolio be optimized by marking to the future than marking to market (excluding currencies)?
I don't understand quite what you're suggesting or asking. Can you give us an example with specific instruments and trades? Marking to Market means calculating the current market value of an instrument. Whatever you may think of the value of a flow, its value today is what counts.
Sep
6
revised Could banks move to continuous (rather than overnight) funding?
added 679 characters in body