1,347 reputation
314
bio website
location United Kingdom
age 31
visits member for 2 years, 10 months
seen Jul 11 at 9:32

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


Sep
6
awarded  Commentator
Sep
6
comment Computing FX forward delivery dates
Ah, that's a more specific question. SW is calculated by adding a week to Spot, and then rolling on until you have a valid business day in all the appropriate markets.
Sep
6
answered Computing FX forward delivery dates
Sep
5
revised Interpolating FX forward points
deleted 3 characters in body
Sep
5
answered Interpolating FX forward points
Aug
30
awarded  Yearling
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
Jul
12
answered Derivatives with a floating Libor leg
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?
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.
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?
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.
Jun
14
answered Different stocks with the same stock code
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.
Jun
12
accepted What is “Flow Interest Rates”?
Jun
11
comment What is “Flow Interest Rates”?
Incidentally, any idea what it would involve?
Jun
11
comment What is “Flow Interest Rates”?
Cheers. If you add that as an answer, I'll be able to accept it...
Jun
11
asked What is “Flow Interest Rates”?
May
30
awarded  Scholar
May
30
accepted Is the risk-free rate really limited by inflation?