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


Jul
28
comment CVA number used by Finance Team
This is a bit vague - can you give us an actual example? 'Finance Team' and CVA are fairly broad, so a number of things could qualify here.
Jul
28
comment How to deal with extreme cases in normal random numbers generation?
While that is theoretically true, a real RNG in code can only return a discrete set of values, so all values removed represent a range. So you can remove a few problematic values, but it will leave (small) holes in your resulting distribution.
Jun
6
comment IMM Swaps vs. Forward Swaps
Not usually; if you have a -ibor forecasting curve, you should have forecasts for the -ibor fixings on the roll dates of the swap, which you can use to calculate the fair value of the leg. Unless you are trying to include risk adjustments (CVA, FVA etc), you shouldn't need anything like that.
May
27
comment Why are multiple custom curves (swap) built for one desk?
DFC is Discount Factor Curve, where you represent the term structure of rates as a set of discount factors. Classically, you would do this so that you can calculate say a 1m forward rate (even though the inputs were 3m rates) and so on. Now, however, you only care about what the fixing will be, so you don't need to bother with a DFC. The discounting is done using the OIS curve, so the bootstrapping is far simpler than a classical curve.
May
23
comment Why are multiple custom curves (swap) built for one desk?
Yes, unless you have more context, I would expect a forecasting curve to be the same as a forward rate curve. The difference is that you don't have to make it into a DFC any more, and that you may only use 3m-fixing products together or 1m-fixing products. Once upon a time it was Cash, Futures, Swaps; these days if the swaps are 6m, those are 3 different curves.
Apr
17
comment Discounting based on instrument type
@DonShanil: No problem, is there anything there that isn't clear?
Feb
27
comment what was the quant role in the 2008 crash?
lexicon.ft.com/term?term=rehypothecation - it is a pretty standard term in the markets. icmacentre.wordpress.com/2013/12/14/…
Feb
25
comment swaps valuation
What market data do you have access to? Ideal list: FedFund rates, Annual vs 3M Libor IRS or Treasuries and spreads, 3m/OIS basis swaps, 3m futures rates. Alternatively, for something very quick, just the 10y market IRS and 3m/OIS basis. All depends on the data.
Feb
17
comment Why are short expiries associated with more pronounced volatility skews?
Are you looking at any class of options in particular?
Feb
11
comment Reasoning for Bloomberg's short rate volatilty calculation
It's too much for their customer service people; producing the document that I got that formula from is all they can do.
Jan
30
comment Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
+1 for mentioning Markov
Jan
29
comment Which day count conventions are there and where do they apply?
Fincad's list: fincad.com/support/developerfunc/mathref/Daycount.htm
Jan
29
comment Which day count conventions are there and where do they apply?
If you have all the ones in the OpenGamma doc, then you're probably there regarding overviews. You can't catch them all, so you're on a trail of diminishing returns now.
Jan
3
comment Smoothing Term Curve
Avoid high order polynomials, they can be unstable and are quite likely to give you a lot of overshoot. Splines are piecewise to reduce this risk.
Jan
3
comment How to reproject rates risk on a subset of tenors
Can you give us a specific example? 'Rates' is quite a wide area, you could mean all sorts of instruments...
Nov
22
comment Accrued Interest in CVA DVA
Are you saying you want to do this with a single curve? My answer regards dual-curve pricing.
Nov
22
comment Question about weighted midpoint formula
I would add that the best bid/offer doesn't reflect the depth of the market. If the size is all on the bid, then the small best ask size is likely masking a larger size at a higher price. Without that, the mid price would be higher, so the 2nd would be a better bet. So the depth of the book makes all the difference here.
Aug
5
comment Duration of a floating rate note
Is this for a 'standard' FRN duration, or have you got a separate discounting curve, or...?
Jul
18
comment Convexity adjustment
@JoshuaUlrich: Since convexity adjustments are somewhat soup du jour, I've done this for him/her.
Jul
16
comment Convexity adjustment
I guess the question is "why is the standard convexity adjustment wrong according to current market rates?"