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314
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location United Kingdom
age 31
visits member for 2 years, 7 months
seen Apr 17 at 9:55

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


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?"
Jun
10
comment Why use swap-rates in a yield curve?
possible duplicate of Where do swap rates and/or long-term forward rates come from?
May
31
comment Matlab; How to specify Coupon frequency for Interest Rate Swap
Question was also asked on Stack Overflow, and this was the answer accepted. stackoverflow.com/questions/16764495/…
May
17
comment Overnight Index Swaps
Have you seen this? Which notional was being used for cashflow calculations if they were different?
Apr
30
comment Bond curve extrapolation
Have you got anything out to 50y, like OIS or IRS? Market data for those does exist fairly broadly, but if you don't have them that won't help.
Apr
26
comment Convexity adjustment for a forward swap rate
A forward starting swap needs adjustment, yes, but in discounting terms rather than convexity. IRSs are linear AFAIK; if expected Libors rose 1bp, that would raise the par fixed rate 1bp. I'm assuming no optionality in the swap.