Phil H

768 reputation

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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.

	768 reputation	bio	website		visits	member for	1 year, 8 months
29 badges		location	United Kingdom		seen	May 17 at 8:07

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38 Comments

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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.
Mar 4	comment	How to calculate the Transfer Pricing from the FTP curve? Still need more detail. 2y is the length of the swap, but not the frequency of coupon payments (annual is usual for USD), nor the day basis (actual/360 is usual for USD). Is that what you mean? Is this a vanilla market swap?
Mar 1	comment	How to hedge the fixed leg of a swap contract? @bonCodigo: swap futures are futures contracts which deliver swap contracts, and are traded on exchanges. This means they have lower margin/risk requirements than trading the swaps directly, and may be more liquid, but the con is that they are less flexible. In terms of bonds, you'd have to be trying to replicate cash flows, and you'd remain exposed to floating rate risk on the swap's fixing index.
Mar 1	comment	How to identify technical analysis chart patterns algorithmically? Presumably this depends on the sampling frequency/resolution?
Mar 1	comment	How to calculate the Transfer Pricing from the FTP curve? How is the rate of 3.5% being quoted? As a simple interest rate, or as an annualized rate, and with what payment frequency? You cannot calculate it without knowing those details; 3.5% means nothing by itself.
Feb 22	comment	Is there an Australian Interbank Rate? Yes, it could be AUD Libor or BBSW. I would guess BBSW unless you have reason to think differently, particularly for an Australian bank. Note that having a fixed leg in either currency is not usual as far as I know. Both legs float, each on the appropriate index, and the basis is added to usually the lower-ranking currency, in this case SGD. If you have a question about that, ask it as a new question and we'll try to answer!
Feb 21	comment	how to represent financial data as a spatial process Can you give an example? emsfeld is considering networks relating quantities, but I thought at first you meant viewing a stochastic process as a random walk. So an example would give us some handle on the question.
Feb 21	comment	Why FX Vanilla Options are quoted in volatility Fascinating insight into options trading. Presumably if you calculate a price using your favoured model, you could work out what implied vol was needed in the common market's model to get you the same price and quote that?
Feb 19	comment	Is there an Australian Interbank Rate? I meant I was being facetious! I saw that comment, so I've updated it with OIS too. I would add Repo ON indices, but they're not quite my area and I'd have to basically research it all.
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	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	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 4	comment	Yield Curve construction An aside on constructing curves; it is no longer valid to construct curves from heterogeneous instruments like cash and 3m futures, or Treasuries and Swaps. You need a funding/OIS curve from Fed Funds and other overnight instruments and a separate 3m curve from Libor, Futures and Swaps. Libor stopped being a reasonable funding indicator some time ago, and is now only correlated to funding.
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.