network profile
| bio | website | |
|---|---|---|
| location | United Kingdom | |
| age | 30 | |
| visits | member for | 1 year, 8 months |
| seen | May 17 at 8:07 | |
| stats | profile views | 58 |
Quant/developer for a trader pricing software house (we make the screens of numbers), primarily Money Markets and Foreign Exchange instruments.
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Oct 25 |
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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. |
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Oct 19 |
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Credit Valuation Adjustments — computation issues What are the numbers you see from local banks? |
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Oct 16 |
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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. |
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Oct 15 |
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Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)? Is the shape still there now? |
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Oct 15 |
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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. |
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Sep 11 |
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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. |
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Sep 11 |
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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. |
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Sep 6 |
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Interpolating FX forward points The classic arb is to use depos on both currencies. Unfortunately that arb no longer holds and there is a basis involved. Also, depos are calendar dated, and FX fwds are calendar dated, so there is no extra definition of the cash curve between the FX dates as required. OIS rates, though, have meeting date definition. |
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Sep 6 |
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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. |
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Jul 12 |
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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 |
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Jun 25 |
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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? |
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Jun 25 |
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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. |
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Jun 25 |
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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? |
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Jun 14 |
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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. |
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Jun 12 |
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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. |
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Jun 11 |
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What is “Flow Interest Rates”? Incidentally, any idea what it would involve? |
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Jun 11 |
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What is “Flow Interest Rates”? Cheers. If you add that as an answer, I'll be able to accept it... |
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Apr 10 |
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Could banks move to continuous (rather than overnight) funding? OIS fixings, I think, are calculated based on the day's actual trades, weighted by volume, not on an auction. See the SONIA and RONIA specs - maybe it's only UK & EU that do it this way? |
