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location United Kingdom
age 31
visits member for 2 years, 7 months
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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.


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?
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.
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.
Oct
25
comment 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.
Oct
19
comment Credit Valuation Adjustments — computation issues
What are the numbers you see from local banks?
Oct
16
comment 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.
Oct
15
comment Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Is the shape still there now?
Oct
15
comment 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.
Sep
11
comment 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.