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location United Kingdom
age 32
visits member for 3 years, 2 months
seen 34 mins ago

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


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.
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.