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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 2 months |
| seen | 36 mins ago | |
| stats | profile views | 592 |
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Mar 12 |
comment |
Pairs trade CDS contracts using cointegration The quarterly fixed coupons that the protection buyer pays are priced into the contracts. When you "terminate" the contract/position all that is done is that the protection buyer sells the protection, accrued interest up to the termination date is settled, and the difference in spreads is settled as well. And please note you do not necessarily need to offset the position prior to each quarterly settlement dates, you could in 2 opposing contract positions simply weight the notional so that the same amounts are paid and received. |
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Mar 12 |
comment |
Pairs trade CDS contracts using cointegration No, you buy the CDS you sell it, you sell the contract, you buy it back. By the way, I am strongly assuming you are with an entity that can trade OTC fixed income derivatives, correct? |
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Mar 12 |
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Pairs trade CDS contracts using cointegration Why would you not just offset the position as you would with futures contracts before committing to receiving physicals or having to deliver? Hardly any credit desk ever trades/makes markets to truly insure a credit portfolio. |
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Mar 11 |
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Square root of time Well, I guess you should then stick to a career as analyst, no need to run complicated models, just current price tells you everything. Traders think slightly different and fortunately vol trading is just a little more complex than you suggested. This is the second time you completely move off topic here. Please offer your own answer if you have insight that differs from mine unless it is directly related to my answer. |
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Mar 11 |
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Square root of time @montyhall, its a well known fact that volatility is overestimated when scaled over long periods of time without a change of model to estimate such "long-term" volatility. Its a basic question in many quant interviews (Falcon Crack et.al.), its a well known fact among market practitioners (vol traders) and its nothing that Taleb contradicts. |
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Mar 11 |
revised |
Square root of time deleted 3 characters in body |
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Mar 11 |
answered | Square root of time |
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Mar 11 |
answered | Annual Percentage Rate and Yield |
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Mar 11 |
answered | What is the proper way to calculate returns for Pair Trading? |
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Mar 11 |
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Predict Market Direction, What is forecastable/unforecastable? @user1673806, can you please correct your function in your question? You obviously meant to say R(t) not R(t+1) on the right hand side, correct? |
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Mar 10 |
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How to implement a long-term trade on oil? ...which I answered as well... |
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Mar 10 |
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How to implement a long-term trade on oil? Agree, though my answer was more geared towards the general concept rather than which companies to pick. |
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Mar 8 |
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Calculating Momentum From Returns @Richard, why does it matter what the underlying asset is? Any asset suffices. If an asset was worth 100, and you generate a return on that asset of 10 on day 1 and another 5 on day 2, then you generated a return of 15% thus far. I am not sure what this has to do with whether we talk equities, bananas or anything for that matter, given the underlying unit is currency denominated. The same applies in case the 100 refers to your capital base and you generated a consolidated return on a number assets on 2 subsequent days. |
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Mar 8 |
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Calculating Momentum From Returns @Richard, well the simple arithmetic example above sums returns and those are not log returns and should not be calculated as log returns. |
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Mar 8 |
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Calculating Momentum From Returns @Richard, so you are saying its inaccurate to state that if you started off with 100, made 10 yesterday and 5 today that you so far generated a return of (+10%, + 5%) 15% return? |
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Mar 8 |
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Calculating Momentum From Returns if you trade off the same base regardless of the profits/losses generated in the interim then yes you should just add them. |
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Mar 8 |
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Calculating Momentum From Returns added 325 characters in body |
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Mar 8 |
answered | Calculating Momentum From Returns |
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Mar 8 |
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Pairs trading: Question on non-negative profits, size of the positions and trading signals @chrisaycock, is there a way to delineate what constitutes value-added in terms of strategy related questions and what is merely asking others to do the grunt work in terms of strategy profiling and idea generation? I think most recently more and more of the same type of questions are popping up and to be honest I find most a mismatch with the intentions of this site. This particular one looks like a borderline case to me. Any views? |
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Mar 8 |
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Is there a comprehensive reference book on US fixed income conventions? Second the Fabozzi recommendation. But I have to admit that cited pdf is a very neat set of conventions, given it is adhered to in all Canadian domestic FI markets. |
