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Sep
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awarded  Autobiographer
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awarded  Curious
Jun
29
accepted Why are multiple custom curves (swap) built for one desk?
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awarded  Notable Question
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awarded  Notable Question
Jun
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revised Price change of a bond towards yield and YTM
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asked Price change of a bond towards yield and YTM
May
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comment Why are multiple custom curves (swap) built for one desk?
I have gone through two tutorials 1. using Libor short curve + par swap rates. 2. using OIS curve. BUT, both tutorials are following the classical steps. 1. Bootstrap to build DFC 2. Build Zero-curve 3. Derive Fwd Rates 4. Calculate cashflows for floating leg. So what stpes are not required when using OIS in current -terms... (of what you meant, there's no need to bother about DFC)?
May
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awarded  Yearling
May
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comment Need advice on finding forward spot rates
@AndreyTaptunov your embedded link to Bionic Turtle is no longer available. I am not sure if this is as same as his video tutoril on Youtube. I still find it hard to apply the concept to a question I have and most probably I will post it.
May
23
revised hedging wiki description
added 581 characters in body
May
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revised hedging wiki excerpt
added 372 characters in body
May
23
revised Why are multiple custom curves (swap) built for one desk?
edited tags
May
23
comment Why are multiple custom curves (swap) built for one desk?
What are you referring by "more context"? Further can you define the jargon DFC (discount factor curve perhaps)? Quoting: The difference is that you don't have to make it into a DFC any more, and that you may only use 3m-fixing products together or 1m-fixing products. This is not clear to me.., >.< Does it mean steps for boostrapping for stripping off forward rates to build swap curve goes down by 1 step?
May
23
revised Why are multiple custom curves (swap) built for one desk?
edited title
May
23
comment Why are multiple custom curves (swap) built for one desk?
Aren't the forecasting fixing rates are infact the forward rates? Because that's what we used to derive the future cashflows of floating leg?
May
23
comment Why are multiple custom curves (swap) built for one desk?
Learning via melo-drama can't get any better : quoting mantle of risk-free rate proxy was passed on to a family of Overnight fixings, called Sonia, Eonia and -ahem- FedFundEffective... Coming back to the main intention of my question, sometime back I used this as my first tutorial with some background reading based on CFA L1, Fabozzi, Tuckman and Derivatives Demystified. Those materials helped alot in order to understand the basic concepts.
May
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wiki created hedging description
May
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wiki created hedging excerpt
May
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suggested suggested edit on hedging tag wiki