ldnquant

581 reputation

	581 reputation	bio	website		visits	member for	2 years, 3 months
45 badges		location			seen	Jan 13 at 13:55

4 Comments

Jun 29	comment	What is a real world example of negative forward interest rate? As for the spreads. The point is you have to treat 3M and 6M forward rates separately, this is typically done when bootstrapping your interest rate curves.
Jun 29	comment	What is a real world example of negative forward interest rate? The interest future price is just 100 - forward rate (apart from a convexity adjustment). So if the price is greater than 100, the forward rate is negative.
May 14	comment	Setting the r in put-call parity? Things have changed in the rates world since Hull wrote that. Traders typically use an OIS rate as the risk free rate, not LIBOR. As quant_dev suggests below, the correct rate to use in the put-call parity formula (or indeed for discounting any future cash flow) is the rate you pay/receive on collateral from your counterparties. This is typically the relevant currency's OIS rate (eg EONIA for EUR)
Feb 14	comment	Stochastic recovery rates Not sure if it's still needed. I've not done credit in a while.