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# Tag Info

## Hot answers tagged fixed-income

4

Sure, in that situation the dealers would win. However it’s not a very realistic scenario. More commonly, dealers would set up short much closer to 1pm, in which case their entry price is around 1.70. Hence they would lose if the auction settled at 1.69.

3

By coincidence I was looking at this yesterday. The implied repo on the TUH0 contract is about Fed funds + 38, which indeed is around 25bp higher than the term repo to March. Why does this apparent arbitrage exist ? The answer is that consumes financial resources- in particular it will be an on-balance sheet transaction. There is a risk that these ...

3

I'd highly recommend the http://www.quantopian.com platform and the correspoding forum there, e.g. the trading strategies thread. You could pick a topic and also use a concrete example in job interview.

2

Simple Directionality Spread Trade Hedge If the sum of the risks of the trade $t$ are zero (as in the case of the 2Y5Y10Y spread trade) that immediately gives a starting point from which to make a simple calculation for an adjustment. For example if one assumes that the first principal component is the outright market driver and that the factor loadings ...

2

Assume there is no optionality. Let $T$ = last delivery date. "CTD Forward on last delivery" is a price in time $T$ money. "Futures on last trading day" is also a price in time $T$ money. There is no mismatch in carry.

2

Yes, of course there is a market convention. We can try to imagine how this worked in the 19th Century. The bond belongs to Mr. S, a wealthy capitalist. On 10/03 Mr. S is legally entitled to receive a coupon payment. So the first thing he does (of course) is he goes down to the US Treasury office on Wall Street, and shows the bond. The clerk "clips" (cuts ...

1

You can simply apply formula (3.4) in Brigo and Mercurio's book (page 56). There is a simple put-call parity for the prices of European-style options written on zero-coupon bonds, i.e. \begin{align*} \mathbf{ZBP}(t,T,S,X) = \mathbf{ZBC}(t,T,S,X) -P(t,S)+XP(t,T). \end{align*} The formula is kind of identical to the standard equity put call parity where you ...

1

Capital Requirements In addition to @dm63 answer, I recall the primary concern in the repo space was the impact to the 'exposure measure' in the regulatory Leverage Ratio (LR). Globally Systemic banks (in different jurisdictions) have historically had relatively tough minimum requirements for the LR (6% in the US), which leaves a 2 or 3 tick profit (or 200k ...

1

Below is the link to curated topics related to programming in quant finance. https://github.com/wilsonfreitas/awesome-quant (this contains all programming languages(python, R, C++ etc) and there resources in quant finance). Apart from quantopian.com as mentioned above you can try quantiacs(https://www.quantiacs.com/) (which is actually a quant finance-algo ...

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