6

Customers dont place limit orders or do they? No, they don't. In an electronic RFQ market, the requesting participant (presumably the "customer" you are referring to) is generally not obligated to show its side. This design dates back to times when you had to trade over the phone, where you would typically ask for a two-sided quote so your ...


2

In the US we can adjust coupons on treasury notes and bonds of similar maturities using strip prices (principal and interest). If we have, for example, a 2% 2/15/2030 note and a 1% 11/15/2029 note and principal strip prices for each we can take the note price and subtract the principal strip price, divide by the coupon, to get the price per 1% of coupon. We ...


1

I really like that question and hope someone else also provides additional answers or insights. MOVE measures the implied yield volatility. TYVIX measured price vol (less commonly used - so I guess flawed construction). The Price of Fixed Income Market Volatility may be interesting to read. The author(s) are directly involved in the creation of some of these ...


1

Generally, especially if you are (were) new to finance, you don't want to compute this yourself. BBG has VCUB which creates a vol cube based on the market quotes and the selected settings. The help page has a very detailed white paper explaining the implementation. These vols in turn are used in SWPM to price swaptions (and whatever else requires vol). I ...


Only top voted, non community-wiki answers of a minimum length are eligible