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2 votes

Understanding FX forward points and market usage

Your wrote ON : Does it mean I could buy today 100,000 USD at 20.4579 MXN, but tomorrow I would have to sell those 100,000 USD ... ? No, it is the opposite. By ...
nbbo2's user avatar
  • 11.5k
2 votes

When using quantlib's swaphelper to build a curve, is the fixing lag considered?

The helper doesn't support a custom fixing lag, but for standard quoted swaps (the ones you would use to create a curve) the fixing lag you're seeing is designed to cancel out with the index own ...
Luigi Ballabio's user avatar
2 votes
Accepted

Competitive quote convention for FX swaps

For an FX swap the sensitivity of the PV of a transaction has small exposure to the spot FX rate, which is often mitigated by transactions conventions. The dominant risk quantity to which you are ...
Attack68's user avatar
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2 votes
Accepted

Skewness Equivalent to Additivity of Variance

Update: I think i misunderstood your question, so let me add another answer as well. Answer A will derive a formula for forward skewness, answer B will show the general property of skewness as a ...
Kermittfrog's user avatar
  • 6,832
1 vote

Skewness Equivalent to Additivity of Variance

$Y=log(S2/S1)=X2-X1$. $E(Y+X1)^3=skew(Y)+k1=k2$, so $skew(Y)=k2-k1.$ If we assume same skew for all $log (S_k/S_{k-1})$ then skew grows linearly with time, just as variance. If you can describe what ...
Arshdeep's user avatar
  • 2,451
1 vote
Accepted

Interest Rate forward calculation

Option 2 is the linear approximation of Option 1, if R is the term yield; assume Df(t) = exp(-R(t)t) Option 1 is always correct
achirikhin's user avatar
1 vote

Yield to Maturity (YTM) to Zero Coupon Yield Curve (ZCYC) Forward Rate and Discount Factor mismatch in QuantLib

You're getting some of the conventions wrong. First, the dates at which you ask the curve for the rates. You write ...
Luigi Ballabio's user avatar
1 vote

Mathematical meaning of an inverted yield curve

My thoughts: Using the definition found on Wikipedia: In finance, an inverted yield curve is a yield curve in which short-term debt instruments (typically bonds) have a greater yield than longer ...
Rylan's user avatar
  • 635
1 vote

Mathematical meaning of an inverted yield curve

Although the entire shape of the yield curve should perhaps be taken into account, in practice just two maturities are chosen for comparison. Campbell Harvey in 1985 defined inverted yield curve as: ...
nbbo2's user avatar
  • 11.5k
1 vote

QuantLib: How to compute the forward rate using historical fixing rate and discount factor data

I think the problem you are trying to solve is that valuation date falls in the middle of a swap period and for that period you want fixing to be used while for all subsequent periods you want ...
Denys Usynin's user avatar
1 vote
Accepted

Are there any structural reasons for choosing constant forward rate interpolation over linear interpolation beyond just simplicity?

Any curve building method that produces non continuous forward rates is subject to being arbitraged by other market participants (assuming you are using it to make decisions about buying and selling ...
dm63's user avatar
  • 17.2k

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