8
votes
Interpolation of FX Vol Surface from non-uniform strike vs tenor grid
In the end I found that fitting a SABR smile to each tenor (borrowing a result from this answer) was sufficient to build a local vol surface that was smooth and well-behaved enough to build a variance ...
- 3,066
7
votes
Accepted
Interpolation of FX Vol Surface from non-uniform strike vs tenor grid
I tried something along these lines in Quantlib python a few weeks ago. Slightly more simple compared to your approach I think:
start with a standard delta quote convention for FX vols (10D puts, 25D ...
- 1,476
5
votes
Accepted
Clean vs dirty price for bonds
The premise of your question is wrong. European bond markets usually quote clean prices (without the accrued) for performing bonds - exactly like U.S., Canadian, and most Latin American bond markets.
...
- 13.2k
5
votes
Question about swaption premium quote on the bloomberg terminal
EUSP0101 Curncy DES
Style is Straddle (like almost all premium quoted swaptions - and ATM FX options for example, although the latter is quoted in VOL), thus the quoted premium is the sum of payer ...
- 9,883
5
votes
Is there any source that describes Wall Street quotation conventions for fixed income securities (e.g. corporate bonds)?
To supplement @Dimitri's excellent answer, I recommend a little booklet called "Government Bond Outlines," published by JPMorgan's index team. This is easily obtainable from JPMorgan's ...
- 11.9k
5
votes
Is there any source that describes Wall Street quotation conventions for fixed income securities (e.g. corporate bonds)?
There is no authoritative source. If you're dealing with vast quantities of diverse bond quotes, then it's very hard to interpet them correctly all the time, although you might get be right most of ...
- 13.2k
4
votes
Accepted
Yield of a Bond
Almost always, the market convention is to use for yield the same frequency as the coupon payment frequency.
However in a few markets, the market convention is to convert this yield to the frequency ...
- 13.2k
3
votes
Accepted
CDS Quote Conversion - Quoted vs Par
The reason the spreads were off is that the data came from MARKIT, and MARKIT often includes a 3M spread (but does not always publish it). So the 3M Quoted Spread and 3M Par Spread are exactly the ...
- 1,052
3
votes
Accepted
Futures vs. spot forecasting
The relationship between S and F is known as "the basis". You can theorize a relationship of the form
$$F=S \exp(c(T-t))$$
or the simpler, approximate $F = S + C (T-t)$. Knowing $F,S$ and $T-t$ (...
- 11.8k
2
votes
Which spread to use to analyse CDS data from Markit
The par spread is retained just for compatibility with legacy quoting conventions - pre April 2009 ISDA Big Bang. In my opinion, it's best ignored. Some people may disagree. it's close to the market ...
- 13.2k
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 ...
- 12.1k
1
vote
MM quotes replacement time in HFT
In High Frequency Trading, Market Makers have the ability to replace quotes almost instantaneously when they are hit. There is typically no cooling period required, as the technology used in HFT ...
- 692
1
vote
Accepted
Option quotes or trades: Which one is more informative?
I will try to be as concise as possible.
For obvious reasons, if you do not have any trades, choose the quotes, because they reflect the intention of a player to trade at that level of price/...
- 346
1
vote
Option quotes or trades: Which one is more informative?
It's a little dependent on whether its listed or otc options but your question about implied volatilities probably addresses the issue the best. I would calculate the implied volatility from the real ...
- 272
1
vote
Accepted
Linear interpolation Discount factors
I don't recommend linear interpolation of DFs and the swap rates you are applying this to are either against 12M libor which is illiquid or you are not accounting for Quarterly or Semi-Annual floating ...
- 12.1k
1
vote
Comparing values of indicator between different stocks
Technical analysis is not quite in my wheelhouse, but it's been an interesting topic to me, so hopefully I can lend a hand. Let's start with some basic assumptions: Because OBV is based on volume, ...
- 121
1
vote
1 minute data: Japan, Australia and India stocks
You can use Thomson Reuters Tick History to get intraday data at 1 minute interval. However, you need to pay for that. Many university provide access to this database.
- 31
1
vote
How are OHLC bars made from bid, ask, and last trade prices?
I made the next C++ conversion function.
...
- 11
1
vote
How are OHLC bars made from bid, ask, and last trade prices?
Pick a time range of traded prices, open is the first value in the range, high is the max of the range, low is the min and close is last value in the range.
1
vote
Accepted
How are OHLC bars made from bid, ask, and last trade prices?
Bars represent an summarized view of what happened during a given period of time of a single given value.
Therefore, you need to first pick the value you want to summarize: Bid, Ask or Last Trade and ...
- 11.2k
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