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1 vote

What day count convention for pricing

Every market and product has its own pricing conventions that participants are just expected to know. Would guess most vol markets are actual/365 for black-scholes day-count while most swap markets ...
river_rat's user avatar
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2 votes

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

Structure of market for equity swaps (breakable vs non-breakable)

there is a break-fee (5bps-10bps) generally associated with it. i believe it's more related to a "Sourcing" type equity swaps. Where you are long on synthetic position a basket of stocks ...
user2650102's user avatar

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