User VanillaCall - Quantitative Finance Stack Exchange

VanillaCall

Member for 4 years, 11 months
Last seen more than 2 years ago

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38 Questions

Score Activity Newest Views

6 votes

4 answers

1k views

Term premium 10 year yields

fixed-income

asked Mar 10, 2018 at 17:05

5 votes

2 answers

5k views

How to adjust butterfly 2s5s10s swaps trade for directionality?

fixed-income

asked Jun 28, 2018 at 10:52

4 votes

2 answers

425 views

How do bond traders get all the different moving parts?

fixed-income

asked Sep 21, 2017 at 1:17

3 votes

1 answer

4k views

Carry and roll (upfront vs running)

fixed-income

asked Aug 25, 2017 at 22:29

3 votes

1 answer

3k views

Question on pure carry for two bonds

fixed-income

asked Sep 30, 2017 at 15:29

3 votes

2 answers

8k views

How to calculate FX hedged bond yield?

fixed-income fx hedging

asked Dec 3, 2017 at 1:58

2 votes

4 answers

808 views

Treasury futures basis & calendar spd [multiple questions]

fixed-income bond-futures relative-value

asked Feb 17, 2018 at 13:13

2 votes

1 answer

1k views

Roll down Treasury curve (Coupon effects)

fixed-income treasuries

asked Aug 26, 2017 at 12:00

2 votes

1 answer

57 views

Reduction in banks excess reserves link to liquidity and funding

fixed-income fixed

asked Apr 29, 2018 at 15:58

2 votes

1 answer

350 views

Funding Treasury net basis trades and balance sheet

fixed-income

asked Apr 6, 2019 at 0:35

2 votes

2 answers

4k views

Different ways to express a 2s10s steepener?

fixed-income interest-rates derivatives

asked Mar 10, 2018 at 12:36

2 votes

0 answers

73 views

Fed repo operations - Balance sheet constraints

fixed-income

asked Nov 23, 2019 at 14:40

1 vote

0 answers

62 views

LIBOR OIS equation - Discount factor

fx

asked May 23, 2020 at 19:07

1 vote

1 answer

81 views

Futures vs Forward (Last Delivery or Last Trading Day)

fixed-income

asked Nov 15, 2019 at 5:15

1 vote

1 answer

712 views

Treasury Futures Basis Trade - Funding enhancement

fixed-income

asked Jun 28, 2019 at 2:15

1 vote

1 answer

106 views

Negative 2y swap spreads

fixed-income

asked Aug 8, 2019 at 1:48

1 vote

1 answer

122 views

Calendar roll terminology (buy vs sell)

fixed-income

asked Apr 18, 2019 at 20:35

1 vote

2 answers

80 views

Possible first rate cut by Fed - spot vs forwards

fixed-income

asked Apr 28, 2019 at 14:23

1 vote

3 answers

1k views

Treasury spline curve, practical question

fixed-income fixed

asked Jun 20, 2018 at 1:27

1 vote

1 answer

197 views

Repo advantage relative value (Treasury) [duplicate]

fixed-income

asked Aug 4, 2018 at 22:37

1 vote

2 answers

651 views

How to calculate implied repo of a hypothetical bond that has not been issued?

fixed-income

asked Aug 14, 2018 at 23:47

1 vote

0 answers

150 views

How to calculate the fair value of a futures roll and what are the practical uses?

fixed-income fair-value

asked Feb 18, 2019 at 15:29

1 vote

1 answer

357 views

Quarter-end repo spike (Why not lock in longer repo)

fixed-income

asked Mar 30, 2019 at 12:29

1 vote

2 answers

398 views

What does Buying 5 year and hedging with 2 year and 10 year mean?

fixed-income

asked Sep 13, 2017 at 22:30

1 vote

2 answers

2k views

How is 1y5y - 1y2y Treasury steepener trade executed?

fixed-income

asked Mar 29, 2018 at 1:53

0 votes

0 answers

75 views

Wider swap spreads, lower cost of funding?

fixed-income

asked Mar 30, 2018 at 12:19

0 votes

0 answers

77 views

When the Fed is in a hiking cycle or tightening cycle, the forwards are

fixed-income

asked Mar 16, 2018 at 10:57

0 votes

0 answers

141 views

Any books on rates vol? Recommendations

fixed-income

asked Feb 24, 2018 at 3:16

0 votes

0 answers

2k views

FX implied yield logic

fixed-income

asked Mar 1, 2018 at 1:48

0 votes

1 answer

123 views

If March contract and June contract has the same CTD, how is it a repo trade?

fixed-income

asked Mar 3, 2018 at 14:13

1