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by Pat
April 20th, 2019, 2:43 am
Forum: General Forum
Topic: What are the rules for EOM effective dates for Libor
Replies: 2
Views: 420

Re: What are the rules for EOM effective dates for Libor

In the late nineties, the answer was no ... Libor respected the day-of-the-month, not the month-end property. In 2000's it got murky with some firms choosing yes and some choosing no. I'm think that Libor does not respect the end of month, but please correct me if I'm wrong.
by Pat
April 20th, 2019, 2:42 am
Forum: General Forum
Topic: What are the rules for EOM effective dates for Libor
Replies: 2
Views: 420

Re: What are the rules for EOM effective dates for Libor

In the late nineties, the answer was no ... Libor respected the day-of-the-month, not the month-end property. In 2000's it got murky with some firms choosing yes and some choosing no. I'm think that Libor does not respect the end of month, but please correct me if I'm wrong.
by Pat
April 20th, 2019, 2:39 am
Forum: Trading Forum
Topic: Callable debt
Replies: 8
Views: 3012

Re: Callable debt

For example, a common use of models is to compare bonds against each other. Would I prefer the Las Vegas Water Authority Bonds, or the Mesa Ariz School District Bonds? Not only do the borrowers have different credit spreads, but the bonds usually have different callability features. One model is jus...
by Pat
April 19th, 2019, 11:21 pm
Forum: Trading Forum
Topic: Callable debt
Replies: 8
Views: 3012

Re: Callable debt

1. The key question is how to price a European option on the bond. If you can price the European option, then expanding this to a Bermudan pricing model is reasonably straight forward. The key pricing step is usually calibrating the Bermudan model so that it matches the European prices exactly. 2. T...
by Pat
March 27th, 2019, 11:41 pm
Forum: General Forum
Topic: EOM rule subtleties in the swap market
Replies: 4
Views: 618

Re: EOM rule subtleties in the swap market

Isn't this why most (all?) confirms list all the theoretical dates plus the business day rules plus the holiday centers ...  so that regardless of system quirks, and whether country X creates extra holidays, we have an unambiguous, legally enforceable contract?
by Pat
March 19th, 2019, 3:02 pm
Forum: Technical Forum
Topic: Convexity corrections ...
Replies: 0
Views: 1274

Convexity corrections ...

Replication is used for many convexity corrections (for CMS caps, floors, and swaps; for Libor set in arrears and other mismatched simple rates; for IRR settled swaps and swaptions). It's a major pain in the ... neck, because it can introduce risks to high strike options. Often strikes high enough t...
by Pat
March 19th, 2019, 2:37 pm
Forum: Technical Forum
Topic: Riemann zeta function finance, much used?
Replies: 5
Views: 1584

Re: Riemann zeta function finance, much used?

or the Milne extrapolation length for weakly colored noise ...
by Pat
January 11th, 2018, 5:23 pm
Forum: Technical Forum
Topic: CDOs recovery
Replies: 3
Views: 607

CDOs recovery

I have a technical question about CDOs. Suppose a name with notional n defaults; the loss to the underlying basket is               L = (1-R)*n and is absorbed by the appropriate tranch. The question is what happens to the recovery, R*n? Does it go to retire part of the super senior (XX to 100) tran...
by Pat
January 11th, 2018, 5:14 pm
Forum: Economics Forum
Topic: Wealth tax
Replies: 50
Views: 4779

Re: Wealth tax

Presumably a wealth tax would force people to deploy their assets in the economy, not allowing them to sit unused or in low return endeavors. The negative is that you're mixing capital with current accounts, equivalent to borrowing long term to pay monthy bills.If the tax on capital went to public c...
by Pat
December 7th, 2017, 9:42 pm
Forum: Technical Forum
Topic: FX barrier options
Replies: 5
Views: 1126

FX barrier options

Does anyone recall the standard way of pricing barrier options ? The way the street does it, as opposed theory
by Pat
December 5th, 2017, 3:19 pm
Forum: Economics Forum
Topic: Wealth tax
Replies: 50
Views: 4779

Re: Wealth tax

In many areas of the US (eg, Oregon), property taxes are local taxes paying for schools, city police, fire, roads, administration, and most of these levys are voted on seperately for each school district , fire district, ... And they do get voted down if the voters dont think it's good value for mon...
by Pat
December 5th, 2017, 3:04 pm
Forum: Technical Forum
Topic: Converntions for compounded OIS swaps
Replies: 3
Views: 617

Re: Converntions for compounded OIS swaps

Thanks. Thanks. For OIS/fixed swaps, would you know if the fixed leg payments are Act360 and if they are delayed so that they occur on the same day as the compounded OIS payments? And for OIS vs. (3mLibor + spread), are the 3m Libor payments delayed to match the OIS pay dates, or are they like any o...
by Pat
December 4th, 2017, 10:04 pm
Forum: Technical Forum
Topic: Converntions for compounded OIS swaps
Replies: 3
Views: 617

Converntions for compounded OIS swaps

I'm trying to parse compounded OIS vs fixed and compounded OIS vs 3mLibor swaps for USD. Question is pay-lag. Suppose we have a 3y compounded OIS vs. 2$ fixed swap. So we start at t0 = spot-of-today and generate actual dates t0, t1, t2, t3.one year apart. Now the compounded OIS rates for an interval...
by Pat
October 5th, 2017, 2:32 pm
Forum: General Forum
Topic: Which model for which fixed-income product?
Replies: 4
Views: 1525

Re: Which model for which fixed-income product?

The general rules: A. The calibrated model has to simultaneously price the deal AND it's hedging instruments           --- when you hedge (and re-hedge!) a deal, you are really selling the opposite deal           --- it's largely irrelevant whether the model correctly prices other deals or deal type...
by Pat
July 21st, 2017, 7:17 pm
Forum: Politics Forum
Topic: Everything You Always Wanted To Know About Marxism But Were Afraid To Ask Jeremy Corbyn
Replies: 77
Views: 15325

Re: Everything You Always Wanted To Know About Marxism But Were Afraid To Ask Jeremy Corbyn

I thought Marxism is where everything is owned by the people ... but of course somebody has to take up the burden of administering everything for the people ... and to relieve these key administrators of distractions, they are given a few simple perks so they can keep focussed on serving the people ...
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