Search found 5 matches

by Ronnie36
May 17th, 2019, 1:49 pm
Forum: General Forum
Topic: Bond Pricing (Illiquid Asset)
Replies: 3
Views: 2619

Bond Pricing (Illiquid Asset)

Hi, Wanted to ask a question on real world pricing of a bond, specifically an Illiquid bond (e.g. a Bond that due to sanctions lets say has very limited, if any trading during the course of the month).  When it comes to Month End, we price the bond following an in-house pricing hierarchy (Bloomberg ...
by Ronnie36
November 20th, 2016, 2:58 pm
Forum: Student Forum
Topic: Portfolio Income
Replies: 1
Views: 609

Portfolio Income

Hi All A basic question for most of you Im sure. I look after a Bond portfolio (mainly Government Bonds and a few Corporates), some FX contracts for hedging mainly also exist.  I have been asked by an investor to provide the Month by Month Income of the portfolio expressed as an annualised cash yiel...
by Ronnie36
July 18th, 2016, 5:13 pm
Forum: General Forum
Topic: MtM on Cross Currency Swaps
Replies: 8
Views: 1361

MtM on Cross Currency Swaps

Hi All, I understand the process where we would use OIS Discounting on say a USD Fixed v Floating swap it the swap was collaterialised.  So we would project using a USD Libor Curve and Discount using the OIS curve However, what happens on a Cross Currency Swap (Lets say Receiving Fixed RUB and Payin...
by Ronnie36
June 24th, 2016, 9:52 am
Forum: Student Forum
Topic: Par Spread v Quoted Spread (CDS)
Replies: 4
Views: 629

Par Spread v Quoted Spread (CDS)

<t>HiI am new to the CDS Pricing world and don't understand what the difference is between Par Spreads and Quoted (Or Conventional) Spreads.Would someone mind explaining this to me, I would really appreciate this! For example, a Par Spread of 190 bps is equal to a Quoted Spread of 192 bps for a trad...
by Ronnie36
August 13th, 2015, 2:55 pm
Forum: Numerical Methods Forum
Topic: IR Swaps Break Even Rate
Replies: 0
Views: 3744

IR Swaps Break Even Rate

<t>Hello All, I have a question Im hoping someone can help me on!Im comparing the Swaps Break Even rate on two different systems. However, one system provides a rate which includes the accrual on the fixed and floating side and one system doesn't include the accrual. Therefore Im not comparing like ...