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by Inder
October 1st, 2009, 6:03 pm
Forum: Numerical Methods Forum
Topic: Pseudospectral Methods free book
Replies: 7
Views: 36752

Pseudospectral Methods free book

Moot point since link is broken!
by Inder
May 27th, 2009, 6:35 pm
Forum: General Forum
Topic: Flex start swap
Replies: 4
Views: 39368

Flex start swap

<t>The pricing/valuation can be done either exactly using a model to account for the three stochastic variables; the fx rate and the two interest rates or in a quick and dirty fashion by pricing conservatively. So if the swap tenor is x, one picks the better (from your viewpoint) of x+2m or x+5m and...
by Inder
May 26th, 2009, 7:28 pm
Forum: General Forum
Topic: Flex start swap
Replies: 4
Views: 39368

Flex start swap

Need more information. When does the exchange rate set? When do the accruals begin?
by Inder
May 19th, 2009, 8:35 pm
Forum: Student Forum
Topic: Swaptions on OIS (overnight index swap)
Replies: 3
Views: 43114

Swaptions on OIS (overnight index swap)

The link is broken!
by Inder
April 16th, 2009, 8:31 pm
Forum: Student Forum
Topic: Market Side when trading Caps/Floors
Replies: 9
Views: 41816

Market Side when trading Caps/Floors

<t>You're right; you need to price on the bid side of the swap curve and offer side of the vol curve. Sometimes people use contradictory terminology for bid and offer. A good way to check is to figure out which side of the market you can get your hedges done. Since you'll be short a floor, you need ...
by Inder
February 21st, 2009, 1:15 am
Forum: Programming and Software Forum
Topic: Mathematica software
Replies: 40
Views: 62352

Mathematica software

No difference that I can discern.
by Inder
February 21st, 2009, 1:09 am
Forum: Student Forum
Topic: Converting basis among currencies
Replies: 2
Views: 43027

Converting basis among currencies

Not difficult to do a quick and dirty way. You'd take the $ spread and multiply by PVBP from the $ curve for that maturity and divide by PVBP from the TIIE curve for that maturity.
by Inder
February 19th, 2009, 6:30 pm
Forum: Student Forum
Topic: Currency swap - exchange of principal at the begining
Replies: 2
Views: 42924

Currency swap - exchange of principal at the begining

The initial exchange of principal is for convenience only and ensuring that a fair exchange rate (for the final exchange) is set. To ensure this one could use a standard market fix such as the Fed fix or the ECB fix and the counterparty should have no problems with it. HTH.
by Inder
February 4th, 2009, 1:42 am
Forum: Student Forum
Topic: Simple cross currency basis swap
Replies: 1
Views: 43648

Simple cross currency basis swap

Neglecting effects such as the basis for the coupon vs xc swap; the owner of this bond can swap it into DKK (or SEK, you decide) +50 bp (mid or whichever side the basis swap is quoted)
by Inder
January 30th, 2009, 7:59 pm
Forum: Student Forum
Topic: cross currency basis spread question
Replies: 8
Views: 69443

cross currency basis spread question

<t>I don't usually look at Bloomberg for XC Basis swaps since the prices are fairly stale. If for gbp-eur they claim it's against euribor, then the assumption is it's against euribor flat and the spread is on gbp Libor side. It's never clear with BBG, so one way to check would be to see if it agrees...
by Inder
January 23rd, 2009, 8:59 pm
Forum: Student Forum
Topic: cross currency basis spread question
Replies: 8
Views: 69443

cross currency basis spread question

<t>It's not quite the same thing. The convention is for G7 currencies, the spread is on the currency side against $ Libor flat. When a cross pair e.g eur-gbp is involved, the spreads (positive or negative) apply to both sides from the quoted rates against usd. This convention is not universal e.g mx...
by Inder
December 28th, 2008, 12:48 am
Forum: Brainteaser Forum
Topic: Those Radicals!
Replies: 12
Views: 47277

Those Radicals!

What am I missing? I thought you start with the identity n(n+2) = nSqrt(1+(n+1)(n+3)) and this recurses infinitely and with n=1 gives you an answer of 3.
by Inder
November 7th, 2008, 5:25 pm
Forum: Technical Forum
Topic: Mathematics behind the curve
Replies: 24
Views: 54861

Mathematics behind the curve

What one has to keep in mind is that the FX forward market (which is what I assume you're quoting) is the driver and the basis swap is backed out of that. Since medium to long-dated forwards are not very liquid, you'll see apparently mismatched prices but seldom any actual arbitrage.
by Inder
May 21st, 2008, 3:03 pm
Forum: Technical Forum
Topic: Self Quanto FX Option
Replies: 8
Views: 66587

Self Quanto FX Option

Math: I think there's a sticky point in first section of your analysis. Your option amount is Euro 100. So you can only exercise $120 for Euro 100. And 80 of those can be converted to $120 at spot leaving you a profit of Euro 20.
by Inder
October 10th, 2007, 6:26 pm
Forum: Student Forum
Topic: Fwd Curve moves Vs libor ones....
Replies: 3
Views: 64227

Fwd Curve moves Vs libor ones....

You might want to confine a question to just one forum.
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