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by syaek
March 7th, 2009, 5:04 pm
Forum: Technical Forum
Topic: SABR model and beta
Replies: 2
Views: 44761

SABR model and beta

<t>Some time back I did some work looking at getting a reasonable value for beta using historical swap rates. I found that beta was very different for different maturities, but I also found that it was different (substantially) when the period over which the maturities are analysed was increased fro...
by syaek
March 7th, 2009, 4:50 pm
Forum: Technical Forum
Topic: SABR parameters interpolation
Replies: 11
Views: 97347

SABR parameters interpolation

In relation to the sabr model, I have heard people say that 'alpha' is the volatility - how is this so? To me it is a model parameter we can find by calibration?
by syaek
March 7th, 2009, 4:44 pm
Forum: Technical Forum
Topic: Does anyone know how to implement static hedging for exotic options i.e. barrier?
Replies: 31
Views: 70118

Does anyone know how to implement static hedging for exotic options i.e. barrier?

Can we list the papers which should be read by somone who needs to hedge a barrier option (knock - in option) in the rates world?
by syaek
March 7th, 2009, 4:20 pm
Forum: Technical Forum
Topic: Greeks of exotic derivatives
Replies: 13
Views: 74782

Greeks of exotic derivatives

Hi,MRonwise, what do you mean by 'MJ's Book? Which book is that?Thanks
by syaek
February 21st, 2009, 4:12 pm
Forum: General Forum
Topic: Pricing exotics
Replies: 1
Views: 42322

Pricing exotics

<t>Hi,Are there any textbooks (useful ones!) which speak about the practical side of pricing exotics? From the point of view of teaching one's self about pricing barrier options/spread options/cms etc all from the point of view of rates and fx(i.e. I don't have an interest in stocks/commodities etc)...
by syaek
February 18th, 2009, 5:26 pm
Forum: Student Forum
Topic: payer/receiver swaption
Replies: 5
Views: 46087

payer/receiver swaption

<r>Dumb question on my behalf ... I knew the answer (it was in there somewhere!). Thanks for the comments - will read that paper by Collector.Also, Martinghoul says:'Best thing to do is to try to think of the distribution of the underlying and what it implies. 'Can you ellucidate on this? I know the...
by syaek
February 18th, 2009, 3:42 pm
Forum: Student Forum
Topic: payer/receiver swaption
Replies: 5
Views: 46087

payer/receiver swaption

<t>Hi,In the vol market, if you are doing a 5y7y (i.e. a 5 year option which expires into a 7y swap) receiver and payer swaption, you have a vol trade. It is struck at the money forward (i.e. using the swap rate for a trade which starts in 5 years and lasts for 7 years). You also pick up some delta ...
by syaek
February 16th, 2009, 1:40 pm
Forum: Student Forum
Topic: cap/floor straddle
Replies: 0
Views: 42038

cap/floor straddle

Hi,What is a cap/floor straddle in relation to interest rates ? i.e. a 5 Year cap.floor straddle priced at 20% for GBP rates. Thanks.
by syaek
February 16th, 2009, 1:40 pm
Forum: Student Forum
Topic: cap/floor straddle
Replies: 3
Views: 46615

cap/floor straddle

Hi,What is a cap/floor straddle in relation to interest rates ? i.e. a 5 Year cap.floor straddle priced at 20% for GBP rates. Thanks.
by syaek
January 8th, 2009, 11:04 am
Forum: Student Forum
Topic: Cap/Swaption
Replies: 3
Views: 44112

Cap/Swaption

Hi,Why would there be a different volatility surface used for caps and swaptions?Thanks.
by syaek
January 7th, 2009, 8:47 am
Forum: Student Forum
Topic: Roll down and steepeners
Replies: 2
Views: 44166

Roll down and steepeners

10bp. Fair point, well made! Thanks.
by syaek
January 6th, 2009, 2:24 pm
Forum: Student Forum
Topic: Roll down and steepeners
Replies: 2
Views: 44166

Roll down and steepeners

Hi all,If the 3v10s 1y fwd steepener is at +13bp and the 3v10s 9m fwd steepener at +23bp, this is described as being positive roll. Can you pls explain?Thanks.
by syaek
June 5th, 2008, 2:58 pm
Forum: General Forum
Topic: Know your Weapon
Replies: 2
Views: 53652

Know your Weapon

Thanks Collector. I will if I can find a good library! I found the 1st paper very interesting - written with the real world in mind.
by syaek
June 4th, 2008, 8:18 am
Forum: General Forum
Topic: Know your Weapon
Replies: 2
Views: 53652

Know your Weapon

<t>Hi all,Having read the excellent 'Know your Weapon', Part I by Haug (aka Collector I gather from his comments in other parts of this site) I would like to read parts II and III. Where can I get these? I don't want to have to sign up for the Wilmott magazine (sorry Paul! - I'm not a quant...) to g...
by syaek
May 18th, 2008, 8:49 pm
Forum: Trading Forum
Topic: portfolio management
Replies: 1
Views: 54759

portfolio management

<t>Hi all,I am working on a fixed income desk and need to analysis our inhouse portfolio of trades on a daily basis in terms of the greeks - a portfolio consisting of swaptions, swaps, bonds etc. Is there any text book written specifically for dealing with how to think about these type of portfolio'...
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