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by wisesummer
September 6th, 2011, 12:20 pm
Forum: General Forum
Topic: A question about LIBOR caps
Replies: 8
Views: 20358

A question about LIBOR caps

<r>QuoteOriginally posted by: pimpelSee my previous post, I have explained the strike there. I would be surprised if that was a simple average forward rate. It is equal to forward IRS covering the period of a cap, so in case of EUR 5Y cap on Euribor 6M, the IRS would cover the period starting in 6M ...
by wisesummer
September 5th, 2011, 4:45 pm
Forum: General Forum
Topic: A question about LIBOR caps
Replies: 8
Views: 20358

A question about LIBOR caps

<r>Finally figure out that the strike for the "ATM" cap implied vol on Datastream is NOT the swap rate at the corresponding maturity; it's the "single blended quarterly swap rate (actual/360) which can be calculated from the series of forward rates during the cap or floor term" (ref. <URL url="http:...
by wisesummer
September 1st, 2011, 5:36 am
Forum: General Forum
Topic: Cap Prices on Datastream - Where to Find?
Replies: 5
Views: 28993

Cap Prices on Datastream - Where to Find?

QuoteOriginally posted by: MartinghoulThere are cap prices on Reuters...Under which category? Please help, thanks a lot!
by wisesummer
September 1st, 2011, 1:20 am
Forum: General Forum
Topic: A question about LIBOR caps
Replies: 8
Views: 20358

A question about LIBOR caps

<t>QuoteOriginally posted by: bearishThere is a single strike applying to all the caplets that make up the cap. The usual problem that arises when you try to strip out the caplet vols from a set of ATM caps is that you will have to make assumptions about the skew (or, better, get lots of away-from-t...
by wisesummer
August 31st, 2011, 2:10 pm
Forum: General Forum
Topic: A question about LIBOR caps
Replies: 8
Views: 20358

A question about LIBOR caps

<t>QuoteOriginally posted by: pimpelAsually ATM cap has strike equal to the forward IRS covering the period of a cap. Since everyone is having a bit different discounting and forwarding curves, I would suggest working on cap premiums rather than vols.Do there actually exist these "ATM" caps being tr...
by wisesummer
August 31st, 2011, 6:17 am
Forum: General Forum
Topic: A question about LIBOR caps
Replies: 8
Views: 20358

A question about LIBOR caps

<t>The caps data downloaded from Datastream are implied volatilities, and they seem to be ATM.I have a question about the "ATM": are there any actual "ATM" caps in the sense that the strikes of the caps are actually the swap rates at corresponding maturities? Or these so called "ATM"s are interpolat...
by wisesummer
May 30th, 2011, 1:33 am
Forum: Trading Forum
Topic: Margin requirements for trading index futures
Replies: 3
Views: 19958

Margin requirements for trading index futures

<t>Hello all, I am interested in trading a portfolio of futures of E-mini S&P 500, E-mini Nasdaq 100 and E-mini Dow($5). However, I am not sure about how the margin requirements for portfolio different from those of trading a single index futures.Say, $S for trading one contract of E-mini S&...
by wisesummer
April 20th, 2010, 7:16 am
Forum: Technical Forum
Topic: On caplet implied volatility
Replies: 4
Views: 29766

On caplet implied volatility

<t>Thanks a lot for looking into this question. I think some guy has helped me figure out what "flat price volatility" means. Here the main difference between the new method and market practice is volatility of "price". In market practice implied volatility is the "yield" volatility, and in this new...
by wisesummer
April 19th, 2010, 4:03 pm
Forum: Technical Forum
Topic: On caplet implied volatility
Replies: 4
Views: 29766

On caplet implied volatility

I am so sorry about the link. I have fixed now. Thanks a lot for reminding.
by wisesummer
April 19th, 2010, 3:23 pm
Forum: Technical Forum
Topic: On caplet implied volatility
Replies: 4
Views: 29766

On caplet implied volatility

<r>I have a question on definition of "flat price volatility" which is due to the paper "A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON". In this paper authors use a new method to compute the caplet implied volatility which is different from market practice. However, I just c...
by wisesummer
December 9th, 2009, 7:27 am
Forum: General Forum
Topic: Margin requirement for interest rate Swap trading
Replies: 1
Views: 34204

Margin requirement for interest rate Swap trading

<t>I am wondering if there were any margin requirement for trading interest rate Swap rate. For example, I have a portfolio comprised of Swap rate contracts of one 5yr, w2 2yr, w3 3yr, and w10 10yr, where -1 < w2, w3, w10 < 1. My question is how much I need to put down to long or short this portfoli...
by wisesummer
July 10th, 2009, 8:57 pm
Forum: General Forum
Topic: About calculating “return rate”
Replies: 5
Views: 37406

About calculating “return rate”

<t>Normally, the "return rate" could be calculated as the ratio of profit or loss to the initial cost of the investment. My question is how to calculate the "return rate" of investment without initial cost. E.g. investing in LIBOR, Swap, or CDS market requires no initial cost, I mean theoratically s...
by wisesummer
March 28th, 2009, 3:43 am
Forum: General Forum
Topic: Is Callable Convertible Bond always called before voluntarily converted?
Replies: 1
Views: 40866

Is Callable Convertible Bond always called before voluntarily converted?

I saw a statement says "In practice, virtually all conversions are forced by the issuer". Is this true? If it is so, the CB valuation model could be simplified to a great extent. Hope someone with the practical experience would share some insights.
by wisesummer
March 26th, 2009, 3:46 pm
Forum: General Forum
Topic: Tsioveriotis & Fernandes Convertible bond model....help!
Replies: 25
Views: 202592

Tsioveriotis & Fernandes Convertible bond model....help!

QuoteOriginally posted by: ValI liked this paper. However, it's still unclear how one will jointly calibrate this model to equity smile and CDS in order to get a consistent local vol surface....It has been 6 years, are there any new papers dealing with these issues now?
by wisesummer
January 29th, 2009, 1:59 am
Forum: Student Forum
Topic: Is there any latest topic regarding volatility?
Replies: 1
Views: 42681

Is there any latest topic regarding volatility?

volatility arbitrage in fixed income market, modeling the volatility surface dynamic in fixed income market
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