SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by bakait
March 2nd, 2011, 4:37 am
Forum: Technical Forum
Topic: Conventions for IR Basis Swaps (ICAP quote)
Replies: 14
Views: 55697

Conventions for IR Basis Swaps (ICAP quote)

Hi Martinghoul,i have seen many posts by you regarding Basis swaps. kindly clarify my doubts over basis swap as mentioned in this thread.
by bakait
March 1st, 2011, 10:52 pm
Forum: Technical Forum
Topic: Conventions for IR Basis Swaps (ICAP quote)
Replies: 14
Views: 55697

Conventions for IR Basis Swaps (ICAP quote)

<t>Questions.1) Do you really get 1M LIBOR zero curve directly in the market? then in case of 3M vs 6M (12 M) USD swap, do you get 6M (12M) zero curve in the market?When i say i will use 1M LIBOR zero curve as a forward curve, i will use this 1M curve to calculate forward rates for 1M side payment w...
by bakait
March 1st, 2011, 1:20 pm
Forum: Technical Forum
Topic: Conventions for IR Basis Swaps (ICAP quote)
Replies: 14
Views: 55697

Conventions for IR Basis Swaps (ICAP quote)

sorry, in previous post, the discounting curve for both 1M and 3M will be same.
by bakait
March 1st, 2011, 1:19 pm
Forum: Technical Forum
Topic: Conventions for IR Basis Swaps (ICAP quote)
Replies: 14
Views: 55697

Conventions for IR Basis Swaps (ICAP quote)

<t>Hi Thanks for the response. I was also thinking what you have said.Kindly search for "BASIS SWAP calculation" in this forum, you will get one post. go through it. If i follow this post , and try to price 1M vs 3M USD basis swap.I will price it using following steps:- get 3M LIBOR zero curve- get ...
by bakait
March 1st, 2011, 6:35 am
Forum: Technical Forum
Topic: Conventions for IR Basis Swaps (ICAP quote)
Replies: 14
Views: 55697

Conventions for IR Basis Swaps (ICAP quote)

<t>I have got a little doubt in this discussion. For USD, The LIBOR is quoted quarterly. so for a 3M vs 6M basis Swap:Party A pays: 3M + spread (bps) quarterly (3M vs 6M basis spread)Party B pays: 6M semianuallySimilarly for 1M vs 3M USD basis swap:Party A pays: 1M - spread (bps) monthly (1M vs 3M b...
by bakait
February 28th, 2011, 5:27 am
Forum: Careers Forum
Topic: career guidance
Replies: 4
Views: 21169

career guidance

I am also planning to apply to Oxford, Cambridge, and Imperial. Could anybody please tell me about my chances of getting into these schools. I have heard about Warwick, but don't know much about it? how is it?
by bakait
February 23rd, 2011, 8:41 am
Forum: Careers Forum
Topic: career guidance
Replies: 4
Views: 21169

career guidance

<t>Thanks for responding back. My bachelors was in Metallurgy, and yeah, apart from mandatory courses, i didn't do any other math courses. Even though i haven't done any particular course in Stats, but i keep on reading Stats material for example: Regression, various kinds of distribution, hypothesi...
by bakait
February 22nd, 2011, 7:52 am
Forum: Careers Forum
Topic: career guidance
Replies: 4
Views: 21169

career guidance

<t>Hi All,I am a passout from Indian Institute of Technology (IIT),Kanpur and am currently working with a finance startup firm in india as a Quantitative analyst. I am looking to apply for MFE this year. Following is a brief about my profile:Work Experience: 1. Current Firm: Working on valuation/pri...
by bakait
February 10th, 2011, 11:23 am
Forum: Technical Forum
Topic: calibrating Hull white 1F
Replies: 1
Views: 20488

calibrating Hull white 1F

<t>Hi All,I am trying to calibrate HW1F model using ATM caps. I Have already gone through the posts which are there on this forum regarding its calibration. I am calibrating this model by simultaneously optimizing a,sigma. And the end result is that there is an error of 7% in the model prices and ma...
by bakait
February 6th, 2011, 10:15 am
Forum: Technical Forum
Topic: OIS PRicing
Replies: 1
Views: 22749

OIS PRicing

In my previous post, the first equation should have beenand similiarly 2nd equation also.
by bakait
February 6th, 2011, 10:10 am
Forum: Technical Forum
Topic: OIS PRicing
Replies: 1
Views: 22749

OIS PRicing

<t>Hi All,I am presently working on Overnight Index Swap pricing, and have got a few questions. First of all, let me tell you about the methodology which i am following.Pricing methodology:1) Obtain OIS quotes, which are OIS fixed rates, from the market.2) Construct OIS zero curve from these OIS quo...
by bakait
November 26th, 2010, 9:36 am
Forum: Technical Forum
Topic: Interest Rate: Volatility Cube calibration with SABR
Replies: 11
Views: 28963

Interest Rate: Volatility Cube calibration with SABR

I also want to know how to make volatility cube. I know that by stripping cap volatilities one can cover one face of the cube. And then you have got ATM swaption for different strike and tenor combinations. Do you really tweak alpha parameter to fit the volatility (as suggested by pimpel).
by bakait
November 22nd, 2010, 10:30 am
Forum: Technical Forum
Topic: caplet volatility from bloomberg
Replies: 4
Views: 29998

caplet volatility from bloomberg

<t>Hi All,I am trying to calibrate HW 1F model. In my firm, someone has already calibrated it using old caplet volatilities. But i really doubt if we directly get caplet volatilities from bloomberg. I know thta using <VCUB> we can get volatility cube, but it given me cap volatilities. My questions i...
by bakait
October 14th, 2010, 12:14 pm
Forum: Technical Forum
Topic: LIBOR OIS spread
Replies: 1
Views: 24950

LIBOR OIS spread

<t>Hi All,OIS rate is quoted by the Fed and LIBOR is inter bank rate, which is greater than OIS rate. The difference between LIBOR and OIS accounts for Credit risk which one bank has while lending to another bank. Now I am having following questions on this.1) Whenever pricing some security, why do ...
by bakait
October 14th, 2010, 8:05 am
Forum: General Forum
Topic: hedge MBS
Replies: 1
Views: 23270

hedge MBS

I have been reading on net that MBS can be hedged using similiar duration treasury securities, but not able to visualize the same. Can anybody help me in understanding the same.Regards
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