SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by MHill
April 20th, 2018, 9:06 am
Forum: Off Topic
Topic: those esoteric eSwatinians
Replies: 5
Views: 324

Re: those esoteric eSwatinians

You're kidding!  iSwatini has built in obsolescence.  Bloody Apple.
by MHill
February 19th, 2018, 12:15 pm
Forum: General Forum
Topic: Process for Developing a Pricing Model?
Replies: 5
Views: 895

Re: Process for Developing a Pricing Model?

I'd suggest not trusting your intuition.  You need to completely take your product apart.  What are the expected cashflows of the product?  What can influence those cashflows, and how? If your product is a derivative based on an underlying instrument, do you understand the underlying?  Again, what a...
by MHill
February 15th, 2018, 12:41 pm
Forum: General Forum
Topic: Liquidity risk for OTC Instruments
Replies: 1
Views: 609

Re: Liquidity risk for OTC Instruments

It's a long time since I looked at any of this stuff.  For equities I used to look at our holdings as a multiple of average daily volume.  For bonds I used to look at the average credit spread for a rating / maturity bucket.  I'd also look at our holding as a % of the bonds in issue.  DTCC ( http://...
by MHill
August 15th, 2017, 7:57 am
Forum: Off Topic
Topic: Barclays and the LIBOR cartel
Replies: 71
Views: 15992

Re: Barclays and the LIBOR cartel

FYI, conversation with ICE: ICE: "Dear ,   ICE Benchmark Administration (IBA) welcomes Andrew Bailey’s comments on 27 July, which will help to ensure the transition to our evolved LIBOR. Users want an IOSCO-compliant, trusted rate, that is available every day for the entire curve.  IBA is actively w...
by MHill
July 31st, 2017, 3:20 pm
Forum: General Forum
Topic: my personal squezze
Replies: 26
Views: 5178

Re: my personal squezze

...
1. Write a book about the experience to help other learn
...
*clicks like button*
by MHill
July 28th, 2017, 2:29 pm
Forum: Off Topic
Topic: Barclays and the LIBOR cartel
Replies: 71
Views: 15992

Re: Barclays and the LIBOR cartel

I've asked ICE if they have an official comment on it.  Waiting to hear back.
by MHill
July 28th, 2017, 11:31 am
Forum: General Forum
Topic: FCA to end LIBOR in 2021
Replies: 2
Views: 699

Re: FCA to end LIBOR in 2021

oops - looks like this conversation was already started here:
viewtopic.php?f=15&t=91384&start=45
by MHill
July 28th, 2017, 8:46 am
Forum: General Forum
Topic: FCA to end LIBOR in 2021
Replies: 2
Views: 699

FCA to end LIBOR in 2021

Bbg story

Opinions?
by MHill
February 8th, 2017, 1:09 pm
Forum: Off Topic
Topic: Trump - the first 100 days
Replies: 1723
Views: 74273

Re: Trump - the first 100 days

it looks like Europe agrees with trump, the people if not the governments Most Europeans want immigration ban from Muslim-majority countries, poll 47 per cent of Britons want to stop immigration from Muslim majority countries An average of 55 per cent of people across the 10 European countries surv...
by MHill
November 11th, 2016, 9:01 am
Forum: Off Topic
Topic: RIP
Replies: 1547
Views: 55726

Re: RIP

Tea and oranges, anyone?  They come all the way from China...
by MHill
October 27th, 2016, 1:00 pm
Forum: General Forum
Topic: Zeros and Convexity
Replies: 1
Views: 485

Re: Zeros and Convexity

I'm guessing the first statement compares bonds with the same maturity, and looks at how modified duration (not Macaulay duration) changes with the yield. The second statement talks about Macaulay duration.  A zero-coupon bond's Macaulay duration is always it's time to maturity, no matter what.  It ...
by MHill
August 17th, 2016, 3:38 pm
Forum: Economics Forum
Topic: economics of cinema tickets
Replies: 16
Views: 1771

Re: economics of cinema tickets

 Face value of cinema is up hugely, but there are many ways around it.  I bought some cheap travel insurance (under £7) from those Meerkats, and they give me 2 for 1 on tickets for Tuesday and Wednesday shows for the rest of the year. I can also cash in my supermarket loyalty points for tickets if I...
by MHill
July 28th, 2016, 7:02 pm
Forum: General Forum
Topic: Presentation Format
Replies: 12
Views: 923

Re: Presentation Format

These are great ideas. Much appreciated!
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