SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 54 matches

by donal
January 5th, 2017, 2:50 pm
Forum: Student Forum
Topic: CVA - FX forwards and options
Replies: 1
Views: 526

CVA - FX forwards and options

Hi all, Happy New Year.  I'm struggling a little with analytical CVA calculations for FX forwards and options.  Say we have a European call option with strike K on an underlying, S, maturing in T years, then I understand the CVA for the standalone call can be calculated as: CVA = LGD * Cumulative C'...
by donal
August 31st, 2013, 3:06 am
Forum: Student Forum
Topic: Inflation CVA
Replies: 1
Views: 6437

Inflation CVA

<t>Hi all,When computing CVA for a vanilla interest rate swap, you can approximate the exposure and by pricing a set of swaptions, weighted by the probability of default in each period.Does this approach apply more generally to other swaps? In particular, I'm looking at long dated zero-coupon inflat...
by donal
January 16th, 2013, 8:43 pm
Forum: Student Forum
Topic: FX barrier option models
Replies: 1
Views: 8703

FX barrier option models

<t>Hi all,I have a relatively vanilla Knock out FX option. The option has a 1yr maturity, has a strike of 1.35, and knocks out if spot ever falls below 1.2 during the life.I've done a bit of research, and have seen a number of different models recommended - Black Scholes, Vanna-Volga and Heston. I w...
by donal
January 4th, 2013, 10:23 am
Forum: Technical Forum
Topic: Fujii et. al, Collateral account question
Replies: 33
Views: 17999

Fujii et. al, Collateral account question

<t>Hi all,Ancast's papers are helpful generally with this question, but just wondered if anyone can shed light on the intuition of the specific Fujii et al derivation?Like Hattusa, I am struggling to understand the a(s) term, particulary:(1) why isn't it constant?, and(2) given that it isn't constan...
by donal
September 19th, 2012, 6:46 pm
Forum: Student Forum
Topic: CDO tranches - rational bounds
Replies: 1
Views: 10127

CDO tranches - rational bounds

<t>Hi all,I'm trying to work out potential bounds for a CDO tranche without resorting to a copula model or anything equally as complex. I've set out some of my thinking below, and would appreciate any comments as whether or not it is sensible. I'm less concerned about an exact value, more the potent...
by donal
April 19th, 2012, 7:20 pm
Forum: Book And Research Paper Forum
Topic: ONE TOUCH- Options
Replies: 1
Views: 14485

ONE TOUCH- Options

Hi Owais,For FX, try books by Uwe Wystup.Cheers,Donal
by donal
April 19th, 2012, 7:11 pm
Forum: Book And Research Paper Forum
Topic: accounting for derivatives: advanced hedging under IFRS
Replies: 5
Views: 15718

accounting for derivatives: advanced hedging under IFRS

<t>This is actually a really useful book. The topic of derivative accounting under IFRS is generally fairly dull. However, this book gives you real-life, everyday examples that matter, instead of the usual highly stylised examples you see in most accounting literature. I'd say that this book is usef...
by donal
March 27th, 2012, 1:28 pm
Forum: Student Forum
Topic: Forward-Starting American
Replies: 1
Views: 13146

Forward-Starting American

<t>Hi all,A very simple question, but I cant seem to prove the answer one way or the other. Your help would be much appreciated.At time t0, I am long a vanilla American option on an equity, with strike X. This option starts at t1 and expires at t2. Is the value of this option the same as going long ...
by donal
January 30th, 2012, 8:51 am
Forum: Student Forum
Topic: Convention in Bloomberg's Zero Rate and Discount Factor?
Replies: 4
Views: 17395

Convention in Bloomberg's Zero Rate and Discount Factor?

<t>Hi by1989,The BBG Help desk can sometimes be frustrating. Usually for questions of this nature, I bring up the help screen and before I even type my question I put something like "Can this please be directed to the fixed income quantitative team / expert". This usually avoids the help desk member...
by donal
January 30th, 2012, 8:45 am
Forum: Student Forum
Topic: Monte Carlo simulation - which vol?
Replies: 2
Views: 14323

Monte Carlo simulation - which vol?

<t>Hi all,I'm stuggling to come up with an answer to the question below. Perhaps I'm thinking about it in the wrong way, and so any advice, pointers to literature etc would be much appreciated.We have a product that pays-off at time T, dependent on the level of an equity. If, at time T, the equity i...
by donal
November 5th, 2011, 10:06 am
Forum: Student Forum
Topic: Valuing a tricky Equity linked note
Replies: 9
Views: 16968

Valuing a tricky Equity linked note

If you put it back then you get your original 100 plus 65% of the basket performance if positive.
by donal
November 5th, 2011, 9:50 am
Forum: Student Forum
Topic: Valuing a tricky Equity linked note
Replies: 9
Views: 16968

Valuing a tricky Equity linked note

<t>Hi all,Currently looking at a structure with a few features which are leaving me a little stuck in terms of how to value. Your thoughts would be much appreciated.Product is an investment in a fund which invests in various equities. You invest 100 in the fund, receive 100% capital protection and p...
by donal
June 13th, 2011, 1:13 pm
Forum: Student Forum
Topic: XCCY valuation when no USD leg
Replies: 0
Views: 18389

XCCY valuation when no USD leg

<t>Hi all,When reading the standard articles for XCCY swaps (Basis For Change from Risk magazine in the 90s and this), I see valuation against USD roughtly as follows:1 - Choose your funding/ reference/ liquidity currency. Usually USD.2 - Value the USD leg as normal i.e. with normal yield curve / di...
by donal
June 2nd, 2011, 6:52 am
Forum: General Forum
Topic: Mandatory Early Termination Clauses
Replies: 3
Views: 23222

Mandatory Early Termination Clauses

<t>Hi all,I've seen a few deals recently with "Mandatory Early Termination" clauses. What makes these seem strange (to me) is that they have no trigger conditions. For example, there might be a swap maturing in 2020, with a Mandatory Early Termination date of only a couple of months after trade date...
by donal
May 20th, 2011, 12:10 pm
Forum: Student Forum
Topic: CMS pricing
Replies: 1
Views: 18992

CMS pricing

Hi all,I'd be grateful if you could point me in the direction of the key literature relating to CMS products. I can't find a great treatment in the standard textbooks etc.Cheers,Donal
GZIP: On