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by Martinghoul
October 12th, 2017, 11:49 am
Forum: Economics Forum
Topic: The question of low inflation
Replies: 14
Views: 2231

Re: The question of low inflation

You've chosen such a trivial question to ask...
by Martinghoul
September 6th, 2017, 1:55 pm
Forum: General Forum
Topic: Probabilities of Default from Yield Spreads
Replies: 5
Views: 911

Re: Probabilities of Default from Yield Spreads

Let me try to find smth for you...
by Martinghoul
September 6th, 2017, 9:23 am
Forum: General Forum
Topic: Probabilities of Default from Yield Spreads
Replies: 5
Views: 911

Re: Probabilities of Default from Yield Spreads

It should be possible, IMHO, with a variety of simplifying assumptions...
by Martinghoul
September 5th, 2017, 9:07 am
Forum: General Forum
Topic: Probabilities of Default from Yield Spreads
Replies: 5
Views: 911

Re: Probabilities of Default from Yield Spreads

Are these USD-denominated govt bonds?
by Martinghoul
August 4th, 2017, 10:23 am
Forum: Trading Forum
Topic: Trading the Implied Repo Rate
Replies: 2
Views: 733

Re: Trading the Implied Repo Rate

I am not sure what you're asking here, really, but when you do a basis trade, you're implicitly trading the implied repo rate, sorta (tautology intended).  There can be no other way of trading it, really, and that's just by construction.
by Martinghoul
July 28th, 2017, 2:24 pm
Forum: Off Topic
Topic: Barclays and the LIBOR cartel
Replies: 71
Views: 15864

Re: Barclays and the LIBOR cartel

Nobody has a clue about how it all evolves from here...
by Martinghoul
July 28th, 2017, 9:45 am
Forum: General Forum
Topic: FCA to end LIBOR in 2021
Replies: 2
Views: 678

Re: FCA to end LIBOR in 2021

All sorts of craziness will ensue,..
by Martinghoul
June 29th, 2017, 3:21 pm
Forum: Student Forum
Topic: FRA's
Replies: 2
Views: 678

Re: FRA's

If there are no instruments to hedge with, then it's a risk that cannot be hedged.
by Martinghoul
June 6th, 2017, 8:14 pm
Forum: Trading Forum
Topic: General Collateral
Replies: 1
Views: 637

Re: General Collateral

I have never heard the term "sector GC".
by Martinghoul
May 31st, 2017, 9:07 am
Forum: General Forum
Topic: Pricing Options on Fixed Income ETFs
Replies: 13
Views: 1826

Re: Pricing Options on Fixed Income ETFs

I would think that in order to price the whole option universe professionally, you would need to first compute the ETF forward. Excuse my ignorance on the subject, but I would like to ask a follow-up question on the comment above made by mtsm. I am broadly familiar with options pricing theory, but ...
by Martinghoul
May 25th, 2017, 8:29 pm
Forum: General Forum
Topic: Pricing Options on Fixed Income ETFs
Replies: 13
Views: 1826

Re: Pricing Options on Fixed Income ETFs

I haven't looked into fixed income ETFs let alone options on them, but as a former OTC fixed income option trader who routinely traded options on debt indexes, I don't see any particular issues in pricing options on fixed income ETFs. Not at all. Computing forwards on fixed income instrument is imh...
by Martinghoul
May 25th, 2017, 9:08 am
Forum: General Forum
Topic: Pricing Options on Fixed Income ETFs
Replies: 13
Views: 1826

Re: Pricing Options on Fixed Income ETFs

I'll chime in with a comment and a question. First of all from a modeling perspective, I agree with martinghoul, whether it's a european or american option, there isn't anything special about it. From the moment on you pick a process for the underlying, a bond ETF in the case at hand, and a payoff,...
by Martinghoul
May 24th, 2017, 2:58 pm
Forum: General Forum
Topic: Pricing Options on Fixed Income ETFs
Replies: 13
Views: 1826

Re: Pricing Options on Fixed Income ETFs

I don't know of any resources...

While these underlying securities have some funky features related to "dividends", I don't know of any special techniques that you'd need to price them.  That said, I am a tourist in such matters.
by Martinghoul
May 22nd, 2017, 8:16 am
Forum: Student Forum
Topic: Converting swap rates (or any rate) between different day counts
Replies: 3
Views: 783

Re: Converting swap rates (or any rate) between different day counts

Do what David suggested and you can't go wrong...
by Martinghoul
May 22nd, 2017, 8:14 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1228

Re: How to trade open price in practice as in my backtest?

You need to figure out what your strategy does: hit/lift the mkt or place limit orders and wait for hits/lifts.  Depending on this, you will need to estimate either the expected transaction costs or fill percentages, which can then be used to run the backtest.
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