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by Martinghoul
May 21st, 2017, 8:59 am
Forum: Technical Forum
Topic: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?
Replies: 4
Views: 1116

Re: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?

Have you tried to quantify how much the differences you mention are worth, in basis points?
by Martinghoul
May 18th, 2017, 2:23 pm
Forum: Trading Forum
Topic: How to Finance the Purchase of a Forward Bond Settlement?
Replies: 7
Views: 1079

Re: How to Finance the Purchase of a Forward Bond Settlement?

@Martinghoul - when you say " You can do a fwd repo or you can wait until time T.", do you mean the following? a) do a forward repo:   today , we trade a repo from day 29 to day 30 (assuming day 30 is the settlement date of the bonds) b) wait until time T:   at day 29 , trade an overnight repo from...
by Martinghoul
May 18th, 2017, 8:58 am
Forum: Trading Forum
Topic: How to Finance the Purchase of a Forward Bond Settlement?
Replies: 7
Views: 1079

Re: How to Finance the Purchase of a Forward Bond Settlement?

@ekeenan81 - Let's just assume that it's a forward settlement date.  I have nothing in the portfolio and I buy a U.S. Treasury note today for settlement 30 days from now.  I will owe money to someone 30 days from now, right?  So, if that's the case, do I have a choice of the following? a) 30-day te...
by Martinghoul
May 14th, 2017, 4:54 pm
Forum: General Forum
Topic: What Is the correct discounting, risky or riskless?
Replies: 5
Views: 876

Re: What Is the correct discounting, risky or riskless?

Here is one of the oldest ones I could locate:
viewtopic.php?f=4&t=68959&hilit=Discounting

NB: the relevant bits start towards the end of page 1.
by Martinghoul
May 13th, 2017, 5:22 pm
Forum: General Forum
Topic: What Is the correct discounting, risky or riskless?
Replies: 5
Views: 876

Re: What Is the correct discounting, risky or riskless?

There is no right answer...  Do you have to mark your position to market?  If so, this may provide an answer.

In general, this question, in some format, has been asked for as long as I can remember.
by Martinghoul
May 12th, 2017, 2:21 pm
Forum: Trading Forum
Topic: Gershon / superderivatives vol model
Replies: 5
Views: 924

Re: Gershon / superderivatives vol model

When I looked it was OK for swaptions, mostly...  However, it had pretty monumental issues with caps and floors.
by Martinghoul
May 12th, 2017, 11:43 am
Forum: Trading Forum
Topic: Gershon / superderivatives vol model
Replies: 5
Views: 924

Re: Gershon / superderivatives vol model

For what products?  Last I looked, they had some glaring issues and, emphatically, didn't match IDB mkt prices for some rates products.  To be fair, this was some time ago.
by Martinghoul
May 12th, 2017, 11:41 am
Forum: General Forum
Topic: Risk-free rate curve
Replies: 7
Views: 1264

Re: Risk-free rate curve

You can do all sorts of things to create OIS proxies, but, ultimately, all these acrobatics are going to be arbitrary.  So it really kinda doesn't what you do, as long as a) you feel it's reasonable; b) your pricing is internally consistent; and c) you're not doing smth wildly different to what the...
by Martinghoul
May 11th, 2017, 1:58 pm
Forum: General Forum
Topic: Risk-free rate curve
Replies: 7
Views: 1264

Re: Risk-free rate curve

You can do all sorts of things to create OIS proxies, but, ultimately, all these acrobatics are going to be arbitrary.  So it really kinda doesn't what you do, as long as a) you feel it's reasonable; b) your pricing is internally consistent; and c) you're not doing smth wildly different to what the ...
by Martinghoul
May 11th, 2017, 8:47 am
Forum: Trading Forum
Topic: Butterfly Terminology
Replies: 7
Views: 860

Re: Butterfly Terminology

Speaking for myself, there's really no convention and I still have to make sure to not confuse people when I talk about flies.
by Martinghoul
May 8th, 2017, 8:53 am
Forum: General Forum
Topic: Difference between OAS and CMM for TBA
Replies: 7
Views: 930

Re: Difference between OAS and CMM for TBA

 Thanks
Also, could you please recommend any book for this. I was planning to go through Fixed Income Modeling by Claus Munk. Please let me know if you have any other recommendation.

Thanks in advance.
Are you looking for a book on Fixed Income more broadly or on mortgages specifically?
by Martinghoul
May 5th, 2017, 9:11 am
Forum: General Forum
Topic: Difference between OAS and CMM for TBA
Replies: 7
Views: 930

Re: Difference between OAS and CMM for TBA

Before comparing them, do you know what the two of these terms actually stand for? Apologies, but my understanding is very poor, as I have just started. OAS is the spread added to yield, to price the bonds to current market value CMM: Is the bond equivalent rate used to price MBS to the par value I...
by Martinghoul
May 3rd, 2017, 12:07 pm
Forum: General Forum
Topic: Difference between OAS and CMM for TBA
Replies: 7
Views: 930

Re: Difference between OAS and CMM for TBA

Before comparing them, do you know what the two of these terms actually stand for?
by Martinghoul
May 2nd, 2017, 10:15 am
Forum: Technical Forum
Topic: cash settled swaptions
Replies: 3
Views: 787

Re: cash settled swaptions

People just live with it...  AFAIK, it's become a natural part of "market slippage".
by Martinghoul
April 28th, 2017, 10:42 am
Forum: Technical Forum
Topic: Term deposit hedge
Replies: 14
Views: 1199

Re: Term deposit hedge

Sure, I understand...  I imagine, given sufficient data, you should be able to come up with a model that would spit out the instantaneous delta of your deposit book, as well as maybe other exposures.  You should then be able to come up with a hedging scheme.
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