Price for an FVA should reflect its hedging cost, so here you go.

Statistics: Posted by overkill112358 — Yesterday, 9:07 pm

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1y tenor: annual fixed payment vs quarterly 3m libor floating payments

2y+ tenor: semi annual fixed payments vs semi annual 6m libor floating payments.

Basis ACT365 in both cases for both fixed and floating legs.

EUR Market conventions for swaps and cash settled swaptions are:

2b settlement

1y tenor: annual fixed payment vs quarterly 3m libor floating payments

2y+ tenor: annual fixed payments vs semi annual 6m libor floating payments.

Fixed leg basis 30/360. Floating leg basis ACT/360.

Statistics: Posted by overkill112358 — April 25th, 2017, 9:32 pm

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Currently it uses real time market data on the user’s portfolio to send notifications on:

· When a stock moves above or below a certain price

· When a stock moves more than a certain percent in a trading day

· Analyst upgrades & downgrades

· Earnings price reminders

· News

We want to add more features utilizing technical indicators and this is where we really could use advice. The idea is to monitor your portfolio/watch lists to see if the stock prices cross technical thresholds including:

· Simple Moving Average – notified if the price of your stock crosses through an X day moving average, if a short term moving average moves through a longer term one, or if we have a crossover for a ribbon of moving averages

· Exponential Moving Average – same type of notifications as simple

· CCI – crossovers such as +-100, 200 or from one of those through another or 0

· Awesome Oscillator crossovers

· Stochastics

· Average True Range

Are these indicators useful? Would you suggest others?

We also want to create a screener with real time notifications when any stock on the market breaks out such as if a stock moves X% in Y minutes get notified in close to real time. (we would put some sort of buffer such as don’t get notified of a stock more than once per day so it doesn’t overload you with messages)

Other options may include culling the results down by volume or market cap

How useful would these new features be for traders? Also, if you guys have any other technical indicators that can create simple pools for instant notifications or any other ideas/advice please let us know!!

Statistics: Posted by EyeOnMyStocks — April 25th, 2017, 9:28 pm

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munkki123 wrote:Taleb says that one should be careful to avoid running overlapping data. Can someone please elaborate?

The vol of vol controls the convexity of the implied volatility smile curve. So ideally it should come from the implied vol surface. If you don't have option smile data, using GARCH model to calculated the fitted daily stochastic volatility then calculate the standard deviation of the volatility series.

I've seen people using sqrt(BF/ATM) as well for vol of vol. Where does this come from?

EDIT: 3 * sqrt(BF/ATM)

Statistics: Posted by munkki123 — April 25th, 2017, 7:41 pm

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Transaction costs could kill you if you're planning on HFT.

Statistics: Posted by ioancw — April 25th, 2017, 7:33 pm

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I need the same data for something else.

Theoretical you can probably say *something* -via GBM- about the eigenvalues of constant correlation matrix of various sizes, and you can approximate the sums of lognormals (the indices) with normals,.. But I guess it won't uncover the interesting specifics of real markets. Eg the constituents will have stoch vol, will have co-integration, etc

So it we can get our hands in all the S&P500 constituents daily closes for a decade (and figure out how to handle weight changes etc in a simple manner) then we can select eg create random indices?

Statistics: Posted by outrun — April 25th, 2017, 5:38 pm

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What can be said about the vol(s) of I1 relative to the vols of I2? Can anything quantitative be said?

This is clearly a relative value question. No need to share trade secrets but I never understood the relative value arguments in sales material so curious to hear general thoughts on this.

Statistics: Posted by frolloos — April 25th, 2017, 4:23 pm

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On 3, it's not common to use other frequencies on the fixed leg for tenors over 1y. For 1y, conventions are rather confusing and unclear, so people do annual, semi and quartlerly. I haven't ever seen a vanilla IRS with a monthly frequency fixed leg.

Statistics: Posted by Martinghoul — April 25th, 2017, 3:18 pm

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2. Dunno, but probably. You have to be a bit careful with jargon. Not all of it extends beyond the desk or business using it. I have had funny discussions with veteran traders, who have held a single job at a single firm and who believe that the jargon they use is universal. It's often just not the case and it's actually not that important. Most brokers will clarify everything in plain English to draft term sheets.

3. Somewhat I'd say and it comes and goes in my experience. But I am not a EUR/GBP basis trader. I'd say quarterly is more common than monthly. I am aware of annual, too. I think that in these markets there isn't much of a basis swap market, hence the IBOR basis is articulated via swap markets. The thing with a lot of fixed income stuff is liquidity. Often times I imagine that there is an OK liquid 6m floating market and then the other floating tenors are practically of 'quote' quality, but not necessarily of 'trade' quality.

Always happy to be told wrong on anything I say.

Statistics: Posted by mtsm — April 25th, 2017, 1:24 pm

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1) Is it the market convention to trade GBP-denominated interest rate swaps with an Act/365 day count basis? Are there any other day count bases that are commonly traded in GBP?

2) Let's assume a GBP-denominated 5-year interest rate swap has a fixed rate that pays annually on an Act/365 basis. Would this be referred to by the brokers as "5-year annual money in Sterling" (i.e. money market)?

3) Is it common to trade EUR- and GBP-denominated interest rate swaps with a fixed leg that pays on a monthly or quarterly basis (or only semi-annual and annual)?

Thanks in advance!

Statistics: Posted by equanimity — April 21st, 2017, 1:35 am

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Skype id: nathani.abhishek1

Statistics: Posted by nathani01 — April 19th, 2017, 1:26 pm

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