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by BerndSchmitz
March 2nd, 2018, 3:14 pm
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 19170

Re: Swaption settlement trend

Why not (at leat in theory). A broker could apply some consensus (i.e. probably not too fancy) bootstrapping procedure with a fixed interpolation method and populate the corresponding vector of dates and DFs on some Reuters page. Together with an extrapolation method the curve would be 100% fixed
by BerndSchmitz
March 1st, 2018, 4:22 pm
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 19170

Re: Swaption settlement trend

Yeah, buit it doesn't say anything about the details of the EONIA curve to be used. BTW I'm confused now. Is the Standard in the USD market collateralized cash price or physical settlement? Last time I checked, physical was still the convention in USD... As to the details of the EONIA curve used to...
by BerndSchmitz
February 28th, 2018, 5:10 pm
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 19170

Re: Swaption settlement trend

Yeah, buit it doesn't say anything about the details of the EONIA curve to be used.

BTW I'm confused now. Is the Standard in the USD market collateralized cash price or physical settlement?
by BerndSchmitz
February 28th, 2018, 3:53 pm
Forum: Technical Forum
Topic: FVA for a fully collateralized swap
Replies: 15
Views: 6819

Re: FVA for a fully collateralized swap

Hi, I would like to reopen this thread as I still sometimes hear the argument that "FVA ultimately comes from collateralized trades" - which to me ist just wrong. Yes, for a collateralized trade there will be future collateral flows and, thus, at first glance a dependency on the funding rate. Howeve...
by BerndSchmitz
February 28th, 2018, 9:01 am
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 19170

Re: Swaption settlement trend

Hi, I know this is a very old thread but I didn't want to create a new one. From july onwards the market standard settlement type for EUR swaptions shifts from cash IRR to collateralised cash price. With the latter I haven't had any experience yet. I was just wondering how the curves for the collate...
by BerndSchmitz
May 24th, 2017, 7:51 am
Forum: Technical Forum
Topic: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?
Replies: 4
Views: 986

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

 @antoineconze: Thanks for pointing that out. However, what I can do is simply put all spreads on one leg. I only have to account for the different daycount-conventions of the EUR leg (Act/360) and the GBP leg (Act/365) @Martinghoul: No, I have not yet done it. At one point I will definitely do this...
by BerndSchmitz
May 24th, 2017, 7:38 am
Forum: Technical Forum
Topic: (discount and forward) curve interpolation - sophisticated methods or keep it simple?
Replies: 19
Views: 1918

Re: (discount and forward) curve interpolation - sophisticated methods or keep it simple?

Hi arkestra, what exactly do you mean by "imperfections in the forward curve". If you choose to interpolate linearly directly on the forwardLiborRates then your forwardLiborRates look, well, linearly interpolated :-). I wouldn't call this imperfect and consider it a valid Interpolation method, would...
by BerndSchmitz
May 19th, 2017, 8:35 am
Forum: Technical Forum
Topic: Why are EUR/USD, GBP/USD and EUR/GBP Cross-Currency-Spreads so perfectly in line?
Replies: 4
Views: 986

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

Hi, I just used the EUR/USD and GBP/USD CCY-Spreads (quoted on Bloomberg) to calculate synthetic EUR/GBP CCY-Spreads. I then compared those to the quoted EUR/GBP CCY-Spreads. The mids are always in line up to 0.125 bp:        quoted EUR/GBP    synthetic EUR/GBP 1Y        17.500                     1...
by BerndSchmitz
April 26th, 2017, 12:53 pm
Forum: Technical Forum
Topic: CCY Swap rolling subtleties
Replies: 0
Views: 375

CCY Swap rolling subtleties

Hi, I have a question concerning the rolling of a CCY swap - in particular about the business day calendars that are used for the two legs. Let's say it's a 1Y EUR-USD MtM CCY swap that was traded on 31/03/2017. Both legs will start on 04/04/2017. Adding 3M gives me 04/07/2017 which is a good busine...
by BerndSchmitz
March 27th, 2017, 7:00 am
Forum: Technical Forum
Topic: (discount and forward) curve interpolation - sophisticated methods or keep it simple?
Replies: 19
Views: 1918

Re: (discount and forward) curve interpolation - sophisticated methods or keep it simple?

Other than that, I can see a lot of reasons why you would want to have better curves than what you describe.  Can you name any of those reasons? The only problem I am seeing with what you describe is that you might want to express n-1 of your curves as spreads to one base curve. Good point. I think...
by BerndSchmitz
March 24th, 2017, 4:34 pm
Forum: Technical Forum
Topic: (discount and forward) curve interpolation - sophisticated methods or keep it simple?
Replies: 19
Views: 1918

(discount and forward) curve interpolation - sophisticated methods or keep it simple?

Hi, I would be interested in the interpolation methods predominantely used in the street. imO one should always keep it as simple as possible, i.e. use the most simplistic method that does not produce any undesired effects. Luckily live becomes much easier if you assume you have a library that clear...
by BerndSchmitz
February 22nd, 2017, 10:20 am
Forum: General Forum
Topic: Valuation of CSA 0-Strike Floors
Replies: 8
Views: 918

Re: Valuation of CSA 0-Strike Floors

Yeah I have the formulas but strictly speaking I do not have the market data. For a simple swap there is no issue. Just change the discounting curve from OIS to OIS_floored. However, already for a swaption I see a potential problem. From the market we only have the implied vols for OIS collateralize...
by BerndSchmitz
January 31st, 2017, 8:23 am
Forum: Technical Forum
Topic: Simple historical analysis of collateral switch option
Replies: 2
Views: 611

Simple historical analysis of collateral switch option

Hi, I'm trying to create a very (very) simple model to value collateral switch options. Let's assume I have a EUR trade and the choice to post either USD collateral or EUR collateral. I have historical data for FedFund, Eonia, FX spot and short-dated FX forwards (1W and 1M). I use the following form...
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