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by germoz
April 12th, 2015, 9:01 am
Forum: Book And Research Paper Forum
Topic: Inflation Bond Book
Replies: 3
Views: 4019

Inflation Bond Book

Can you suggest a good book on inflation bond trading an pricing, from a practice prospective?The only one I know is Inflation-indexed Securities: Bonds, Swaps and Other Derivatives, 2nd Edition
by germoz
November 25th, 2014, 8:21 pm
Forum: General Forum
Topic: Cash and Carry Bond Futures - trade quantity
Replies: 21
Views: 5995

Cash and Carry Bond Futures - trade quantity

<t>I agree now!! GreatERRATA CORRIGE - I prefer A] and manage the risk at delivery to sell the Bond balance at price consistent with the future final settlement price. (rereading my old post I see my typo I wrote B] instead of A] ..my explanation was obiusly referring to 100vs77 i.e. the case where ...
by germoz
November 24th, 2014, 8:05 pm
Forum: General Forum
Topic: Cash and Carry Bond Futures - trade quantity
Replies: 21
Views: 5995

Cash and Carry Bond Futures - trade quantity

<t>Yes Bearish you are rightIn Tuckman I think there is the idea of "tail the hedge".. (NOT HEDGE THE TAIL) if you speak of "hedging the tail" with a market practitioner, he understands something different (i.e. hedge extreme event)[Fixed Income Securities: Tools for Today?s Markets, 2nd Edition Tuc...
by germoz
November 24th, 2014, 2:55 pm
Forum: General Forum
Topic: Cash and Carry Bond Futures - trade quantity
Replies: 21
Views: 5995

Cash and Carry Bond Futures - trade quantity

I dont' want to speak about extreme event, I might not have been clear . Unless I misunderstood, the concept of hedging the tail was introduced by Martinghoul.
by germoz
November 24th, 2014, 1:53 pm
Forum: General Forum
Topic: Cash and Carry Bond Futures - trade quantity
Replies: 21
Views: 5995

Cash and Carry Bond Futures - trade quantity

<t>agreed the definition of tail risk. Why are you going to decribe a tailing hedge? The question is about the size a] or b] ... If you answer yes it is tail risk I don't understand if you mean a] or b]If in b] I don't think it is a tail risk, but you are outright shortIn a] you need to managed the ...
by germoz
November 24th, 2014, 1:34 pm
Forum: General Forum
Topic: Cash and Carry Bond Futures - trade quantity
Replies: 21
Views: 5995

Cash and Carry Bond Futures - trade quantity

<t>Nice book..if you refer at B], I don't think it is a tail risk, it is a pure directional risk: you are outright short and not so little with respect to bond position (26 (naked short)/74 (bond equivalent) =35.14%) " Tail risk is the risk of an asset or portfolio of assets moving more than 3 stand...
by germoz
November 16th, 2014, 7:12 pm
Forum: General Forum
Topic: why cost of carry for a future = 0?
Replies: 2
Views: 3657

why cost of carry for a future = 0?

<t>If you go in more details you note that in practice you pay the initial margin and the variation margin to the exchange and the cash paid doesn' t earn risk free rate.. Various dynamics of mark to market can bring unexpected funding cost. Evil details make the difference between theory and realit...
by germoz
November 15th, 2014, 7:50 am
Forum: General Forum
Topic: Cash and Carry Bond Futures - trade quantity
Replies: 21
Views: 5995

Cash and Carry Bond Futures - trade quantity

<t>Sorry my mistake in prev message -errata corrige- My question, which are right quantities for cash and carry?:A] 10mio bond vs. -74 RX: I am flat DV01 at starting, and exposed to repo rate (forget delivery option). I think 74 is right, but at delivery I have 10mio bonds in port and I need to deli...
by germoz
November 14th, 2014, 8:26 pm
Forum: General Forum
Topic: Cash and Carry Bond Futures - trade quantity
Replies: 21
Views: 5995

Cash and Carry Bond Futures - trade quantity

<t>Suppose my market view is: the daily repo rate of the cheapest to delivery bond will be lower than the one implied in the bond future price (forget compounding and ccp margin etc.. only a directional bet of repo rate...).The way to monetize my view can be: buy the cheapest-to-delivery bond, sell ...
by germoz
April 19th, 2014, 11:56 am
Forum: Technical Forum
Topic: C++ vs C#
Replies: 23
Views: 9207

C++ vs C#

<t>Of course the code can be completed and improved. It provides some examples. Starting from them you integrate the code to solve new problems. For joint bootstrapping you need to add new constrains and use a method to solve and find a best fit solution. In the code, for this kind of problems we us...
by germoz
April 18th, 2014, 12:14 pm
Forum: Technical Forum
Topic: C++ vs C#
Replies: 23
Views: 9207

C++ vs C#

<r>Hi surya2cents,to build an [$]i [$] forwarding curve (example EurSwap 6M) you need a discount curve [$]D[$] (example EURO OIS) as input.Discount curve [$]D[$] does not depend on forwarding curve [$]i [$]: the building mechanism for [$]D[$] doesn't use forwarding curve [$]i [$]...While the forward...
by germoz
February 18th, 2014, 7:54 am
Forum: Student Forum
Topic: Modelling Volatlity for Interest Rates Models
Replies: 13
Views: 6107

Modelling Volatlity for Interest Rates Models

I suggest to see the following paper supporting multi-curve framework for the more general HJM. Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
by germoz
October 14th, 2013, 9:11 am
Forum: General Forum
Topic: Excel on the Trading Floor - 2003, 2007, 2010 or 2013 ???
Replies: 12
Views: 7459

Excel on the Trading Floor - 2003, 2007, 2010 or 2013 ???

I tested the c# code using Excel 2003 and Excel 2007 (with Windows XP and 7, Visual Studio 2008 and 2010).
by germoz
April 6th, 2013, 5:06 am
Forum: General Forum
Topic: weird central bank report
Replies: 20
Views: 8907

weird central bank report

<t>Math:"a prototypical floating-rate note is always equivalent to N units of currency at its first reset date ", see Brigo Mercurio Definition 1.5.2 and equation...In practice:I think it is like you should refund the whole principal at each resetting date, so you need to see the cash on resetting d...
by germoz
April 19th, 2012, 4:19 pm
Forum: Student Forum
Topic: OAT Future, BTP Future
Replies: 2
Views: 13102

OAT Future, BTP Future

Do you think French and Italian Treasury are happy about them?
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