A good explanation from Krugman here

PM-ed you matey

Yup SeaHawk you are right. To unwind the swap you just calculated the NPV of the swap and pay/rec this amount.

If am not mistaken, CDS contracts are standardised contracts where the maturity date follows the IMM dates, and contracts roll every quarter ala Eurodollar futures... so the "accrued" will be almost nil...

Anyone got a primer on Taiwan FX, rates and bonds market or knows a good source? Tkuvm

<t>The way I do it is to use simplistic expected values and assume 2 states: no move, or a 25bp hike (or say, no move vs 25bps cut). The assume with prob x they will not move, and 1-x they will move 25bps, and find x such that the expected value of the Euro/$ futures is equal to the current market p...

Offhand, you just do EUR IRS and USD IRS, and hedge the floating USD and EUR leg by doing money market transactions.Alternatively you can use Euro$/Euribor futures for the floating leg of the IRS.

You can do bootstrapping of longer dated IRS of the ccy of interest and extrapolate the swap pts from there, then add the pts to the current fx spot rates to get the implied fwds... In general though for longer dated fwds, one looks at cross ccy swaps instead of an outrite forward.

<t>Guess it would depend on what you want... if you are really interested in trading then do the credit derivatives trading. Even if only a sml shop you can still make a name for yourself, and possibly move on to a bigger shop. Personally trading can never be boring as there are always new things/pr...

pay fixed 10y and receive fixed 3y will give a 7y forward pay fix that starts in 3y time...

there's a basis swap market where you can get the basis swaps...

Martin Gardner also has a number of discussions on his books/articles (e.g. The Collosal Book of Mathematics, ... etc) on this topic. Quite interesting read.

The Jack Schwager books on tech analysis is basic but informative.

<r>Personally, it is quite difficult to trade specific bonds on "technical analysis" basis given the the pull to par effect (especially true when you look at weekly or monthly charts for your systematic trading). Most techs I look at are only for benchmark bonds, say 10Y USTsy etc.Years back when I ...

Depends on what you want... e.g. for FX options, you have the 25, 50 deltas (ATM) in the interbank mkt... for custy reqts they would most of the time ask for a specific strike for their options...