Bloomberg would have the OAS

I have one more questionFor a simple callable bond, which is calculated ascallable bond market price=underlying vanilla bond (discounted at Libor +OAS) -- value of call optionLet us say the value of call option is computed by,say, some swaption calculator,Do you compute this swaption using Libor cu...

Hi guys, i was working on a small automated trading project myself and this crazy question popped up in my head. How do people achieve a millisecond trading strategy?  A C++ program takes 0.2s even i only program it to initialize a class object and run a 100-cycle for loop. i guess most trading stra...

<t>QuoteOriginally posted by: HansiQuoteOriginally posted by: JinhuaColinYahoo finance is a good source. It is free and has API. But not sure how reliable it is.Then maybe don't say it's a good source? People pay money for quality data for a reason.You are right. But it is good enough if someone is ...

Yahoo finance is a good source. It is free and has API. But not sure how reliable it is.

<t>Here is my understanding:1. Both fixed leg and floating leg use the same discount curve to discount cash flows. If floating leg uses LIBOR rates, then fixed leg needs to use LIBOR rates.2. You can use other curve to discount cash flows other than LIBOR rates. For example, you can use treasury cur...

Some commercial banks only use static yield curve. No model at all.

Who is your broker?

<t>There should be 20 business days between april 20 and may 18th since ipath's day count convention includes april 20 and excludes may 18th. QuoteOriginally posted by: MHillMy reading is that the weight is based on the 19 business days from April 20th to May 18th.So it looks to me that you're getti...

Do you have a broker and have access to their API? And what programming languages are you planning to use?

<r>QuoteOriginally posted by: acastaldoI believe UXM6 settles in the morning of 2016/06/15 (not 06/22)However, that still does not explain the 31.6 (where does this come from?)Thanks. You are right, the June contract settles 6/15/2016. But still it doesn't get to 31.6 which comes from iPath website:...

<t>Why not just directly model the future price as GBM? dFt = mu*Ft*Dt+sigma*Ft*dWt. Mu is the result of your calibration process. For example, you have actual market price and price estimated from your model which is function of mu and sigma; minimizing the difference of the two should give you val...

<t>Hello everyone, I tried to replicate VXX weight calculation. Following document from the iPath website, I performed the following calculation: As of date: 5/6/2016May contract settlement date: 5/18/2016June contract settlement date: 6/22/2016Number of business days between 5/6/2016 and 5/18/2016:...

That 's true Martinghoul. You must know why?QuoteOriginally posted by: MartinghoulNeedless to say, the serial contracts are significantly less liquid.

This makes my Friday. QuoteOriginally posted by: mtsmWhen you looked there was August also... There are 4 serials in the USD market, so that at any time there is 1M resolution in the 6M front end after which the resolution is 3M.