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by SeftonBoyd
September 28th, 2020, 11:23 am
Forum: Trading Forum
Topic: Cleanest expression of a single currency?
Replies: 5
Views: 5334

Re: Cleanest expression of a single currency?

Aren't you looking really to recreate a basket like the RBA's Trade Weighted Index (https://rba.gov.au/statistics/frequency ... 91129.html) ?
by SeftonBoyd
July 27th, 2020, 9:02 pm
Forum: Technical Forum
Topic: Options when there's no VolSurf - Emerging/Frontier Markets
Replies: 10
Views: 2319

Re: Options when there's no VolSurf - Emerging/Frontier Markets

I think you've checked most of the boxes, but FWIW here's my two cents based on my FX market-making experience (with a couple of assumptions...) Assumptions:  - Local regulators aren't going to go all Medieval on you and try to take you to court for being viewed as a traitorous speculator. - Whats t...
by SeftonBoyd
May 12th, 2015, 4:32 pm
Forum: Numerical Methods Forum
Topic: how to hedge a barrier option
Replies: 5
Views: 5375

how to hedge a barrier option

by SeftonBoyd
May 12th, 2015, 4:32 pm
Forum: Numerical Methods Forum
Topic: how to hedge a barrier option
Replies: 5
Views: 5375

how to hedge a barrier option

<t>The amount of barrier bend is commonly a function of the P/L in the transaction at inception (barrier bending has an upfront cost). In extreme cases one may also look at date shifting the barrier but risk management tend to be more reticent about letting dates get shifted. MJ's suggestion about r...
by SeftonBoyd
May 12th, 2015, 4:32 pm
Forum: Numerical Methods Forum
Topic: how to hedge a barrier option
Replies: 5
Views: 5375

how to hedge a barrier option

<t>The amount of barrier bend is commonly a function of the P/L in the transaction at inception (barrier bending has an upfront cost). In extreme cases one may also look at date shifting the barrier but risk management tend to be more reticent about letting dates get shifted. MJ's suggestion about r...