SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 19 matches

• 1
• 2
July 24th, 2018, 1:15 pm
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### Re: libor in arrears

Hi Bearish,

July 24th, 2018, 5:00 am
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### Re: libor in arrears

but you would not be taking the expectation under same measure?

1) under the 1 year + 3 month measure
2) under the 1 year measure.
July 24th, 2018, 3:32 am
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### Re: libor in arrears

but I don't understand why.   Let the t=0 value of the libor in arrears payment at time one year be lia(0). And let the t=0 value of the libor payment at time one year plus three month be li(0). We know that lia(0) is alway greater than li(0)  ( i.e. lia(0) > li(0 ) Then in order for both contracts ...
July 24th, 2018, 1:10 am
Forum: Student Forum
Replies: 3
Views: 1124

Hi,

For a libor in arrears payment, there is a convexity adjustment for the forward rate.  Is this convexity adjustment always evaluate to positive?

Thanks
July 23rd, 2018, 10:54 pm
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### Re: libor in arrears

so are you saying that yes K2>K1?

K2: fixed coupon of second product
K1: fixed coupon of first product
July 22nd, 2018, 10:27 pm
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### Re: libor in arrears

sorry.

for the first contract (i.e. regular FRA), fixed and floating payment takes place at one year plus three months.

for the second contract (i.e. in arrears), fixed and floating payment takes place at one year.
July 22nd, 2018, 10:05 pm
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### Re: libor in arrears

Why?   Let's consider today's value (t=0) of the floating leg payment in both FRAs.   Because a libor in arrears payment happens at time one year, which is earlier than a regular libor payment at time one year plus three months.  Its value today must be higher than that of the regular libor payment....
July 22nd, 2018, 8:32 pm
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### Re: libor in arrears

Sorry.  In both cases, the floating rate is the three month libor rate from 1 year to 1 year + 3 months, and it is observed in one year. However, in the first case, payment happens at time 1 year + 3 months.  In the second case, payment happens at time 1 year (i.e. it both sets and pays at time =one...
July 22nd, 2018, 4:41 pm
Forum: Technical Forum
Topic: libor in arrears
Replies: 16
Views: 2038

### libor in arrears

Hello, For an exercise, I am asked to compare the fixed leg payment "K" in two FRA products.   1).  The first FRA is a regular product, where the floating leg (i.e. 3 month libor) is set in one years time, and paid at time 1 year + 3 months.  Fixed Leg "K" is set today. 2).  The second FRA is of lib...
July 11th, 2018, 1:33 am
Forum: Student Forum
Topic: Basis Risks
Replies: 1
Views: 719

### Basis Risks

Hi,

I have a question on terminology regarding "basis risk".

My understanding is that "basis risk" simply means the difference between two quantities.  But I don't know why in quant finance difference is called basis risk?  Can someone please explain?

Thanks
May 12th, 2018, 3:58 pm
Replies: 5
Views: 1445

Hi,

Many Thanks,
May 9th, 2018, 5:39 am
Forum: Careers Forum
Topic: Quant, Blackjack Card Counter trying to switch into Trading
Replies: 3
Views: 1418

### Re: Quant, Blackjack Card Counter trying to switch into Trading

Yes I interviewed with Susquehanna before, but unfortunately it did not work out.

But I think they are more interested in Poker
April 26th, 2018, 5:13 am
Forum: Careers Forum
Topic: Quant, Blackjack Card Counter trying to switch into Trading
Replies: 3
Views: 1418

### Quant, Blackjack Card Counter trying to switch into Trading

Hi, I am currently a risk quant, and have been working in the industry for almost six years.  I don't want to be in risk any more, and would like to change to a more fast paced work environment. I have been wanting to switching into being a trader for some time.  I don't have any trading experience,...
April 25th, 2018, 5:49 am
Forum: Student Forum
Topic: Bermudan swaptions in hull white model
Replies: 3
Views: 861

### Re: Bermudan swaptions in hull white model

Hi I am not sure I understand your logic. You are saying that  (1-e^(-a(T-t)))/a is the instantaneous volatility of the zero coupon bond return, increase the mean reversion parameter will make return have less volatility.   But why does making the return of zero coupon bond less volatility have anyt...
April 22nd, 2018, 1:28 am
Forum: Student Forum
Topic: Bermudan swaptions in hull white model
Replies: 3
Views: 861

### Bermudan swaptions in hull white model

Hi, I understand that the mean reversion parameter in the hull-white model (i.e. alpha) controls the level of auto-correlation in the short rate, but how would it affect the valuation of bermudan swaptions? If the auto-correlation increases, does the bermudan swaption price drop because it makes the...
• 1
• 2

GZIP: On