Cash backing strategy if ABS gives us L+ few bps. (assuming front sequencial AAA type ABS.)

<t>Gmike Thx.Yes, I missed vol^2...for the expression that I putSo your idea is to decompose into gamma and theta instead of aggregate and caluculate effect by usingrealized vol^2 - implied vol^2 multiplied by gamma, correct?But still seems to be missing.. tried for different maturity, strike and fo...

<t>can anybody tell me how we can decompose option P/L?? (Tsy Fut Option) I want to reconsileactual pnl by using greeks.Assumption: delta hedge at initiation of trade(when we sell call tsy fut option, buy delta amount fut)and we held position from t1 to t2Actual PnL of this position isQty*((Opt(t2)-...

<t>Hi,I am trying to replicate CMT type (Actually JGB15yr Floaters) position with fwd swaps approximately.Does anyone have insight on this matter??JGB15yr Floater is 10yr-CMT with Floor option and maturity is 15yrsSo, what I thought isuse 2x10yrs fwd swap5x10yrs fwd swap10x10yrs fwd swap15x5yrs fwd ...

<t>If you have historical data for duration, you can approximately get capital return as-Dur*yield_ch. But need other info on accrued interest or cpn to get income return.Or simply calculate price asPrice = sum_i=0.5yr_to10yr{ cpn/(1+yield/2)^2t(i)} + 1/(1+yield/2)^20But don't know what re-investmen...

<t>Hi,I am wondering if either of them makes sense for swap spread.As far as I know, Tyr-swap spread is defined asTyr-ParSwapRate - TyrGovyYield ----(1)But since Bond rolls down and impossible to find exactly T-yr Govt Bond, we need to interpolate govy curv.Considering that SwapRate is parRate, isn'...

<t>Hi all,I am tring to implement the following idea but couldn't find any reasonable way to do. So could you please adive me on this matter??Set 3 risk parameters(Say 10yrPar for Yield curve level and 2-10Spread for frond end curve, 10-20 Spread for long end curve) to quantify yield curve risk. The...

Hi Mok,I think "Dynamic Hedging" by Taleb treats this matter briefly. And Steve Allen's book, as far as I remember, discuss it more in detail.Hope it helps to some extend.

<t>Hi All,I am looking for quantitative books for bond asset management. Before I read Bruce Tuckman's "Fixed Income Securities" book for my self study and some more mathematical Fixed income books like Brigo and Rebonato. Now I want to learn some techniques used in bond asset management and risk ma...

<t>Hi,There are a few questions asked in my interview.1. If we take long position for knock in barrier with strike=100, barrier=90 and spot=95, is delta positive or negative and why?2. Assume intereste rate is 0 and we can trade continuously. A trader told you that he/she can hedge long call positio...

<t>Hi I am trying to price exotic option written on a single stock with local volatility.So I thought it is better not to assume continuous dividend yield as opposed to index option.Then a question arose. is it ok to do the following things?assume S follows SDEdS/S = mu*dt + sigma(S,t)dWAnd at divid...

MJ,Thanks a lot!I will read both papers.ksdt

<t>HiI am working on some project related to pricing asian option under volatility skew. I read some article on Arithmetic Asian option pricing and understood how they reduced dimension to get 1 dim PDE when they assme Levy process or Independent Increment process(Including GBM or Merton Jump model)...

Hi Kapital,Sorry now I turned on my private messaging.ksdt

<t>Hi capital,I worked in Deusche Bank group Global Market Division during this summer in Tokyo. At that time I was in JGB bond trading group. Because I haven't worked in U.S.A nor London so I can't compare my experience with another location's work. But let me tell you how it was like. I worked fro...