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by BerndSchmitz2
August 28th, 2022, 7:57 am
Forum: General Forum
Topic: Holiday P&L
Replies: 3
Views: 1596

Re: Holiday P&L

I would say it pretty much depends on how you construct your curves and vol surfaces on that date. If your system does not have any extra logic and you simply take your eod market data snapshot from your market data provide the p&l may be pretty rubbish. Reason being that quotes of e.g. Libor cu...
by BerndSchmitz2
January 18th, 2022, 8:36 am
Forum: Technical Forum
Topic: How to account for CCP basis
Replies: 2
Views: 1706

Re: How to account for CCP basis

Nobody any opinion on that? :-(
by BerndSchmitz2
January 13th, 2022, 1:33 pm
Forum: Technical Forum
Topic: Which instruments to use in a FX/CcySwap curve
Replies: 0
Views: 1976

Which instruments to use in a FX/CcySwap curve

Hi, I'm wondering which instruments one should use to bootstrap in a curve used to discount cashflows in CCY1 collateralized in CCY2, e.g. EUR collateralized in USD. One could use either FxFwds or CcySwaps or a combination of both. When it comes to liquidity one should use FxFwds for the short matur...
by BerndSchmitz2
January 12th, 2022, 11:58 am
Forum: Technical Forum
Topic: Ibor fallback technicalities
Replies: 0
Views: 1955

Ibor fallback technicalities

Hi, most of the methodology of how to calculate the fallback rate is described in the "IBOR Fallback Rate Adjustments Rule Book". But I'm missing out on the part demanding at least 2bd between the Accrual End Date and the Payment Date of the respective period (if this condition is not met ...
by BerndSchmitz2
January 12th, 2022, 11:48 am
Forum: Technical Forum
Topic: How to account for CCP basis
Replies: 2
Views: 1706

How to account for CCP basis

Hi, I'm wondering how to account for a CCP basis (like EUREX vs. LCH) in a trading system. Two ways that immediately come to my mind are making the forward or the discount curve CCP-specific. As the par swap rate is not very sensitive against the discount curve*, I personally tend towards having a C...