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by BerndSchmitz2
September 8th, 2023, 1:49 pm
Forum: Technical Forum
Topic: Apply monotone convex interpolation to swap rate input data
Replies: 1
Views: 2737

Re: Apply monotone convex interpolation to swap rate input data

Of course one can assume \(f_5^d = f_6^d = \tilde{f}\) and solve \(A\) for \(\tilde{f}\) but this is not really what I want
by BerndSchmitz2
August 25th, 2023, 4:31 pm
Forum: Technical Forum
Topic: Apply monotone convex interpolation to swap rate input data
Replies: 1
Views: 2737

Apply monotone convex interpolation to swap rate input data

I'm trying to apply Hagan & West's monotone convex interpolation to a 6m EURIBOR (forward) curve using ESTR (already bootstrapped) for discounting. In their paper Hagan & West use discrete forward rates \(f_i^d\) belonging to the interval \([\tau_{i-1},\tau_i]\) as input. They then try to id...
by BerndSchmitz2
August 25th, 2023, 10:21 am
Forum: Technical Forum
Topic: Which expiry interpolation method for cap surfaces
Replies: 5
Views: 4469

Re: Which expiry interpolation method for cap surfaces

Yes with interpolation in variance I mean V(t) = sigma(t)^2 * t where simga is the implied volatility. Probably you meant something else but to me linear in implied variance is not the same as left-conintinuous in implied volatility. Just take the simple example sigma(2y)=20%, sigma(4y)=40% which yi...
by BerndSchmitz2
August 25th, 2023, 9:25 am
Forum: Technical Forum
Topic: Which expiry interpolation method for cap surfaces
Replies: 5
Views: 4469

Re: Which expiry interpolation method for cap surfaces

Yes, I'm directly interpolating on implied caplet volatilities. By left-continuous in expiry dimension I mean that implied caplet volatility is sigma_0 [0,1M], sigma_1 in (1M,3M] and so on. I assume backward flat is the same. What would be your criteria for "if it works". Not too much zig-...
by BerndSchmitz2
June 20th, 2023, 9:51 am
Forum: Technical Forum
Topic: Which expiry interpolation method for cap surfaces
Replies: 5
Views: 4469

Re: Which expiry interpolation method for cap surfaces

Nobody an opinion on that?
by BerndSchmitz2
March 30th, 2023, 8:26 am
Forum: Technical Forum
Topic: Which expiry interpolation method for cap surfaces
Replies: 5
Views: 4469

Which expiry interpolation method for cap surfaces

Hi, I want to bootstrap an (implied volatility) caplet surface from quoted caps on a fixed strike grid. I'm thinking about either using a left-continuous or a linear interpolation in expiry dimension. If one just looks at the smiles of each quoted cap expiry left-continuous (2nd picture) seems to be...
by BerndSchmitz2
February 21st, 2023, 4:28 pm
Forum: Technical Forum
Topic: DateRollConvention of short overnight swaps
Replies: 0
Views: 9361

DateRollConvention of short overnight swaps

Hi, I have a rather specific question about the overnight swaps. They usually are rolling with ModifiedFollowing. However, I think to have read somewhere that for maturities <1M (i.e. 1W, 2W, 3W) the market standard DateRollConvention is Following. Unfortunately I can't find any proof of that. Is he...
by BerndSchmitz2
August 28th, 2022, 7:57 am
Forum: General Forum
Topic: Holiday P&L
Replies: 3
Views: 3753

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: 4250

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: 5467

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: 5371

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: 4250

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...