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by tglauner
July 26th, 2020, 8:37 pm
Forum: Technical Forum
Topic: Pricing IRBS using Avg Arithmetic Fed Funds
Replies: 2
Views: 3731

Re: Pricing IRBS using Avg Arithmetic Fed Funds

you mean Fed fund rates vs 3M Libor Basis swap? If it can help you, the adjustment is negligible. Soon we may have long dated 1D SOFR swaps where the cashflow is calculated based on the average rate rather than compounded rate (custom swap to hedge the corresponding loan). For a 30Y Fixed vs SOFR a...
by tglauner
July 26th, 2020, 8:33 pm
Forum: Technical Forum
Topic: Average/asian swap
Replies: 7
Views: 1087

Re: Average/asian swap

I would be interested in this topic as soon you will have averaging SOFR swaps possibly that will be very long dated. The reason is that Libor loans may get converted to SOFR loans that are not compounding like OIS swaps but averaged becuase of loan system limitations. The swap to hedge will then be...
by tglauner
December 1st, 2019, 10:38 pm
Forum: Student Forum
Topic: SOFR Fallback impact on swaptions
Replies: 0
Views: 4518

SOFR Fallback impact on swaptions

ISDA has some preliminary recommendations on the fallback for Libor swaps when Libor stops being quoted end of 2021. I have been asked to estimate the MTM impact of a portfolio on this fallback. On a high level the fallback states that Libor+Spread becomes SOFR+Spread+Adjustment where the Adjustment...
by tglauner
March 19th, 2015, 2:26 pm
Forum: Technical Forum
Topic: Run-time of BGM to Price 30Y PRDCs
Replies: 2
Views: 3324

Run-time of BGM to Price 30Y PRDCs

<t>With all the technology that is around nowadays with GPUs/AAD I would like to get a sense of the run-time people achieve for a particular model (Hybrid 5 factor BGM) and trade (30Y callable PRDC).The model I would like to assume is a BGM interest rate model with correlated lognormal FX dynamics (...
by tglauner
September 24th, 2012, 5:22 pm
Forum: Programming and Software Forum
Topic: Free source for bond Terms&Conditions
Replies: 0
Views: 10414

Free source for bond Terms&Conditions

I am looking for a free source that provides the Terms&Conditions for fixed income securities. I can get this data from Bloomberg but am looking for a free open source way of getting the data.
by tglauner
September 24th, 2012, 5:15 pm
Forum: Programming and Software Forum
Topic: Source for USD interest rate data
Replies: 1
Views: 10761

Source for USD interest rate data

I am interested in historical data for USD Money Market and Swap rates. Can you recommend any good free source from where I can download this data for historical data and daily data going forward?
by tglauner
October 28th, 2011, 1:18 pm
Forum: Technical Forum
Topic: UPRO and dividend yield
Replies: 2
Views: 16966

UPRO and dividend yield

Thank you. This is resolved. UPRO returns roguhly the 3x daily total return which includes the dividends. I checked with the issuer.
by tglauner
October 27th, 2011, 2:47 pm
Forum: Technical Forum
Topic: UPRO and dividend yield
Replies: 2
Views: 16966

UPRO and dividend yield

<t>UPRO returns roughly 3x the daily return of the S&P 500. However, it states that the dividend yield is almost 0%. I understand that when I own SPDR I receive the dividends. Does this mean that when you invest in UPRO you will not receive any dividends (that would be a bad deal) or are the div...
by tglauner
October 18th, 2011, 11:51 pm
Forum: Off Topic
Topic: UPRO and dividend yield
Replies: 1
Views: 15758

UPRO and dividend yield

<t>UPRO returns roughly 3x the daily return of the S&P 500. However, it states that the dividend yield is almost 0%. I understand that when I own SPDR I receive the dividends. Does this mean that when you invest in UPRO you will not receive any dividends (that would be a bad deal) or are the div...
by tglauner
July 13th, 2011, 2:52 am
Forum: Programming and Software Forum
Topic: introduce the best structure pricer system for interest rate derivatives product
Replies: 1
Views: 20753

introduce the best structure pricer system for interest rate derivatives product

you should look at the Summit application which is being sold by Misys. It has a structuring tool called MUST for structuring arbitrary payoffs and then it can be priced with BGM or has a link into Numerix for pricing.
by tglauner
June 14th, 2010, 11:44 pm
Forum: Programming and Software Forum
Topic: MUREX, Summit, Sophis, Calypso, etc - Need Advice
Replies: 13
Views: 110692

MUREX, Summit, Sophis, Calypso, etc - Need Advice

<t>In the last few years all the vendors have been aware that few institutions want to spend much money on the implementation. They have started to provide ASP (Application Service Provider) to their offering where they provide a pre-configured database and web access to use their applications. This...
by tglauner
June 14th, 2010, 11:29 pm
Forum: Programming and Software Forum
Topic: IR and FX simulation in LMM with QuantLib
Replies: 0
Views: 28636

IR and FX simulation in LMM with QuantLib

<t>Before trying it I would like to get input if the Market Model in QuantLib supports simulating multiple interest rate curves in multiple currencies and fx rates. I'd like to simulate USD, AUD, JPY Libor curves and he USD/AUD and JPY/AUD fx rates (all 1 factor). Input into the model would be swapt...
by tglauner
December 16th, 2009, 12:56 am
Forum: Technical Forum
Topic: Cashflow CLO with customized loan assumptions
Replies: 1
Views: 32912

Cashflow CLO with customized loan assumptions

<t>I would like to generate cashflows for a portfolio of Collateralized Loan Obligations (several tranches of several deals) with customized assumptions about the underlying loans of the CLO. I know that in "Intex Desktop" (application from Intex) I can generate the cashflow of a tranche and have a ...
by tglauner
June 4th, 2009, 6:28 pm
Forum: Programming and Software Forum
Topic: Heston model for FX and Equity in QuantLib
Replies: 1
Views: 39554

Heston model for FX and Equity in QuantLib

Does anybody have any experience with using the Heston model for FX and Equity options in QuantLib? It's very difficult to get information if anybody uses the Heston QuantLib model in production. Any feedback would be very much appreciated.
by tglauner
October 11th, 2008, 1:19 am
Forum: Programming and Software Forum
Topic: Vendor software for cashflow CLOs
Replies: 1
Views: 48043

Vendor software for cashflow CLOs

<t>I am looking for a financial library or software package that can value and risk manage cashflow CLOs. The system should come with the Terms&Conditions of CLOs and be able to provide valuations and sensitivities to CDS spreads of the underlying issuers of the collateral of the CLO. I understa...
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