<t>Hi,Wondering here about the following:For proper HVaR and Stressed VaR calculations I need about 3 year of historical data. Imagine I have a position in June-10 WTI future. There is sufficient historical data for this future to calculate VaR, but the question is does this make sense? In general s...

<t>The investor has indeed credit risk on ABN. De swap knocks out if the reference rate goes to far against him. The reference rate is a fixed maturity swap rate, p.e. 5y, so it's a bit like a CMS.Costs is the tricky part. Bid-offer is 5 bp, so roughly 5 times the spread of the swap market, and the ...

you borrow another share (of the same company) and sell that one. Your cost is the borrowing cost for 5 years. The value of your discount is then 20 - NPV(borrowing cost).Alternative is to buy a very-deep-in-the-money put. Should give the same outcome.Cheers,

<t>An EDS is a one touch digital (usually at 30%). The payout is a fixed percentage, usually defined as notional minus a recovery rate of 50% (so 50%). The payout is defined this way to create an analogy with CDS's.The appropriate way to price this is as a knock in boxspread (to take account of the ...

Hi ob,nice solution! Had to think about sin/cos and tan for the first time in 10 years again. Could barely find them on my calculator..Cheers,

Improvement to previous post:1) sqrt(2) miles northeast2) 1 mile west3) follow circle to most southern point4) continu 1 mile eastThis gives sqrt(2)+1+pi+1 = 6.56

<t>I think I have a solution that has a better worst case than Aaron's solution.Give the fact that the road is one mile away and the road is straight, we know that the road is orthogonal to a circle with radius 1 (otherwise some part of the road would be closer than one mile. Let's walk sqrt(2) mile...

<t>If i would have to structure this i would tell the client it's much more convenient to only observe the target once very three months. Than i would price it as:1) 3m libor deposite2) barrier call on index with strike 100, barrier 120 and immediate rebate 20This gives a slight overpricing since i ...

You would get 80 if the question was: a car drives 60 for 1 mile and than 120 for another mile.First mile takes 1 minute, second 30 sec. That's 2 miles in 1min30, that is 80 miles/hour

Does someone know a good course about derivatives documentation (ISDA, CSA, confirmations etc)? I know it is BORING, but i still need to know more about it.IFF used to have a good one, but they removed it from their program.Prefferably somewhere in London or Europe.Thanks

<t>Aaron,thanks for the last box comment. It confirms my believe that most black-jack players don't know sh*t about probability.This brings up another thing. The fact that most other players on a black-jack table play terrible strategies (remind I only play low stake tables, so together with other o...

So if I would refrase my question to: Does the behaviour of the player on the last box affect the odds for the other playerS, you agree with me that the answer is no?

<t>Aaron, very interessting read. I guess I'm the occasional recreational gambler. I always enter the casino with limits for loss and profit (my wife demands this otherwise she won't go and I think she's right). It's good to know that casino's lose money on custumors like me. That means that in term...

(Market is going skyhigh)Sales: What's happening?Trader: More buyers than sellers-----------------------Trader to Quant: How are you doing on this final differences modelSame Trader to same Quant: Is that project-orientated programming?

The main worry with cliquet's is skew risk. I don't think this risk is fundamentally different for cliquet's on ESTX or single stocks