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by mathmarc
January 12th, 2018, 2:04 pm
Forum: General Forum
Topic: cleared FRA settlement: in advance or in arrears?
Replies: 2
Views: 719

Re: cleared FRA settlement: in advance or in arrears?

for FRAs that are cleared , i guess that they must be settled in arrears? (eg for a 1x4 FRA, in contrast to the old world where it would have been setteled in 1 month and the payout was (F-K)*0.25/(1+F*0.25)  ,  i suppose for cleared the payout would be in 4 months of (F-K)*0.25 ? ) To the best of ...
by mathmarc
May 22nd, 2017, 9:29 pm
Forum: General Forum
Topic: Floored legs with compound resets and negative interest rates
Replies: 1
Views: 682

Re: Floored legs with compound resets and negative interest rates

Hi MAARE, I once wrote a paper about FIReD ( Floored Instrument on Rolled DEposit), which is basically the instrument you describe with the floor on the composition. This was written before the multi-curve became the standard, and thus in a single Libor curve framework. The paper is available on ID...
by mathmarc
March 11th, 2016, 4:32 pm
Forum: Student Forum
Topic: US swap spread
Replies: 17
Views: 2666

US swap spread

QuoteOriginally posted by: kfcnhl Hi Guys, I am having trouble understanding why US swap/GOV spread could be negative for 5 year onward. How can the credit quality of banks be more than US government?My take on it: Treasury / Swap spreads are negative. And what?
by mathmarc
January 26th, 2016, 6:07 pm
Forum: Technical Forum
Topic: EUR curves
Replies: 8
Views: 2461

EUR curves

<t>QuoteOriginally posted by: mtsm[br]How would you build EUR Eonia, 6M Euribor and 3M Euribor curves without a global fitter? Why do you want to avoid global fitter?With multi-curve framework you are restricted yourself severely if you don't have a global fitter. As discuss below, the EUR example i...
by mathmarc
October 22nd, 2015, 3:59 pm
Forum: Technical Forum
Topic: Curve sensitivities
Replies: 7
Views: 3943

Curve sensitivities

<t>QuoteOriginally posted by: tw813If one applies the approach that bumps market quotes, many rounds of curve recalibration is required. It is much more so in a multi-curve framework.Don't do bump and recompute for the curves inputs (or any other input). Algorithmic Differentiation is there to help ...
by mathmarc
October 22nd, 2015, 3:51 pm
Forum: General Forum
Topic: Zero Coupon IRS
Replies: 8
Views: 4474

Zero Coupon IRS

<t>You mention GBP cash collateral and I'm assuming that the swap itself is also in GBP. You use a multi-curve / collateral discounting framework with one discounting and one "forwarding" curve and a spread between them. The zero-coupon you are pricing has a fixed leg and, I guess, a floating leg wh...
by mathmarc
September 22nd, 2014, 12:15 pm
Forum: Technical Forum
Topic: Default market convention for EOM swaps
Replies: 3
Views: 49388

Default market convention for EOM swaps

<t>QuoteOriginally posted by: imanuelcostiganNot in ISDA and I can't find any reliable info from "canonical" sources. OpenGamma interest rate markets conventions document states EOM applies to swaps. But I'm seeing conflicting information from other sources (e.g. BBG SWPM tool, Tradeweb)In the conve...
by mathmarc
September 4th, 2014, 8:57 pm
Forum: Technical Forum
Topic: Convexity in valuation of OIS swaps
Replies: 2
Views: 4557

Convexity in valuation of OIS swaps

<t>QuoteOriginally posted by: BerndSchmitzHas anybody given any thought to the convexity in OIS swaps introduced by the deferred payoff (t+1 for eonia swaps, t+2 for FF swaps - at least to my knowledge)?Bernd,I look at this a long time ago (10 years now ). My notes on that questions where collected ...
by mathmarc
August 24th, 2014, 10:12 am
Forum: Technical Forum
Topic: Conventions and best practice for bootstrapping USD overnight curve
Replies: 11
Views: 5885

Conventions and best practice for bootstrapping USD overnight curve

<t>QuoteOriginally posted by: BerndSchmitzThis is the thread Martinghoul is referring to. If I read correctly the referenced thread is about EONIA, not Fed Fund effective rates.From my understanding, the EONIA rate is published at the end of the trading day on the start date of the period while the ...
by mathmarc
August 24th, 2014, 9:46 am
Forum: General Forum
Topic: OIS discounting and convexity adjustment
Replies: 12
Views: 15566

OIS discounting and convexity adjustment

<t>QuoteOriginally posted by: BerndSchmitzNot really sure what you mean with Mercurio.The problem is that all papers cited in Ametrano&Bianchetti 2013 are still singleCurve. One can probably use the same arguments in a multiCurve setUp if one assumes a deterministic Libor-OIS-spread but I haven'...
by mathmarc
June 25th, 2014, 11:24 am
Forum: General Forum
Topic: RIP bootstrapping
Replies: 5
Views: 4856

RIP bootstrapping

<r>QuoteOriginally posted by: miltenpointThanks all.Mathmarc - Any chance of uploading a sample chapter sample of your book? It looks good but there's no sample on Amazon to look at. I'm just concerned it might be too mathematical for me.The introduction chapter is available on the editor web site a...
by mathmarc
June 23rd, 2014, 1:59 pm
Forum: General Forum
Topic: RIP bootstrapping
Replies: 5
Views: 4856

RIP bootstrapping

<r>My new book "Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation" has a couple of chapters about curve definition, curve calibration, interpolation, global fitting and curve risk.For sale in any good bookshop More details at: <URL url="http://multi-curv...
by mathmarc
June 15th, 2014, 8:17 pm
Forum: Technical Forum
Topic: approximate Jacobian calculation
Replies: 6
Views: 5499

approximate Jacobian calculation

<t>QuoteOriginally posted by: surya2centsIs there a fast approximate Jacobian calculation of swaps with respect to libor and discount curves? Why do you want an approximate calculation? Why not an exact one? Specially if you want to use it for risk management, it is better to have an exact matrix.Al...
by mathmarc
June 6th, 2014, 11:46 am
Forum: Programming and Software Forum
Topic: Recommended (Open Source / Free) Solver for Multi Curve Calibration
Replies: 16
Views: 9488

Recommended (Open Source / Free) Solver for Multi Curve Calibration

<r>QuoteOriginally posted by: surya2centsMarc - is there an overview document on the multi curve construction which describes the global root finding approaches you have used in Open gamma implementation ?If I may advertise a little bit for it, I have just published a book on multi-curve framework. ...
by mathmarc
March 8th, 2014, 3:04 pm
Forum: Student Forum
Topic: instantaneous forward rate
Replies: 4
Views: 5776

instantaneous forward rate

<t>QuoteOriginally posted by: JohnGuThat's the method I am using.But the value i get is quite off.I used the gradient function in matlab.Why do you want to compute instantaneous forwards? They are a useful theoretical concept, but I have never seen a practical case where you would want to use them. ...
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