Yes. That's it. I'm short that option, as i have to pay that amount. I'd like to have some hints about hedging this sensitivity: as long as the forwards are respected i could thedge with a strip of ATM (or a single ATM maybe....) but as the curve moves i wouldn't be vega hedged

<t>ok, supposing you mistyped strangle with straddle (same strike, isn't it?). If i Buy a strip of straddle woth strike equal to the forward (i.e. supposing a 5 years bond, a strip of 5 straddle (1y spot and 1y forwd starting) with the strike eruqal to the ATMforward, what happens if the curve moves...

Hi,a sales ran to me asking to price a bond paying this: abs(fix(t)-fix(t-1))i.e. every year the bond pays a coupon equal to the fixing of the Euribor (in arrears, i.e. the spot fixing) and the fixing of the euribor one year earlier. It that a kind of vol bond?THanks,Cactus

A week ago a 20Y10Y receiver 0% strike traded for 2 ticks.In yards.Regards,Cactus

I suppose every option has a payoff as a function of the stock price.... so head for the Hull......Cactus

Hi, I know that a duration-neutral butterfly has some kind of market exposure.How can I compute the weights of a PCA neutral butterfly? For example, if i want to the first two principal components, how can I compute the weights to be applied to, say, a 2-5-10 fly? Regards,a glabrous Cactus

Hi,reading on various researches the "conditional steepening" via payer options strategy,I was wandering what it is, how it that structured and the various p&l scenario (i.e. what about the vol? are you short or long? what about curve direction slope and vol?)Thanks, Cactus

<t>In fixed income markets, as I know, correlation trades via brokers is entered via trhee swaps: the first is the proper correlation trade(e.g. I pay Euribor and i receive USLibor in Euro) and the other two are used to hedge the delta of the first (e.g. i pay fixin Euro and I receive fix in $$???)....

<t>Hi, regarding Fixed income markets in particular, someone can explain me how is correlation actually traded? I know via broker i i want go long correlation i must enter into three swaps, i suppose one to go long correlation, and the two to hedge the rate sensitivities of that. Can you help me som...

<t>That's the constant Basis Point Volatility concept I'm exploring a couple of thread above (please read) . Constant BP vol can give you an Idea, but it's not a perfect aproximation.For example a couple of LIVE price are: 4y10y payer 5.5% 236.5 5y10y payer 6.75% 98with 4y10y atm straddle @665 (12% ...

<t>Hi,this is an old post, but I'll try to write some more. As far I can see, as someone has stated BP VoL=strike*Yield Vol (quoted on the broker page,i.e. ATM strike).If you want to calculate the BP Vol for an OTM strike, what you can do is one of the following: 1. otmBPVOL= strike*otmYield Vol2. o...

So, if a volatility frown exist in the Fixed income market, being long vega= long the market, while being short vega=short the market. That's why yield vols rise when market goes up , while yield vols fall when the market goes down, that keeping basis point vols constant. Is that correct?

As I'm not on the trading side I haven't any war story related to that.... maybe you should ask some other one on my firm.. I posted a thread which is related to that on the Technical forum, and i pray you for a relpy!Thanks,Cactus

<t>Hi, as a young structurer newly arrived in in London I was excited seeing the large mrtk move following the Friday's data, with the Bund falling 1.50 figures.....So i went to a trader I knew was long volatility and started asking him about his vigorous P&L.... But he started shouting at me......

<t>I don't understand, what you mean with"..You should use swap rates that would correspond to the "yield" vols....". The rates i use to compute is the exact ATM fwrd rate for eache swaption..... However i was surprised discovering that the yield vol (or also normalised vols) surface is not reflecte...