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estcourt

<t>What really matters here is the size of the positions and the difference in behaviour between the longs and the shorts.If both longs and shorts are actively gamma hedging you won't expect a systematic bias. So what usually creates this is retail on one side of a trade and the street on the other....

estcourt

This eqn is correct (ignoring effects of accruals) only on the futures settlement date.On all other dates prior to this it is incorrect for both discounting and convexity effects.Not sure why you would code it in this way at all.

estcourt

This eqn is correct (ignoring effects of accruals) only on the futures settlement date.On all other dates prior to this it is incorrect for both discounting and convexity effects.Not sure why you would code it in this way at all.

estcourt

Are you talking about floatfloat/fixedfloat of fixedfixed it makes a difference

estcourt

Just reading your text your system returns price assuming settlement on futures expiry.Your standard eqn is for settlement at end of period as for SWAPS,FRAs etc, so multiply by ratio of DF2/DF1 to convert from FRA to future (and neglecting any other convexity effects)

estcourt

At 1000 atm the bubble would just start to dissolve, thus massively reducing pressure

estcourt

Well unless the deal is contingent on some market level, e.g. an FX rate, equity price etc you can't hedge the contingency of the deal, so putting anything other than either 100% or 0% is pretty meaningless isn't it?

estcourt

<t>For US swaptions it should make no difference to the valuation of the option because you settle the PV of the swap for cash using a full swap curve.As has been stated for GBP and EUR you use the reference swap rate to work out a flat discounted amount.This has no effect on valuation of 1 year swa...

estcourt

5 bps is the move you need on the day, the 7 bps move is the SD that gives you a distribution with PV of zero. ATM option price = PV01 * 0.4 * SD so straddle = 0.8 *PV01 *SD

estcourt

<t>If you use full replication you should find that there is still a premium to CMS but it should only be a couple of bp running. This is because although you can calculate the value of the replicating protfolio you can't actually buy it, and supply/demand means that the street is paying CMS. So you...

estcourt

<t>If your forward correlations are lower than your spot correlations you are almost certainly using bad data. Try looking at the correlation of weekly moves rather than daily, this should remove some noise (the problem here is that your forward rates are very sensitive to the par rates you are inpu...

estcourt

The most popular FI skew model is SABR, look at the Wilmott article "Managing Smile Risk" by Hagan

estcourt

Also there is a lot of just dull admin that will be filling the quieter part of your day

estcourt

Market standard 1yr GBP swap is annual act365 vs 3m libor, so you need to calculate an annual swap rate. All other GBP swap rates are semi/semi act365

estcourt

Hours per job in FIHead of vanilla trading< Gilt trader < GBP swap trader <Euro Govie = Euro Swap<Head of Options<Vanilla options trader = quant < Exotics trader = IT quantSo for best pay/hour you need to be head of a vanilla product trading operation

Search found 28 matches

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IR Futures vs FRAs (In absence of convexity)

IR Futures vs FRAs (In absence of convexity)

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IR Futures vs FRAs (In absence of convexity)

Air bubble in a cylinder

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working hour?