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by sportbilly
April 30th, 2009, 8:40 pm
Forum: General Forum
Topic: IR Var In RiskMetrics
Replies: 1
Views: 40913

IR Var In RiskMetrics

According to the RM Technical Doc, they use yld vol. See section 4.2.2
by sportbilly
September 12th, 2008, 5:16 pm
Forum: General Forum
Topic: FX Forwards vs. FX Futures
Replies: 1
Views: 49245

FX Forwards vs. FX Futures

For futures you can look in the CME website http://www.cme.com/trading/prd/fx/For forwards one thing you might look at are the Bid-Ask spreads on a data vendor such as ThomsonReuters or Bloomberg.
by sportbilly
August 22nd, 2008, 7:33 pm
Forum: Student Forum
Topic: When I have r(t,t) -- how do I get the rest of the yield curve?
Replies: 7
Views: 50574

When I have r(t,t) -- how do I get the rest of the yield curve?

If you're using Vasicek, you have a closed-form expression for the entire term structure at each point in time, depending on the short-term rate at that point in time. If you have John Hull, 5th ed. take at look at pages 539 and onwards.
by sportbilly
August 20th, 2008, 8:26 pm
Forum: Student Forum
Topic: Hull book - convexity adjustment
Replies: 3
Views: 50726

Hull book - convexity adjustment

<t>Hull is basically saying that the bond yield is log-normal under the world that is risk-neutral with respect to the price at t of the $1 zero-coupon bond maturing on T).Then y(T)-y(0) is essentially a (scaled) sum of Wiener increments. Each infinitesimal increment has variance =dy(t)=ydt+SydW(t)E...
by sportbilly
February 22nd, 2008, 7:25 pm
Forum: General Forum
Topic: How do I compare a fixed rate mortgage and an ARM?
Replies: 4
Views: 58965

How do I compare a fixed rate mortgage and an ARM?

<t>You can start by comparing their present values. Simple cashflow discounting for fixed mortgage. For ARM can discount first n years of fixed cashflows and fixed spread from then on. Libor component should be worth approximately par at the end of the fixed rate period (n years).If price is similar...
by sportbilly
April 23rd, 2007, 1:15 pm
Forum: Careers Forum
Topic: Anyone knows quant consultant?
Replies: 37
Views: 78221

Anyone knows quant consultant?

Financial engineering consultancy at a system vendor can be a good way to get a broad product experience and commercial, client management exposure. It can be a good path for someone looking to branch out into more of a sales role at a bank.
by sportbilly
March 7th, 2007, 6:32 pm
Forum: Student Forum
Topic: A simple question on Daycount
Replies: 1
Views: 77474

A simple question on Daycount

<t>Adjusted / undajusted means the coupon amount is adjusted (or not) whenever the date falls on a non-working date.If the coupon is adjusted and the date falls on a Saturday (with ModFoll), then the coupon is paid on Monday (assuming it doesn't take it to the following month) and the coupon amount ...
by sportbilly
February 28th, 2007, 2:38 pm
Forum: Careers Forum
Topic: Hedge Fund
Replies: 1
Views: 78157

Hedge Fund

Recruited Barry Schachter (founder of the site gloriamundi.org) to head up their quant area.
by sportbilly
January 30th, 2007, 4:39 pm
Forum: Student Forum
Topic: jensen's equality and convexity of swaps.
Replies: 4
Views: 80853

jensen's equality and convexity of swaps.

<t>The 6m Libor paid every quarter faces reinvestment risk when compared to the 6m libor paid semi-annually. In the second case, very time the rate refixes you have fixed the interest rate that will be applicable of the next 6 months. In the first case, after 3 months you will get a different refixi...
by sportbilly
January 30th, 2007, 12:23 pm
Forum: Student Forum
Topic: jensen's equality and convexity of swaps.
Replies: 4
Views: 80853

jensen's equality and convexity of swaps.

<t>When you're pricing a regular swap (eg. quarterly payments indexed off 3M Libor), you have swap rates on the market which are quoted precisely for this instrument. You can thus price it directly from a discount curve built off the market swap rates. To answer question 2 take the following example...
by sportbilly
December 4th, 2006, 7:52 pm
Forum: Student Forum
Topic: Implied Volitility Inputs
Replies: 4
Views: 86382

Implied Volitility Inputs

You can find the USD rates on the fed website:http://www.federalreserve.gov/releases/h15/data.htm
by sportbilly
October 26th, 2006, 10:52 am
Forum: Student Forum
Topic: skew/smile vol
Replies: 3
Views: 89986

skew/smile vol

<t>Other possible explanations:Leverage: As a company's stock price falls, it's Debt/Equity ratio rises meaning higher volatility (which can be made worse if the firm decides to invest in more risky assets).Jumps: Market is more likely to jump down than up (e.g. due to restrictions on short-selling,...
by sportbilly
October 26th, 2006, 10:44 am
Forum: Student Forum
Topic: KI Floor
Replies: 1
Views: 89551

KI Floor

<t>That is not sufficient. You need to worry about timing issues too. If the knock-in happens earlier that means you will have more floorlets, meaning a greater value for the floor.You will need some sort of model where the correlation between the Fx rate and the interest rate (which can be large) i...
by sportbilly
October 24th, 2006, 12:51 pm
Forum: Student Forum
Topic: First to Default
Replies: 10
Views: 91050

First to Default

Benvindo (embora ainda nao tenha muita autoridade para dar boas vindas ehehehe)
by sportbilly
October 20th, 2006, 1:24 pm
Forum: Student Forum
Topic: First to Default
Replies: 10
Views: 91050

First to Default

<r>You can also try using a one fator model with numerical integration which is generally faster than Gaussian copulas.A good book is Introduction to Credit Risk Modelling, Bluhm, Overbeck, Wagnerhttp://<URL url="http://www.amazon.com/Introduction-Credit-Risk-Modeling/dp/158488326X/sr=1-2/qid=116135...