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by pcg
May 13th, 2013, 1:35 pm
Forum: Technical Forum
Topic: Difference between OIS and Govt/Treasury curves
Replies: 8
Views: 10424

Difference between OIS and Govt/Treasury curves

In india the ois trades well below govts. What coukd explain that ... is tgere any otger mkt with such behaviiur
by pcg
January 9th, 2010, 3:20 pm
Forum: Technical Forum
Topic: SWAP Pricing 10bps wrong.....
Replies: 5
Views: 33179

SWAP Pricing 10bps wrong.....

Hope the compounding an day count conventions are right and there are no missing basis that need to be considered.
by pcg
December 29th, 2009, 11:03 am
Forum: General Forum
Topic: Valuation of Contingently Exercisable options
Replies: 5
Views: 32663

Valuation of Contingently Exercisable options

depends on what the payoff on exercise is mainly .
by pcg
September 8th, 2009, 11:01 am
Forum: General Forum
Topic: Libor, CD and CP
Replies: 2
Views: 37685

Libor, CD and CP

CPs are typically issued by corporates and CDs by banks . And CDs are majorly discount instruments like CPs . I think in UK there are interest bearing CDs as well .
by pcg
September 5th, 2009, 3:37 am
Forum: Technical Forum
Topic: Funding charge and CVA (own credit risk)
Replies: 10
Views: 47645

Funding charge and CVA (own credit risk)

funding cost is applicable to the MTM only whereas the CVA takes into account the potential exposure and the credit quality of the trade counterparty . So does not seem to be any double counting .
by pcg
September 5th, 2009, 3:20 am
Forum: General Forum
Topic: Option Pricing Question
Replies: 7
Views: 36084

Option Pricing Question

How is the payoff defined for the option where the underlying is a delta ? In a compund option the underlying is the fwd-fwd stock vol / price and not the delta .
by pcg
August 27th, 2009, 3:06 am
Forum: General Forum
Topic: What is IPV
Replies: 2
Views: 39224

What is IPV

There are draft guidelines fro BIS in the last 3-4 months which refer to something like IPV .Refer here :http://www.bis.org/publ/bcbs158.pdf?noframes=1
by pcg
August 25th, 2009, 11:14 am
Forum: General Forum
Topic: Are we already facing the result of first moral hazard?
Replies: 27
Views: 37439

Are we already facing the result of first moral hazard?

Is this not the same as banks offering exotic derivatives for apparently 'hedging' to unsuspecting corporate finance managers ?
by pcg
August 22nd, 2009, 4:30 am
Forum: Technical Forum
Topic: Discounting collateralised positions using Fed Funds (OIS) curve
Replies: 8
Views: 38155

Discounting collateralised positions using Fed Funds (OIS) curve

Will there not always be a markt consensus on what curve to discount on ? Because if you are using a diff curve , there will be a problem if one is trying to terminate a swap and the settlement amounts will be different based on your discounting being different .
by pcg
August 22nd, 2009, 4:24 am
Forum: Technical Forum
Topic: Forward Start option with varying weights
Replies: 5
Views: 36330

Forward Start option with varying weights

Apologies . What I meant was isn't K the same as a*S(t) ?
by pcg
August 22nd, 2009, 4:22 am
Forum: Technical Forum
Topic: CNY Repo Trades
Replies: 2
Views: 38494

CNY Repo Trades

what is special about CNY repo rates ?
by pcg
August 22nd, 2009, 4:17 am
Forum: Technical Forum
Topic: Forward Start option with varying weights
Replies: 5
Views: 36330

Forward Start option with varying weights

How is the small 't' defined ?
by pcg
August 19th, 2009, 3:22 am
Forum: General Forum
Topic: European Knockout option
Replies: 1
Views: 35984

European Knockout option

I think those need to be chosen by the option buyer!
by pcg
August 19th, 2009, 3:02 am
Forum: General Forum
Topic: A tale of two vols?
Replies: 1
Views: 35731

A tale of two vols?

I believe SigmaEE should be the vol of the quantoed equity forward and yes there are 2 vols .
by pcg
August 19th, 2009, 3:00 am
Forum: General Forum
Topic: Options on Futures
Replies: 5
Views: 36404

Options on Futures

is this not true even for bond futures which tend towards par as time goes by ?
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