SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 38 matches

by archimg
May 27th, 2013, 11:00 am
Forum: Trading Forum
Topic: inflation swaps
Replies: 2
Views: 7922

inflation swaps

spread between spot starting 10y and 5y inf swap
by archimg
June 12th, 2012, 5:43 pm
Forum: Trading Forum
Topic: Automated trading of swaps using TradeWeb or BBG
Replies: 2
Views: 12870

Automated trading of swaps using TradeWeb or BBG

Is it possible to implement automated trading of vanilla swaps using BBG or Tradeweb?(Use liquidity in the market rather than market making.)E.g.One can propagate current quotes from BBG into excel but how to create an order I have no idea.Anyone tried it?
by archimg
June 2nd, 2012, 6:25 am
Forum: Trading Forum
Topic: Buxl spec
Replies: 0
Views: 12755

Buxl spec

Sorry, i withdrawn the question ...
by archimg
March 14th, 2012, 8:02 pm
Forum: Trading Forum
Topic: optional collateral
Replies: 1
Views: 14295

optional collateral

<t>I've go a portfolio of collateralized USD swaps (for simplicity) and the collateral can be in USD and EUR (ok, either I post or I receive).1.First of all, how can I agree with counterparty on the collateral currency?In the CSA it is written we have to agree but how can we agree on that if it is f...
by archimg
November 10th, 2011, 2:10 pm
Forum: Trading Forum
Topic: CVA & Swaps
Replies: 11
Views: 20251

CVA & Swaps

<t>I would say that a change in CDS spread moves CVA adjustment of the swap. You can imagine CVA adjustment like a spread in the swap, once you change spread your delta changes, so you hedge it and as a consequence it may move curve. However, I would expect that it has second order effect unless the...
by archimg
January 21st, 2009, 9:50 am
Forum: General Forum
Topic: RBS
Replies: 69
Views: 53063

RBS

Paul, what do you know about RBS situation and profitability of the individual asset classes? If you are not well informed do not generalize and keep your comments to quant stuff, please. All the best!
by archimg
May 18th, 2006, 4:02 pm
Forum: Technical Forum
Topic: Quantum Finance Theory?
Replies: 45
Views: 173777

Quantum Finance Theory?

<t>QuoteOriginally posted by: KackToodlesQuoteOriginally posted by: FrasheMarkets are competely different - they're social constructs and self-referential in a way that doesn't fit within any physical theory. As an example, if somebody comes up with a market trading strategy that makes money with ve...
by archimg
November 25th, 2005, 9:18 am
Forum: Careers Forum
Topic: ABN-AMRO
Replies: 60
Views: 197303

ABN-AMRO

yes, you are right, somebody was joking about it at his last presentation in London. But for me Dutch or Irish is the same, :-). (at least for me)
by archimg
November 25th, 2005, 8:59 am
Forum: Careers Forum
Topic: ABN-AMRO
Replies: 60
Views: 197303

ABN-AMRO

<t>Maybe there was the time and there were some strange people at ABN, but these times are gone.However, no one of the banks is perfect.1. You cannot compare quants and EDS people, these are separated. Most of the quants are bright, 80-90% have PhD from well-known universities(you can find Qx, Cam ....
by archimg
October 31st, 2005, 9:45 am
Forum: General Forum
Topic: time dependent volatilities on trinom
Replies: 1
Views: 130947

time dependent volatilities on trinom

by archimg
September 27th, 2005, 7:38 am
Forum: Student Forum
Topic: Forward Volatility
Replies: 3
Views: 135174

Forward Volatility

QuoteOriginally posted by: AdammHi ThereI am talking about extrapolation of Vols. I realise that linear extrapolation wont work and I was someone could recommend something.ThanksAdamI would extrapolate according to some simple functional form (some exponential)
by archimg
July 26th, 2005, 7:48 am
Forum: Careers Forum
Topic: Quant jobs outside UK/US
Replies: 24
Views: 144862

Quant jobs outside UK/US

I would be quite interested if there are any quant jobs in the Eastern Europe (Slovakia, Czech, Poland, Hungary)?
by archimg
July 13th, 2005, 9:52 am
Forum: Technical Forum
Topic: BGM instantaneous correlations
Replies: 1
Views: 142966

BGM instantaneous correlations

This stuff with log of returns is for terminal correlation.Isn't there an approximate direct relationship between instantaneous and terminal correlations?If yes, why not to use it?
by archimg
July 6th, 2005, 9:21 am
Forum: Careers Forum
Topic: Quant/model val. jobs outside london but in England?
Replies: 12
Views: 144061

Quant/model val. jobs outside london but in England?

I applied for quant position in Oxford some time ago. I've no contact address anymore (stolen laptop), but I think it was something like OXaM.
by archimg
April 20th, 2005, 11:28 am
Forum: Programming and Software Forum
Topic: Numerical Recipes in C++ Header files
Replies: 8
Views: 152196

Numerical Recipes in C++ Header files

<r>QuoteOriginally posted by: lballabioGoogle won't turn them up as they are not freely available--the NR folks sell them on their website.But if you have the book and the other files, they should be included. You might try searching on the media that came with the book.Unfortunately, you can find N...
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