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by Joshua2004
May 21st, 2019, 2:42 pm
Forum: Economics Forum
Topic: where to get economic data online
Replies: 5
Views: 557

where to get economic data online

I am doing some research on economic, but is there free online historical data? many paper use DRI/McGraw Hill database, but I cannot find it online. thanks
by Joshua2004
March 27th, 2014, 4:35 pm
Forum: General Forum
Topic: future option MTM
Replies: 6
Views: 5103

future option MTM

this is future option, not future. should not this be decided by the exchange?
by Joshua2004
March 27th, 2014, 2:29 pm
Forum: General Forum
Topic: future option MTM
Replies: 6
Views: 5103

future option MTM

Anybody know which interest rate future options are Mark to Market? thx
by Joshua2004
October 2nd, 2013, 4:00 pm
Forum: Technical Forum
Topic: Inflation cap /flor volatility...
Replies: 6
Views: 7717

Inflation cap /flor volatility...

<t>1) the implied vol difference is due to the illiquidity of the market.2) when user input the custom cvx, which is a spread on the par swap rate. BB will strip that spread to get a cvx on the yoy rate.3) maybe most people used JY model to get the cvx adjustment? based on historical correlations? B...
by Joshua2004
November 8th, 2012, 4:34 pm
Forum: General Forum
Topic: How big is the derivative market ?
Replies: 32
Views: 11674

How big is the derivative market ?

depend on how you net them, firm wide? country wide? globally wide net value should close to 0.0 theoretically, but in really there is model difference, still close to 0 value.
by Joshua2004
October 26th, 2012, 12:51 pm
Forum: Technical Forum
Topic: Inflation linked swaps
Replies: 8
Views: 11413

Inflation linked swaps

QuoteOriginally posted by: brinnerHi, What is the day count convention for EUR HICPxTob swaps? Is it act/act or 30/360?ThanksThe day count is meaningless for zc swap or yoy, no? for period over period it has meaning, but also depend on how you define it.
by Joshua2004
October 23rd, 2012, 3:39 pm
Forum: General Forum
Topic: Anyone knows names of commercial derivative pricing packages
Replies: 12
Views: 11805

Anyone knows names of commercial derivative pricing packages

<t>QuoteOriginally posted by: dowjones123HiI am looking for some derivative pricing packages that are available commercially for use by a small/mid sized financial services firm. Specifically looing for simple IR and FX options pricing, callable swap pricing, range accrual, TARN, etc on IR side, and...
by Joshua2004
October 1st, 2012, 1:17 pm
Forum: Technical Forum
Topic: Multiple curves for Cross Currency trades
Replies: 11
Views: 28600

Multiple curves for Cross Currency trades

<t>QuoteOriginally posted by: kelang<bryes, that is another assumption..., but it also has inconsistency mathematically and only valid if you assume the funding spread difference accross different market is deterministic..., which is not true...again, different assumptions give at most 1~3 bps diffe...
by Joshua2004
September 28th, 2012, 4:34 pm
Forum: Technical Forum
Topic: Multiple curves for Cross Currency trades
Replies: 11
Views: 28600

Multiple curves for Cross Currency trades

<t>some typo before, correction:I think you misunderstand me: for GBP swap itself, it should collateral with GBP and then you use SONIA as discount, which should get from OIS swap market, and you solve the forward 6 month rates based on the GBP swap market.Then when you go to USD/GBP assuming collat...
by Joshua2004
September 28th, 2012, 4:30 pm
Forum: Technical Forum
Topic: Multiple curves for Cross Currency trades
Replies: 11
Views: 28600

Multiple curves for Cross Currency trades

<t>I think you misunderstand me: for GBP swap itself, it should collateral with GBP and then you use SONIA as discount which should get from OIS swap, and you solve the forward rate 6 month based on the GBP swap market.Then when you do to USD/GBP assume collateral is USD, then USD side is regular US...
by Joshua2004
September 28th, 2012, 12:31 pm
Forum: Technical Forum
Topic: Multiple curves for Cross Currency trades
Replies: 11
Views: 28600

Multiple curves for Cross Currency trades

<t>I think what kind of curve you use should depend on what kind of asset you use as collateralsay for USD/GBP, because you are using USD as collateral, so your stripping should based on USD FED curve, and you solve the SONIA+spread as discount on GBP side to get par FX swap, but should keep the for...
by Joshua2004
March 30th, 2012, 11:34 am
Forum: Technical Forum
Topic: Inflation linked fixed rate swap: Pricing practice
Replies: 9
Views: 15368

Inflation linked fixed rate swap: Pricing practice

You can search BB there is a white paper on how the inflation derivatives are priced. You are asking very detail calculaiton. as long as the index is fixed then it will not move any more, same like interest rate. so the T you use should be up to the index fixing time
by Joshua2004
March 27th, 2012, 6:28 pm
Forum: Technical Forum
Topic: Inflation linked fixed rate swap: Pricing practice
Replies: 9
Views: 15368

Inflation linked fixed rate swap: Pricing practice

on SWIL you will find the market information, including yoy inflation vol and ZC volon SWPM you can price the deal you are talking about. SWPM _ILBOND will price the TIPS type bond, but you need to setup the pincipal floor in the detail page.
by Joshua2004
March 27th, 2012, 10:59 am
Forum: Technical Forum
Topic: Inflation linked fixed rate swap: Pricing practice
Replies: 9
Views: 15368

Inflation linked fixed rate swap: Pricing practice

Bloomberg just released ZC inflaiton vol. there are actually a few contributors.
by Joshua2004
November 19th, 2011, 6:46 pm
Forum: General Forum
Topic: CB with parisian softcall
Replies: 14
Views: 65990

CB with parisian softcall

I have an exact numeric solution to this problem.
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