always half heartedly and not follow thru. the last time I saw them in action was in the late 90s. well, the finance minister threaten he is "monitoring" USDJPY now... let see how this monitoring goes

always half heartedly and not follow thru. the last time I saw them in action was in the late 90s. well, the finance minister threaten he is "monitoring" USDJPY now... let see how this monitoring goes

make sense to use step interpolation, not sure about the rest

hi, I don't have any paper on hand but I'm thought something for equity can be easily transformed to swaption given they're on the same principle. btw hedging is mostly likely not done via forward starting swap cause it's just too illiquid and therefore costly.

<t>sure. but whether this is for academic paper or for hedging of you of your own book there's not much practical use in my opinion.there's a lot of paper describing this if you google. Alternative, you make a assumption of how frequent you want to hedge out, ie twice a day, weekly etc and then take...

<t>this is back to stone age. you can input historical and no one will fault you. the point is, you can't hedge out your risk so you can only make assumptions, and you should make the most conservative one.eg, if it's a ccy that is pegged to USD, then use USD vol + conservative adjustment. if it's e...

you can try this but you'll price yourself out of the market, especially if it's swaption for a major ccy. the aim is to build a portfolio large enough that when you perform portfolio hedge your transaction cost is negligible.

<t>instead of focusing on USD let's do a generic argument.I'd say it doesn't matter if you use futures or use swap. there is no liquid long term futures anyway but the point is if you use futures to build your curve you are constraining the forwards directly. this will help traders value either FRA ...

<t>hi, this is how I'd explain this. you have a empty book and did a 5y swap today. the PV is X0.tomorrow comes, your swap is 5y-1day maturity. with the same swap curve as yesterday, your PV is X1.diff bet X0 and X1 is the "roll down the curve" or swap carry.This swap carry depends on 2 elements. a)...

<t>hi, why would any trader bank want to hedge their own credit? There is no natural instrument to hedge this out, and intuitively we can think of CDS but why would any institution trade CDS on say bank ABC, with bank ABC? It’s just a risk that any institution has to take, that every firm is long th...

hi,does anyone have this to share? A search in Yahoo shows this link but require password to access. Thankshttp://www-personal.umich.edu/~shumway/courses.dir/f640.dir/f640.html

<t>Let me try. firstly a IR trader has a budget to meet. with this budget, head of desk will allocate desk limits to different tenors to the trader. he can then get a guesstimate the max var if he max out all his IR limits. head of desk will then adjust the var or IR limits to suit his risk appetite...

<r>Hey, I've been living in tokyo for almost 3 yrs now so probably be in a good position to help"(a) I am totally unfamiliar with Japanese conditions. What should I ask for in terms of living accomodation, salary etc? What are the things I should know, what are the issues I should be aware of? "if t...