<t>While not taking away credit from nassim, i have to agree that FBR has attained a cult-ish sort of devotion across newly minted grads ( especially grads from b-schools who graduated with a major in finance), who have never traded the capital markets in their lives. Its almost ike you want to thro...

Guys, With recent break down in the Equity/Mezz ..Tranches in CDX/ITRAXX., does that sound the deathknell of Base Correlation and market moves on to Compound Correlation. Can any prop guy here, give us the real deal on what exactly happened

<t>According to me, summers at any well respected banks (foreign and domestic) is looked upon favourably. But it depends up on the project that u do. It should end up as another farce , which a lot of summer project tend to . The best banks in India to do a summers, according to me are ( ICICI, HDFC...

<t>Chiranjiv , Securitization in India is going to be the most amazing growth area in the near future. if you have been following the Union Budget closely, the budget allowed securitised paper to be traded freely OTC.Chidambaram has also indicated that SCRA will be ammended to allow such papers to b...

<t>Any idea on what it takes to be on the Prop Desk of Goldman Sachs , Does one really have to be a rocket scientist ? or a positive P/L in pure prop trading for a few years is enough to swing the job your way ? Are the prop guys separated geographically (HK, London , NY ) or concentrated in one loc...

<t>The CMCDS , is a relatively new instrument with the major dealers quoting them mainly on the ITRAXX and the DJ CDX indexes. For example the with the ITRAXX at 40 u could do a 5*5 ( 5 year term on the swap referenced to the 5 year cds level which stays constant ) ,CMCDS in which you pay 40 bp s/a ...

oops read EUR as 220 GBP as 430......Sorry folks

<t>hi sam ,with the current EUR/GBP sterling rate at 0.66, Asuuming the one denominated in GBP is at 220, and the one in EUR is 430 , a rough back of the envelope calculations gives us 0.511. (Of course the 2 year forward EUR-GBP should have EUR at a premium ). So i believe some part of the differen...

MOb.....i love ue sense of humor!!!!btw Godfather is my FAV mob flick .....amitabh

<t>hi Greghm , what aaron said about z-spread is absolutely correct . Since u are looking at the ASW page on Bloomberg , the gross spread valuation is basically the difference between the implied value and the actual price of the bond in basis points.The implied value is basically the theoretical pr...

What is a Vol surface.......and what exactly is local volatility?Amitabh

<t>Hi Nachos.Its a interesting project to say the least . You are looking at a practical way of managing the exposure from the point of view of the issuer. since u are receiving fixed and paying floating on the interest rate swap. The easiest thing to do would be to buy a RECEIVER SWAPTION . with th...

<t>hi , The S in this equation is the spot rate , that is the Spot Exchange rate which settles (T+2). To emphasize my point let me tell u that it is NOT the forward rate for that option maturity. if u look at the Garman model closely u will find that the model takes the forwad rate into account whil...

<t>hi,what u can do here is that since it is a fund, i am sure it would have a Monthly NAV , if not a weekly one.Use the NAV as the equivalent of the price level. If u have a lot of historical data points , u calculate the returns and for simplicity assume that the returns are normally distributed ,...

<t>hi,how long has the stock been listed , if the stock has been listed for the at least 10 years , u can go back and find theannualized standard deviation(volatility)and extrapolate it to 10 years by multiplying by square root of 10. This would be historical vol . and u would have to adjust it depe...